Lars Peter Hansen

University of Chicago - Department of Economics

1101 E 58th ST

Chicago, IL 60637

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

43

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418

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1,008

Scholarly Papers (43)

1.
Downloads 1,006 ( 25,253)
Citation 34

Misspecified Recovery

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 25 May 2014 Last Revised: 22 Apr 2019
Jaroslav Borovička, Lars Peter Hansen and José Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 866 (30,853)

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Perron-Frobenius theory, recovery theorem, stochastic discount factor, martingale decomposition, stochastic stability

Misspecified Recovery

Number of pages: 52 Posted: 28 Jul 2015
Jaroslav Borovička, Lars Peter Hansen and José Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 82 (345,700)

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Perron-Frobenius theory, recovery theorem, stochastic discount factor, martingale distribution, stochastic stability

Misspecified Recovery

Princeton University William S. Dietrich II Economic Theory Center Research Paper No. 063-2014
Number of pages: 31 Posted: 31 May 2014
Jaroslav Borovička, Lars Peter Hansen and José Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 52 (440,988)
Citation 36

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Misspecified Recovery

NBER Working Paper No. w20209
Number of pages: 31 Posted: 16 Jun 2014
Jaroslav Borovička, Lars Peter Hansen and José Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 6 (720,513)
Citation 1

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2.

Modeling and Measuring Systemic Risk

American Economic Association, Ten Years and Beyond: Economists Answer NSF's Call for Long-Term Research Agendas
Number of pages: 5 Posted: 12 Aug 2011
Princeton University - Department of Economics, University of Chicago - Department of Economics, University of Chicago, Booth School of Business, Northwestern University - Kellogg School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 986 (26,005)
Citation 2

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3.
Downloads 678 ( 43,689)
Citation 5

Stochastic Compounding and Uncertain Valuation

Number of pages: 30 Posted: 24 Apr 2013 Last Revised: 11 Feb 2016
Lars Peter Hansen and José Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 607 (49,900)
Citation 2

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Perron-Frobenius, martingale component of stochastic discount factor, long-term risk pricing

Stochastic Compounding and Uncertain Valuation

Economic Theory Center Working Paper No. 051-2013
Number of pages: 29 Posted: 10 May 2013 Last Revised: 30 Jan 2014
Lars Peter Hansen and José Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 71 (376,108)
Citation 8

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4.
Downloads 409 ( 82,291)
Citation 16

Challenges in Identifying and Measuring Systemic Risk

Becker Friedman Institute for Research in Economics Working Paper No. 2012-012
Number of pages: 22 Posted: 09 Oct 2012 Last Revised: 01 Apr 2015
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 383 (88,031)
Citation 1

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systemic risk, financial markets, macroeconomy

Challenges in Identifying and Measuring Systemic Risk

NBER Working Paper No. w18505
Number of pages: 21 Posted: 03 Nov 2012
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 26 (570,018)
Citation 5

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Examining Macroeconomic Models Through the Lens of Asset Pricing

Becker Friedman Institute for Research in Economics Working Paper No. 2011-012
Number of pages: 65 Posted: 11 Dec 2011 Last Revised: 23 Feb 2012
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 181 (190,808)
Citation 5

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Examining Macroeconomic Models Through the Lens of Asset Pricing

FRB of Chicago Working Paper No. 2012-01
Number of pages: 70 Posted: 15 Dec 2011
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 127 (256,304)
Citation 19

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shock elasticity, pricing, perturbation methods, Markov process, Model Evaluation and Selection, Asset Pricing, Trading volume, Bond Interest Rates, Financial Markets and the Macroeconomy

6.
Downloads 282 (124,491)
Citation 16

Risk Price Dynamics

Becker Friedman Institute for Research in Economics Working Paper No. 2010-004, Economic Theory Center Working Paper No. 33-2012
Number of pages: 53 Posted: 26 Jan 2010 Last Revised: 24 Apr 2019
University of Chicago - Department of Economics, New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 235 (149,202)
Citation 3

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growth-rate risk, pricing, dynamics, elasticities, Markov process

Risk Price Dynamics

NBER Working Paper No. w15506
Number of pages: 52 Posted: 17 Nov 2009 Last Revised: 23 Nov 2009
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 25 (576,863)
Citation 6

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Risk Price Dynamics

Journal of Financial Econometrics, Forthcoming
Number of pages: 67 Posted: 23 May 2019
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 22 (597,872)

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growth-rate risk, pricing, dynamics, elasticities, Markov process

7.

