We propose an asset pricing model with generalized disappointment aversion preferences and long-run volatility risk. With Markov switching fundamentals, we derive closed-form solutions for all returns moments and predictability ...

Apresentação do palestrante Martin Eichenbaum - Northwestern University no contexto do evento "3rd Global Conference - Business Cycles". Mais informações em: <http://epge.fgv.br/conferencias/business-cycles/pt/index.php>.

We address the noted puzzle that despite increased capital mobility, international consumption risk sharing appears to be very limited. For all possible country pairings, we measure idiosyncratic consumption as the difference ...

The thesis consists in three articles about the estimation of asset pricing models. The first paper analyses small sample properties of Generalized Empirical Likelihood estimators for the risk aversion parameter in CRRA ...

Hamstring strain injury (HSI) remains the most common muscle injury in high-intensity running in humans. The majority of acute HSI occur specifically within the proximal region of the long head of biceps femoris and there ...

Background: Diabetes is associated to a high financial and disease burden, explaining a large proportion of expenditure of the health system in one year. The purpose of this study was to estimate long-term costs and health ...

Background: Running is a popular sport with widely recognized health benefits. Given the high rates of knee injury in runners and the growing prevalence of knee osteoarthritis (KOA), it may be useful to assess perceptions ...

In this article, we formulate a time-scale decomposition of an international version of the CAPM that accounts for both market and exchange rate risk. In addition, we derive an analytical formula for time-scale value at ...