Ole Wilms

Tilburg University - Tilburg University School of Economics and Management

PO Box 90153

Tilburg, 5000 LE Ti

Netherlands

  • Tilburg University - Tilburg University School of Economics and Management

SCHOLARLY PAPERS

7

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19

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6

Scholarly Papers (7)

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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
Walt Pohl, Karl Schmedders and Ole Wilms
NHH Norwegian School of Economics, IMD Lausanne and Tilburg University - Tilburg University School of Economics and Management
Downloads 365 (99,714)
Citation 7

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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
Walt Pohl, Karl Schmedders and Ole Wilms
NHH Norwegian School of Economics, IMD Lausanne and Tilburg University - Tilburg University School of Economics and Management
Downloads 318 (116,282)
Citation 19

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

3.

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
Walt Pohl, Karl Schmedders and Ole Wilms
NHH Norwegian School of Economics, IMD Lausanne and Tilburg University - Tilburg University School of Economics and Management
Downloads 179 (203,721)

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

4.

Behavioral in the Short-run and Rational in the Long-run? Evidence from S&P 500 Options

Number of pages: 60 Posted: 17 Oct 2019 Last Revised: 09 Nov 2020
Joost Driessen, Joren Koëter and Ole Wilms
Tilburg University - Tilburg University School of Economics and Management, Department of Finance; Tilburg University - Center for Economic Research (CentER) and Tilburg University - Tilburg University School of Economics and Management
Downloads 142 (247,349)
Citation 1

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

5.

Adaptive Grids for the Estimation of Dynamic Models

HEC Paris Research Paper No. MKG-2020-1383
Number of pages: 62 Posted: 18 Sep 2020 Last Revised: 21 Sep 2020
Andreas Lanz, Gregor Reich and Ole Wilms
HEC Paris - Marketing, Norwegian School of Economics (NHH) - Department of Strategy and Management and Tilburg University - Tilburg University School of Economics and Management
Downloads 102 (314,626)
Citation 1

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Dynamic discrete choice models, Adaptive Grids, Balanced Errors, Equioscillation

6.

Relative Existence for Recursive Utility

Number of pages: 60 Posted: 08 Aug 2019
Walt Pohl, Karl Schmedders and Ole Wilms
NHH Norwegian School of Economics, IMD Lausanne and Tilburg University - Tilburg University School of Economics and Management
Downloads 65 (410,187)

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

7.

'Small Data': Efficient Inference with Occasionally Observed States

HEC Paris Research Paper No. MKG-2020-1380
Number of pages: 60 Posted: 22 Jul 2020 Last Revised: 24 Feb 2021
Andreas Lanz, Philipp Müller, Gregor Reich and Ole Wilms
HEC Paris - Marketing, University of Zurich - Department of Business Administration, Norwegian School of Economics (NHH) - Department of Strategy and Management and Tilburg University - Tilburg University School of Economics and Management
Downloads 49 (468,080)

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