Wrestling with Uncertainty in Climate Economic Models

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-71
Number of pages: 71 Posted: 27 Jul 2017 Last Revised: 22 May 2019
William A. Brock and Lars Peter Hansen
University of Wisconsin, Madison - Department of Economics and University of Chicago - Department of Economics
Downloads 269 (131,374)
Citation 12

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8.
Downloads 264 (133,420)
Citation 10

Uncertainty Outside and Inside Economic Models

Journal of Political Economy, Forthcoming, Becker Friedman Institute for Research in Economics Working Paper No. 2014-06
Number of pages: 55 Posted: 31 Jul 2014 Last Revised: 01 Apr 2015
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 233 (150,393)

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Uncertainty Outside and Inside Economic Models

NBER Working Paper No. w20394
Number of pages: 56 Posted: 25 Aug 2014
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 31 (539,069)
Citation 1

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Macroeconomic Uncertainty Prices when Beliefs are Tenuous

Becker Friedman Institute for Research in Economics Working Paper No. 2888511
Number of pages: 51 Posted: 22 Dec 2016 Last Revised: 25 Jan 2019
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 134 (245,889)
Citation 1

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Risk, uncertainty, asset prices, relative entropy, Chernoff entropy, robustness, variational preferences, baseline, structured, and unstructured models

Prices of Macroeconomic Uncertainties with Tenuous Beliefs

Becker Friedman Institute for Research in Economics Working Paper No. 2973331
Number of pages: 60 Posted: 24 May 2017
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 103 (300,502)
Citation 3

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risk,uncertainty, ambiguity, asset prices, relative entropy, Chernoff entropy, robustness, variational preferences; baseline, structured, and unstructured models

Macroeconomic Uncertainty Prices When Beliefs are Tenuous

NBER Working Paper No. w25781
Number of pages: 55 Posted: 30 Apr 2019 Last Revised: 04 Dec 2020
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 12 (673,060)
Citation 1

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10.

Robust Analytical and Computational Explorations of Coupled Economic-Climate Models with Carbon-Climate Response

RDCEP Working Paper No. 13-05
Number of pages: 48 Posted: 28 Dec 2013 Last Revised: 14 May 2014
Northern Illinois University, University of Wisconsin, Madison - Department of Economics, University of Chicago - Department of Economics and Lawrence Berkeley National Laboratory
Downloads 249 (142,129)
Citation 15

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Environment, Climate-Change, Model Uncertainty, Dynamic General Equilibrium

11.

Uncertainty and Decision-Making During a Crisis: How to Make Policy Decisions in the COVID-19 Context?

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-95
Number of pages: 32 Posted: 10 Jul 2020
CNRS, London School of Hygiene and Tropical Medicine, Bocconi University, Tel Aviv University - Eitan Berglas School of Economics, University of Chicago - Department of Economics, London School of Hygiene and Tropical Medicine - Department of Infectious Disease and Epidemiology, Bocconi University - Department of Decision Sciences and London School of Hygiene and Tropical Medicine
Downloads 194 (179,442)

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model uncertainty, ambiguity, robustness, decision rules

12.

Pricing Uncertainty Induced by Climate Change

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-109
Number of pages: 52 Posted: 22 Aug 2019 Last Revised: 14 Nov 2019
Michael Barnett, William A. Brock and Lars Peter Hansen
Arizona State University (ASU) - Finance Department, University of Wisconsin, Madison - Department of Economics and University of Chicago - Department of Economics
Downloads 171 (202,470)
Citation 31

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13.

