Saturday, August 20, 2011, 8:30-10:15 am; Financial Econometrics
Long Run Risk - C6

Session Chair: Grigory Vilkov, Goethe University Frankfurt

• Predictable Risks and Predictive Regression in Present-Value Models PDF
  Ilaria Piatti, Fabio Trojani
  University of Lugano; Swiss Finance Institute
  • Discussant: Charlotte Christiansen, Aarhus University

• Long Run Risk and the Persistence of Consumption Shocks PDF
  Fulvio Ortu, Andrea Tamoni, Claudio Tebaldi
  Università L.Bocconi
  • Discussant: Robert Ready, University of Pennsylvania

• Model Uncertainty for Long-Term Investors PDF
  Bart Diris
  Erasmus University
  • Discussant: Adrian Buss, Goethe University Frankfurt