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Heterogeneity in the Internationalization of R&D: Implications for Anomalies in Finance and Macroeconomics
(2017-10-17)
Empirical evidence suggests that investments in research and development (R&D) by older and larger firms are more spread out internationally than R&D investments by younger and smaller firms. In this paper, I explore the ...
Volatility-of-Volatility Risk
(2018-05-01)
We show that time-varying volatility of volatility is a significant risk factor which affects the cross-section and the time-series of index and VIX option returns, beyond volatility risk itself. Volatility and ...
Optimists and Pessimists in (In)Complete Markets
(2019-06-06)
We study the effects of market incompleteness on speculation, investor survival, and asset pricing moments, when investors disagree about the likelihood of jumps and have recursive preferences. We consider two models. In ...
Risk Pooling, Leverage, and the Business Cycle
(2020-02-25)
This paper studies the impact of financial sector size and leverage on business cycles and risk-free rates dynamics. We model a general equilibrium productive economy where financial intermediaries provide costly risk ...
MSCI TRI
MSCI Total Return Index
OECD
The Organisation for Economic Co-operation and Development (OECD) is an international organisation that works to build better policies for better lives. Our goal is to shape policies that foster prosperity, equality, ...
RJS
Robert J. Shiller's online data
BEA NIPA
BEA's national economic accounts provide a comprehensive picture of the U.S. economy and feature many macroeconomic statistics.
NOAA
Climate Data Online (CDO) provides free access to NCDC's archive of global historical weather and climate data in addition to station history information. These data include quality controlled daily, monthly, seasonal, and ...
KLEMS
EU KLEMS project aims to create a database on measures of economic growth, productivity, employment creation, capital formation and technological change at the industry level for all European Union member states from 1970 onwards.