Nonlinearity and Temporal Dependence

Cowles Foundation Discussion Paper No. 1652, Yale Economics Department Working Paper No. 48
Number of pages: 32 Posted: 21 May 2008
Xiaohong Chen, Lars Peter Hansen and Marine Carrasco
Yale University - Cowles Foundation, University of Chicago - Department of Economics and University of Montreal - Departement de Ciences Economiques
Downloads 160 (213,217)

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Mixing, Diffusion, Strong dependence, Long memory, Poisson sampling

14.
Downloads 159 (213,217)
Citation 5

Shock Elasticities and Impulse Responses

Number of pages: 30 Posted: 17 Apr 2014 Last Revised: 25 Apr 2014
Jaroslav Borovička, Lars Peter Hansen and José Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 150 (224,265)

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shock elasticities, impulse response functions, risk pricing, Markov dynamics

Shock Elasticities and Impulse Responses

NBER Working Paper No. w20104
Number of pages: 31 Posted: 14 May 2014
Jaroslav Borovička, Lars Peter Hansen and José Scheinkman
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 9 (696,664)
Citation 1

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15.

Three Types of Ambiguity

Journal of Monetary Economics, Forthcoming, BFI Working Paper Series No. 2012-006
Number of pages: 109 Posted: 09 Jun 2012 Last Revised: 11 Jul 2012
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 156 (217,874)
Citation 12

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Robustness, ambiguity, martingales, Ramsey plan, commitment, local predictability, heterogeneous beliefs

Robust Identification of Investor Beliefs

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-69
Number of pages: 41 Posted: 20 May 2020 Last Revised: 02 Nov 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and MIT Sloan School of Management
Downloads 129 (253,325)

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Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory

Robust Identification of Investor Beliefs

Cowles Foundation Discussion Paper No. 2236
Number of pages: 63 Posted: 20 May 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and MIT Sloan School of Management
Downloads 22 (597,872)

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Asset pricing, Subjective beliefs, Long-term uncertainty, Ambiguity aversion, Cressie-Read divergence, Generalized empirical likelihood, Large deviation theory

Robust Identification of Investor Beliefs

NBER Working Paper No. w27257
Number of pages: 63 Posted: 02 Jun 2020
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and MIT Sloan School of Management
Downloads 4 (736,794)
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Recursive Utility in a Markov Environment with Stochastic Growth

Becker Friedman Institute for Research in Economics Working Paper No. 2012-002, Economic Theory Center Working Paper No. 32-2012
Number of pages: 26 Posted: 23 Feb 2012
Lars Peter Hansen and José Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 146 (229,299)
Citation 9

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recursive utility, Markov process, stochastic growth, large deviations

Recursive Utility in a Markov Environment with Stochastic Growth

Posted: 27 Feb 2012
José Scheinkman and Lars Peter Hansen
Columbia University and University of Chicago - Department of Economics

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recursive utility, Markov process, stochastic growth, large deviations

18.

Risk Pricing over Alternative Investment Horizons

Becker Friedman Institute for Research in Economics Working Paper No. 2012-008
Number of pages: 51 Posted: 11 Jul 2012
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 140 (238,032)
Citation 1

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risk pricing, dynamic value decomposition

19.

Structured Ambiguity and Model Misspecification

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2018-77
Number of pages: 46 Posted: 10 Nov 2018 Last Revised: 09 Nov 2020
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 130 (252,372)
Citation 13

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Ambiguity, misspecification, relative entropy, robustness, variational preferences, structured and unstructured models

20.
Downloads 129 (252,372)
Citation 43

Consumption Strikes Back?: Measuring Long-Run Risk

NBER Working Paper No. w11476
Number of pages: 56 Posted: 09 Aug 2005
Lars Peter Hansen, John Heaton and Nan Li
University of Chicago - Department of Economics, University of Chicago - Finance and Shanghai Jiao Tong University, Antai College of Economics and Management
Downloads 129 (253,325)
Citation 43

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Consumption Strikes Back? Measuring Long-Run Risk

Journal of Political Economy, Vol. 116, No. 2, 2008
Posted: 16 Feb 2017
Lars Peter Hansen, John Heaton and Nan Li
University of Chicago - Department of Economics, University of Chicago - Finance and Shanghai Jiao Tong University, Antai College of Economics and Management

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21.

Intangible Risk?

