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

46

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633

CROSSREF CITATIONS

1,005

Scholarly Papers (46)

1.
Downloads 1,023 ( 27,955)
Citation 45

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 872 (34,467)

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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 91 (356,637)

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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 (484,417)
Citation 41

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Misspecified Recovery

Number of pages: 31 Posted: 16 Jun 2014 Last Revised: 20 Sep 2021
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 8 (770,107)

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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) - Laboratory for Financial Engineering
Downloads 1,008 (28,536)
Citation 2

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3.
Downloads 700 ( 47,140)
Citation 6

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 629 (53,654)
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 (413,923)
Citation 9

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4.
Downloads 423 ( 88,480)
Citation 20

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 394 (95,167)
Citation 1

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systemic risk, financial markets, macroeconomy

Challenges in Identifying and Measuring Systemic Risk

Number of pages: 21 Posted: 03 Nov 2012
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 29 (604,225)
Citation 7

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5.

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 348 (110,447)
Citation 18

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6.

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 & Tropical Medicine, Bocconi University, Tel Aviv University - Eitan Berglas School of Economics, University of Chicago - Department of Economics, London School of Hygiene & Tropical Medicine - Department of Infectious Disease and Epidemiology, Bocconi University - Department of Decision Sciences and London School of Hygiene and Tropical Medicine
Downloads 334 (115,680)
Citation 1

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model uncertainty, ambiguity, robustness, decision rules

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 184 (208,228)
Citation 5

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Examining Macroeconomic Models Through the Lens of Asset Pricing

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 129 (279,679)
Citation 18

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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

8.
Downloads 294 (132,571)
Citation 18

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 241 (161,591)
Citation 4

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

Risk Price Dynamics

Number of pages: 52 Posted: 17 Nov 2009 Last Revised: 16 May 2021
New York University (NYU) - Department of Economics, University of Chicago - Department of Economics, University of Chicago - Department of Economics and Columbia University
Downloads 27 (617,733)
Citation 7

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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 26 (624,829)

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

9.
Downloads 272 (143,741)
Citation 11

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 239 (162,877)
Citation 3

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Uncertainty Outside and Inside Economic Models

Number of pages: 56 Posted: 25 Aug 2014 Last Revised: 23 Sep 2021
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 33 (579,410)
Citation 3

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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 261 (149,811)
Citation 16

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

11.

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 258 (151,571)
Citation 56

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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 137 (267,097)
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 106 (322,526)
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

Number of pages: 55 Posted: 30 Apr 2019 Last Revised: 24 Jun 2021
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 (735,718)
Citation 3

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13.
Downloads 208 (186,359)
Citation 1

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 New York University (NYU) - Department of Economics
Downloads 175 (217,637)

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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 New York University (NYU) - Department of Economics
Downloads 28 (610,937)

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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

Number of pages: 63 Posted: 02 Jun 2020 Last Revised: 18 Nov 2021
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics
Downloads 5 (795,767)
Citation 1
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14.

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 167 (226,287)

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

15.
Downloads 165 (228,682)
Citation 8

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 151 (246,797)

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

Shock Elasticities and Impulse Responses

Number of pages: 31 Posted: 14 May 2014 Last Revised: 07 Jun 2021
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 14 (718,699)
Citation 3

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16.

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 159 (235,924)
Citation 15

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

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 149 (249,504)
Citation 10

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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.

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 147 (251,625)
Citation 12

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

19.

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 146 (253,058)
Citation 1

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Intangible Risk, Value Premium, Adjustment Costs

20.

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 141 (260,112)
Citation 1

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risk pricing, dynamic value decomposition

Consumption Strikes Back?: Measuring Long-Run Risk

Number of pages: 56 Posted: 09 Aug 2005 Last Revised: 11 Nov 2021
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 135 (270,157)
Citation 49

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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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22.
Downloads 127 (281,882)
Citation 6

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 106 (322,526)

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

Term Structure of Uncertainty in the Macroeconomy

Number of pages: 59 Posted: 27 Jun 2016 Last Revised: 11 Aug 2021
Jaroslav Borovička and Lars Peter Hansen
New York University (NYU) - Department of Economics and University of Chicago - Department of Economics
Downloads 21 (662,411)

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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 (333,252)
Citation 1

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

Modeling the Long Run: Valuation in Dynamic Stochastic Economies

Number of pages: 85 Posted: 18 Aug 2008 Last Revised: 03 Jun 2021
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 24 (639,507)

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24.

