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Details about Andrei Semenov

E-mail:
Homepage:http://asemenov.info.yorku.ca/
Workplace:Department of Economics, York University, (more information at EDIRC)

Access statistics for papers by Andrei Semenov.

Last updated 2019-11-15. Update your information in the RePEc Author Service.

Short-id: pse675


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Working Papers

2010

  1. Asset Pricing in the Presence of Background Risk
    EcoMod2010, EcoMod Downloads
  2. Asset Pricing with Idiosyncratic Consumption Risk and Limited Participation
    EcoMod2004, EcoMod Downloads
    Also in Working Papers, York University, Department of Economics (2004) Downloads
  3. High-Order Consumption Moments and Asset Pricing
    EcoMod2004, EcoMod Downloads
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) Downloads View citations (9)
    2004 Meeting Papers, Society for Economic Dynamics (2004) Downloads View citations (5)
    Working Papers, York University, Department of Economics (2005) Downloads View citations (1)

2009

  1. Uninsurable Risk and Financial Market Puzzles
    MPRA Paper, University Library of Munich, Germany Downloads View citations (4)
    See also Journal Article in Journal of International Money and Finance (2011)

2003

  1. An Empirical Assessment of a Consumption CAPM with a Reference Level under Incomplete Consumption Insurance
    Working Papers, York University, Department of Economics Downloads
  2. Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level
    CIRANO Working Papers, CIRANO Downloads View citations (2)
    See also Journal Article in Finance Research Letters (2006)

Journal Articles

2017

  1. Background risk in consumption and the equity risk premium
    Review of Quantitative Finance and Accounting, 2017, 48, (2), 407-439 Downloads View citations (2)

2015

  1. The small-cap effect in the predictability of individual stock returns
    International Review of Economics & Finance, 2015, 38, (C), 178-197 Downloads View citations (3)

2011

  1. Uninsurable risk and financial market puzzles
    Journal of International Money and Finance, 2011, 30, (6), 1055-1089 Downloads View citations (2)
    See also Working Paper (2009)

2009

  1. Risk factor beta conditional value-at-risk
    Journal of Forecasting, 2009, 28, (6), 549-558 Downloads View citations (5)

2008

  1. Estimation of the consumption CAPM with imperfect sample separation information
    International Journal of Finance & Economics, 2008, 13, (4), 333-348 Downloads View citations (3)
  2. Historical simulation approach to the estimation of stochastic discount factor models
    Quantitative Finance, 2008, 8, (4), 391-404 Downloads
  3. Testing the random walk hypothesis through robust estimation of correlation
    Computational Statistics & Data Analysis, 2008, 52, (5), 2504-2513 Downloads View citations (2)

2006

  1. Disentangling risk aversion and intertemporal substitution through a reference level
    Finance Research Letters, 2006, 3, (3), 181-193 Downloads View citations (14)
    See also Working Paper (2003)
  2. The measure of relative risk aversion in the consumption CAPM with power utility
    Applied Financial Economics Letters, 2006, 2, (2), 111-114 Downloads
 
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