Measuring Capital in the New Economy, Carol Corrado, John Haltiwanger and Dan Sichel, editors, University of Chicago Press, 2005
Number of pages: 43 Posted: 19 Dec 2013
Lars Peter Hansen, John Heaton and Nan Li
University of Chicago - Department of Economics, University of Chicago - Finance and Shanghai Jiao Tong University, Antai College of Economics and Management
Downloads 128 (255,327)
Citation 2

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Intangible Risk, Value Premium, Adjustment Costs

Modeling the Long Run: Valuation in Dynamic Stochastic Economies

Number of pages: 84 Posted: 08 Aug 2008
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 101 (302,443)
Citation 1

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asset pricing, stochastic growth, risk-return tradeoff, long run

Modeling the Long Run: Valuation in Dynamic Stochastic Economies

NBER Working Paper No. w14243
Number of pages: 85 Posted: 18 Aug 2008 Last Revised: 05 Sep 2008
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 24 (583,835)

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23.
Downloads 124 (259,878)
Citation 5

Term Structure of Uncertainty in the Macroeconomy

Number of pages: 58 Posted: 09 Jun 2016
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 104 (296,501)

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asset pricing, impulse response functions, shock elasticities, financing frictions, martingales

Term Structure of Uncertainty in the Macroeconomy

NBER Working Paper No. w22364
Number of pages: 59 Posted: 27 Jun 2016
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 20 (612,225)

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24.

Asset Pricing Explorations for Macroeconomics

NBER Working Paper No. w4088
Number of pages: 76 Posted: 27 Apr 2000 Last Revised: 12 Sep 2010
John H. Cochrane and Lars Peter Hansen
Hoover Institution and University of Chicago - Department of Economics
Downloads 118 (271,311)
Citation 2

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25.
Downloads 115 (274,602)
Citation 18

Econometric Evaluation of Asset Pricing Models

NBER Working Paper No. t0145
Number of pages: 65 Posted: 24 Jul 2000 Last Revised: 14 Mar 2008
Lars Peter Hansen, Erzo G. J. Luttmer and John Heaton
University of Chicago - Department of Economics, University of Minnesota - Twin Cities - Department of Economics and University of Chicago - Finance
Downloads 115 (275,955)
Citation 1

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Econometric Evaluation of Asset Pricing Models

REVIEW OF FINANCIAL STUDIES, Vol 8 No 2
Posted: 29 Aug 1998
Lars Peter Hansen, Erzo G. J. Luttmer and John Heaton
University of Chicago - Department of Economics, University of Minnesota - Twin Cities - Department of Economics and University of Chicago - Finance

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26.

Principal Components and Long Run Implications of Multivariate Diffusions

Cowles Foundation Discussion Paper No. 1694
Number of pages: 52 Posted: 23 Apr 2009
Xiaohong Chen, Lars Peter Hansen and José Scheinkman
Yale University - Cowles Foundation, University of Chicago - Department of Economics and Columbia University
Downloads 114 (278,073)
Citation 2

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Nonlinear principal components, Discrete spectrum, Eigenvalue decay rates, Multivariate diffusion, Quadratic form, Conditional expectations operator

27.

Managing Expectations and Fiscal Policy

Number of pages: 39 Posted: 03 Nov 2009 Last Revised: 29 Aug 2013
Federal Reserve Banks - Federal Reserve Bank of Atlanta, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 111 (283,302)
Citation 9

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Ramsey plan, misspecification, robustness, taxes, debt, martingale, expansion

28.

Robustness and U.S. Monetary Policy Experimentation

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 29 Posted: 18 Sep 2008
Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 110 (285,188)
Citation 2

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Learning, model uncertainty, Bayes' law, Phillips curve, experimentation, robustness, pessimism, entropy

29.

Implications of Security Market Data for Models of Dynamic Economies

NBER Working Paper No. t0089
Number of pages: 56 Posted: 26 Jan 2007 Last Revised: 27 Jan 2007
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 108 (288,889)
Citation 23

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30.

Twisted Probabilities, Uncertainty, and Prices

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2019-02
Number of pages: 55 Posted: 15 Jan 2019
Lars Peter Hansen, Balint Szoke, Lloyd S. Han and Thomas J. Sargent
University of Chicago - Department of Economics, Board of Governors of the Federal Reserve System, University of Chicago and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 78 (355,362)
Citation 5

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Risk, uncertainty, relative entropy, robustness, asset prices, exponential quadratic stochastic discount factor

31.