Asset Pricing Explorations for Macroeconomics

Number of pages: 76 Posted: 27 Apr 2000 Last Revised: 04 Sep 2021
John H. Cochrane and Lars Peter Hansen
Hoover Institution and University of Chicago - Department of Economics
Downloads 125 (285,310)
Citation 5

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25.
Downloads 125 (285,310)
Citation 23

Econometric Evaluation of Asset Pricing Models

Number of pages: 65 Posted: 24 Jul 2000 Last Revised: 26 Nov 2021
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 125 (286,505)
Citation 10

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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.

Implications of Security Market Data for Models of Dynamic Economies

Number of pages: 56 Posted: 26 Jan 2007 Last Revised: 07 Oct 2021
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 124 (286,976)
Citation 77

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27.

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 118 (297,382)
Citation 2

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

28.

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 116 (300,959)
Citation 9

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

29.

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 115 (302,824)
Citation 7

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

Uncertainty Spillovers for Markets and Policy

Posted: 12 Aug 2021
Lars Peter Hansen
University of Chicago - Department of Economics

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Uncertainty Spillovers for Markets and Policy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-121
Number of pages: 34 Posted: 04 Sep 2020 Last Revised: 03 Mar 2021
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 105 (324,679)

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

31.

Central Banking Challenges Posed by Uncertain Climate Change and Natural Disasters

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-64
Number of pages: 31 Posted: 01 Jun 2021 Last Revised: 03 Sep 2021
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 97 (342,003)

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32.

Making Decisions under Model Misspecification

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2020-103
Number of pages: 61 Posted: 03 Aug 2020 Last Revised: 12 Feb 2021
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 83 (374,330)

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33.

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 83 (374,330)
Citation 7

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

34.

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

Number of pages: 56 Posted: 12 Jul 2000 Last Revised: 23 May 2021
Lars Peter Hansen and José Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 70 (412,155)
Citation 2

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35.

Recursive Linear Models of Dynamic Economies

Number of pages: 41 Posted: 27 Jun 2007 Last Revised: 05 Jul 2021
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 69 (415,423)

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36.

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

Number of pages: 43 Posted: 09 Mar 2004 Last Revised: 02 Jun 2021
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 67 (421,981)
Citation 13

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37.

Long Term Risk: An Operator Approach

Number of pages: 55 Posted: 20 Nov 2006 Last Revised: 26 Jul 2021
Lars Peter Hansen and José Scheinkman
University of Chicago - Department of Economics and Columbia University
Downloads 61 (442,486)
Citation 34

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Assessing Specification Errors in Stochastic Discount Factor Models

Number of pages: 42 Posted: 16 Jul 2000 Last Revised: 04 Jun 2021
Lars Peter Hansen and Ravi Jagannathan
University of Chicago - Department of Economics and Northwestern University - Kellogg School of Management
Downloads 58 (460,193)
Citation 15

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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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39.

Estimating Models with Intertemporal Substitution Using Aggregate Time Series Data

Number of pages: 52 Posted: 04 Jan 2007 Last Revised: 19 Jun 2021
Martin Eichenbaum and Lars Peter Hansen
Northwestern University and University of Chicago - Department of Economics
Downloads 48 (493,045)
Citation 2

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40.

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

Number of pages: 55 Posted: 27 Jun 2007 Last Revised: 27 Sep 2021
Lars Peter Hansen and Kenneth J. Singleton
University of Chicago - Department of Economics and Stanford University - Graduate School of Business
Downloads 47 (497,418)
Citation 5

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41.

Beliefs, Doubts and Learning: Valuing Economic Risk

Number of pages: 52 Posted: 09 Mar 2007 Last Revised: 19 Nov 2021
Lars Peter Hansen
University of Chicago - Department of Economics
Downloads 45 (506,224)
Citation 15

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Climate Change Uncertainty Spillover in the Macroeconomy

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-90
Number of pages: 67 Posted: 30 Jul 2021 Last Revised: 03 Sep 2021
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 30 (597,659)

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Climate Change Uncertainty Spillover in the Macroeconomy

Number of pages: 61 Posted: 26 Jul 2021 Last Revised: 18 Nov 2021
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 7 (787,369)
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43.

Robust Inference for Moment Condition Models without Rational Expectations

University of Chicago, Becker Friedman Institute for Economics Working Paper No. 2021-122
Number of pages: 56 Posted: 20 Oct 2021
Xiaohong Chen, Lars Peter Hansen and Peter Hansen
Yale University - Cowles Foundation, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics
Downloads 27 (600,786)

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Subjective beliefs, bounded rationality, misspecification sets, nonlinear expectation, divergence, Lagrange multipliers, stochastic dual programming, confidence sets

44.

Recursive Robust Estimation and Control Without Commitment

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 18 (663,232)
Citation 18

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45.

Sets of Models and Prices of Uncertainty

Number of pages: 64 Posted: 22 Feb 2016 Last Revised: 13 Aug 2021
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 11 (716,507)

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46.

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