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

10

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3,120

SSRN CITATIONS
Rank 18,118

SSRN RANKINGS

Top 18,118

in Total Papers Citations

67

CROSSREF CITATIONS

7

Scholarly Papers (10)

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 and University of Hamburg
Downloads 608 (82,082)
Citation 7

Abstract:

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

2.

Asset Pricing with Disagreement about Climate Risks

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 49 Posted: 08 Jun 2023 Last Revised: 11 Jan 2024
RWTH-Aachen University, NHH Norwegian School of EconomicsUniversity of Zurich, IMD, RWTH Aachen University and University of Hamburg
Downloads 430 (125,370)
Citation 3

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Asset pricing, carbon premium, climate news, climate risk, heterogeneous beliefs, long-run risk, risk sharing

3.

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 and University of Hamburg
Downloads 424 (127,433)
Citation 41

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

4.

Horizon Effects in the Pricing Kernel: How Investors Price Short-term versus Long-term Risks

Number of pages: 60 Posted: 17 Oct 2019 Last Revised: 30 Nov 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 388 (140,968)
Citation 1

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

5.

'Small Data': Efficient Inference with Occasionally Observed States

HEC Paris Research Paper No. MKG-2020-1380
Number of pages: 62 Posted: 22 Jul 2020 Last Revised: 05 Jul 2023
affiliation not provided to SSRN, University of Basel - Faculty of Business and Economics, Accenture AG, Tsumcor Research AG and University of Hamburg
Downloads 240 (233,277)

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Maximum likelihood estimation, occasional state observations, recursive likelihood function integration, interpolation, numerical quadrature, Markov models, dynamic discrete choice models, long-run risk models

6.

Where is the Carbon Premium? Global Performance of Green and Brown Stocks

CESifo Working Paper No. 10246
Number of pages: 45 Posted: 02 Feb 2023
Federal Reserve Bank of San Francisco, Universität Hamburg, Brookings Institution and University of Hamburg
Downloads 224 (249,268)

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climate risk, transition risk, carbon emissions, green stocks, brown stocks

7.

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 and University of Hamburg
Downloads 218 (255,713)
Citation 2

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

8.

Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences

Number of pages: 75 Posted: 08 Aug 2019 Last Revised: 28 Mar 2023
NHH Norwegian School of EconomicsUniversity of Zurich, IMD and University of Hamburg
Downloads 215 (259,038)
Citation 2

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

9.

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, 20, 179–238.
Number of pages: 62 Posted: 18 Sep 2020 Last Revised: 05 Jul 2023
Andreas Lanz, Gregor Reich and Ole Wilms
University of Basel - Faculty of Business and Economics, Tsumcor Research AG and University of Hamburg
Downloads 190 (290,031)
Citation 1

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

10.

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 183 (299,800)

Abstract:

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