Ole Wilms

University of Hamburg

Allende-Platz 1

Hamburg, 20146

Germany

http://www.olewilms.com

Tilburg University - Tilburg University School of Economics and Management

PO Box 90153

Tilburg, 5000 LE Ti

Netherlands

SCHOLARLY PAPERS

8

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SSRN CITATIONS
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21

CROSSREF CITATIONS

6

Scholarly Papers (8)

1.

Asset Pricing with Heterogeneous Agents and Long-Run Risk

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 09 Nov 2017 Last Revised: 05 Nov 2020
NHH Norwegian School of EconomicsUniversity of Zurich, IMD Lausanne and University of Hamburg
Downloads 481 (83,870)
Citation 7

Abstract:

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belief differences, asset pricing, long-run risk, recursive preferences, heterogeneous agents

2.

Higher-Order Effects in Asset-Pricing Models with Long-Run Risks

Journal of Finance, 73(3), 1061-1111, 2018.
Number of pages: 60 Posted: 20 Dec 2014 Last Revised: 05 Nov 2020
NHH Norwegian School of EconomicsUniversity of Zurich, IMD Lausanne and University of Hamburg
Downloads 340 (124,890)
Citation 21

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Asset pricing, discretization, log-linearization, nonlinear dynamics, projection methods

3.

Horizon effects in the pricing kernel: How investors price short-term versus long-term risks

Number of pages: 51 Posted: 17 Oct 2019 Last Revised: 16 Feb 2022
Joost Driessen, Joren Koëter and Ole Wilms
Tilburg University - Tilburg University School of Economics and Management, Rotterdam School of Management, Erasmus University and University of Hamburg
Downloads 216 (197,607)
Citation 1

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asset pricing, pricing kernel, stochastic discount factor, pricing kernel puzzle, options

4.

Asset Prices with Non-Permanent Shocks to Consumption

Journal of Economic Dynamics and Control, Vol. 69, 2016
Number of pages: 44 Posted: 15 Jun 2014 Last Revised: 05 Nov 2020
NHH Norwegian School of EconomicsUniversity of Zurich, IMD Lausanne and University of Hamburg
Downloads 189 (222,169)

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Asset prices, equity premium, unit root, non-permanent shocks.

5.

Adaptive Grids for the Estimation of Dynamic Models

Lanz, Andreas, Gregor Reich, and Ole Wilms (2022), “Adaptive Grids for the Estimation of Dynamic Models,” Quantitative Marketing and Economics, forthcoming.
Number of pages: 62 Posted: 18 Sep 2020 Last Revised: 06 Jan 2022
Andreas Lanz, Gregor Reich and Ole Wilms
HEC Paris - Marketing, Tsumcor Research AG and University of Hamburg
Downloads 145 (277,170)
Citation 1

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Numerical dynamic programming, mathematical programming with equilibrium constraints, r-adaptive grid refinement, equi-oscillation

6.

'Small Data': Efficient Inference with Occasionally Observed States

HEC Paris Research Paper No. MKG-2020-1380
Number of pages: 58 Posted: 22 Jul 2020 Last Revised: 10 Jan 2022
HEC Paris - Marketing, University of Zurich - Department of Business Administration, Tsumcor Research AG and University of Hamburg
Downloads 101 (359,724)

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7.

Existence Conditions for Asset Pricing Models with Recursive Utility

Number of pages: 54 Posted: 08 Aug 2019 Last Revised: 15 Feb 2022
NHH Norwegian School of EconomicsUniversity of Zurich, IMD Lausanne and University of Hamburg
Downloads 101 (359,724)

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Asset pricing, existence, jumps, long-run risk, recursive utility

8.

Asset Pricing Models with Preference Shocks: Existence and Uniqueness

Number of pages: 40 Posted: 28 Mar 2022 Last Revised: 20 May 2022
John Stachurski, Ole Wilms and Junnan Zhang
Australian National University (ANU) - Research School of Economics, University of Hamburg and Xiamen University
Downloads 50 (523,967)

Abstract:

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Asset pricing, recursive preferences, preference shocks, Epstein-Zin preferences, long-run risk