Leland E. Farmer

University of Virginia

Assistant Professor

237 Monroe Hall

P.O. Box 400182

Charlottesville, VA 22904-418

United States

  • University of Virginia

SCHOLARLY PAPERS

6

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SSRN CITATIONS
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Top 22,251

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16

CROSSREF CITATIONS

28

Scholarly Papers (6)

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1.

Pockets of Predictability

Downloads 1,338 ( 21,578)
Citation 15

Pockets of Predictability

Journal of Finance, Forthcoming
Number of pages: 113 Posted: 29 Mar 2018 Last Revised: 14 Feb 2022
Leland E. Farmer, Lawrence Schmidt and Allan Timmermann
University of Virginia, MIT Sloan School of Management and UCSD
Downloads 1,338 (21,214)
Citation 21

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Out-of-sample return predictability; time-varying expected returns; sticky expectations; affine asset pricing models

Pockets of Predictability

CEPR Discussion Paper No. DP12885
Number of pages: 72 Posted: 23 Apr 2018
Leland E. Farmer, Lawrence Schmidt and Allan Timmermann
University of Virginia, MIT Sloan School of Management and UCSD
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Predictability of stock returns; incomplete learning; Markov switching predictive systems; cash flows; affine asset pricing models.

2.

The Discretization Filter: A Simple Way to Estimate Nonlinear State Space Models

Number of pages: 71 Posted: 17 May 2016 Last Revised: 29 Apr 2020
Leland E. Farmer
University of Virginia
Downloads 855 (40,863)
Citation 6

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State Space, Nonlinear, Markov Chains, Discretization, Filtering, Zero Lower Bound

3.

Discretizing Nonlinear, Non-Gaussian Markov Processes with Exact Conditional Moments

Quantitative Economics, July 2017, Volume 8, Issue 2, pp. 651-683
Number of pages: 50 Posted: 28 Mar 2015 Last Revised: 31 Aug 2017
Leland E. Farmer and Alexis Akira Toda
University of Virginia and University of California, San Diego (UCSD) - Department of Economics
Downloads 429 (97,819)
Citation 5

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asset pricing models, duality, Kullback-Leibler information, numerical methods, solution accuracy

4.

Markov-Chain Approximation and Estimation of Nonlinear, Non-Gaussian State Space Models

Number of pages: 27 Posted: 21 Aug 2014 Last Revised: 23 Aug 2014
Leland E. Farmer
University of Virginia
Downloads 113 (339,837)
Citation 6

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nonlinear state space, filtering, Markov-switching, stochastic volatility, shadow rate, zero lower bound, dynamic term structure model

5.

Zoomers and Boomers: Asset Prices and Intergenerational Inequality

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Zoomers and Boomers: Asset Prices and Intergenerational Inequality

Number of pages: 47 Posted: 09 Sep 2022 Last Revised: 12 Sep 2022
Leland E. Farmer and Roger E. A. Farmer
University of Virginia and University of Warwick
Downloads 37 (613,151)

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asset pricing, heterogeneity, overlapping generations

Zoomers and Boomers: Asset Prices and Intergenerational Inequality

NBER Working Paper No. w30419
Number of pages: 49 Posted: 12 Sep 2022 Last Revised: 28 Sep 2022
Leland E. Farmer and Roger E. A. Farmer
University of Virginia and University of Warwick
Downloads 16 (776,155)

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6.

Learning About the Long Run

NBER Working Paper No. w29495
Number of pages: 68 Posted: 23 Nov 2021 Last Revised: 07 Aug 2022
Leland E. Farmer, Emi Nakamura and Jón Steinsson
University of Virginia, Columbia University - Columbia Business School, Finance and Columbia University
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