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The Dynamics of Crises and the Equity Premium
(2015-05-18)
It is a major challenge for asset pricing models to generate a high equity premium and a low risk-free rate while imposing realistic consumption dynamics. To address this issue, our paper proposes a novel pricing channel: ...
Partial Information about Contagion Risk, Self-Exciting Processes and Portfolio Optimization
(2013-04-18)
This paper compares two classes of models that allow for additional channels of correlation between asset returns: regime switching models with jumps and models with contagious jumps. Both classes of models involve a hidden ...
Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change
(2018-09-24)
This paper studies a dynamic stochastic general equilibrium model involving climate change. Our framework allows for feedback effects on the temperature dynamics. We are able to match estimates of future temperature ...
CMIP5
Under the World Climate Research Programme (WCRP) the Working Group on Coupled Modelling (WGCM) established the Coupled Model Intercomparison Project (CMIP) as a standard experimental protocol for studying the output of ...
Met Office
The Met Office is the national meteorological service for the UK. We provide critical weather services and world-leading climate science, helping you make better decisions to stay safe and thrive.
McKinsey
To provide a fact base on emissions-reduction opportunities and their associated cost and investment needs, McKinsey is continuously researching the topic of abatement or mitigation. We published our first global greenhouse ...
IPCC
The Task Group on Data Support for Climate Change Assessments aims to provide guidance to the IPCC’s Data Distribution Centre on curation, traceability, stability, availability and transparency of data and scenarios related ...