Back to the Future: Generating Moment Implications for Continuous-Time Markov Processes

NBER Working Paper No. t0141
Number of pages: 56 Posted: 12 Jul 2000
Lars Peter Hansen and José Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 66 (389,840)

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32.

A Time Series Analysis of Representative Agent Models of Consumption Andleisure Choice Under Uncertainty

NBER Working Paper No. w1981
Number of pages: 43 Posted: 09 Mar 2004
Martin Eichenbaum, Lars Peter Hansen and Kenneth J. Singleton
Northwestern University, University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 64 (396,137)
Citation 11

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33.

Recursive Linear Models of Dynamic Economies

NBER Working Paper No. w3479
Number of pages: 41 Posted: 27 Jun 2007 Last Revised: 14 Jul 2010
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 63 (399,355)

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34.

Long Term Risk: An Operator Approach

NBER Working Paper No. w12650
Number of pages: 55 Posted: 20 Nov 2006 Last Revised: 27 Jul 2010
Lars Peter Hansen and José Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 58 (416,083)
Citation 26

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35.

Uncertainty Spillovers for Markets and Policy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-121
Number of pages: 31 Posted: 04 Sep 2020
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 57 (419,538)

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uncertainty, valuation, financial markets, policy, climate change, ambiguity, misspecification

Assessing Specification Errors in Stochastic Discount Factor Models

NBER Working Paper No. t0153
Number of pages: 42 Posted: 16 Jul 2000 Last Revised: 03 Dec 2020
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 50 (448,838)
Citation 1

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Assessing Specification Errors in Stochastic Discount Factor Models

JOURNAL OF FINANCE, Vol 52 No 2, June 1997
Posted: 10 Mar 1997
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management

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Assessing Specification Errors in Stochastic Discount Factor Models

Posted: 14 Mar 1996
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management

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37.

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

NBER Working Paper No. w2181
Number of pages: 52 Posted: 04 Jan 2007 Last Revised: 09 Sep 2008
Martin Eichenbaum and Lars Peter Hansen
Northwestern University and University of Chicago - Department of Economics
Downloads 46 (460,933)
Citation 2

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38.

Beliefs, Doubts and Learning: Valuing Economic Risk

NBER Working Paper No. w12948
Number of pages: 52 Posted: 09 Mar 2007
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 44 (469,314)
Citation 13

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39.

Efficient Estimation of Linear Asset Pricing Models with Moving-Average Errors

NBER Working Paper No. t0086
Number of pages: 55 Posted: 27 Jun 2007 Last Revised: 28 Sep 2010
Lars Peter Hansen and Kenneth J. Singleton
University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 43 (473,609)
Citation 5

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40.

Making Decisions under Model Misspecification

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-103
Number of pages: 58 Posted: 03 Aug 2020
affiliation not provided to SSRN, University of Chicago - Department of Economics, Bocconi University - Department of Decision Sciences and Bocconi University - Department of Decision Sciences
Downloads 41 (482,346)

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41.

Recursive Robust Estimation and Control Without Commitment

Bundesbank Series 1 Discussion Paper No. 2005,28
Number of pages: 56 Posted: 08 Jun 2016
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 15 (633,137)
Citation 19

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42.

Sets of Models and Prices of Uncertainty

NBER Working Paper No. w22000
Number of pages: 64 Posted: 22 Feb 2016
Lars Peter Hansen and Thomas J. Sargent
University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 10 (669,125)

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43.

Robust Permanent Income and Pricing with Filtering

Macroeconomic Dynamics, Vol. 6, pp. 40-84, 2002
Posted: 07 May 2005
Lars Peter Hansen, Thomas J. Sargent and Neng Wang
University of Chicago - Department of Economics, New York University (NYU) - Department of Economics, Leonard N. Stern School of Business and Columbia Business School - Finance and Economics

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Kalman filter, approximating model, Knightian uncertainty, robustness, equity premium, market price of uncertainty, permanent income