Stig H.R. Lundeby

Norwegian School of Economics (NHH)

Helleveien 30

Bergen, NO-5045

Norway

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Scholarly Papers (1)

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

Number of pages: 46 Posted: 24 Dec 2018 Last Revised: 01 Feb 2020
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 62 (379,571)

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multi-horizon returns, linear factor models, stochastic discount factor

Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

NBER Working Paper No. w25361
Number of pages: 47 Posted: 17 Dec 2018
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
Downloads 4 (692,884)
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Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off

CEPR Discussion Paper No. DP13365
Number of pages: 44 Posted: 11 Dec 2018 Last Revised: 10 Feb 2020
Mikhail Chernov, Lars A. Lochstoer and Stig H.R. Lundeby
UCLA Anderson, University of California, Los Angeles (UCLA) - Anderson School of Management and Norwegian School of Economics (NHH)
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Abstract:

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linear factor models, multi-horizon returns, Stochastic discount factor