Ian Martin : Citation Profile


Are you Ian Martin?

London School of Economics (LSE)

10

H index

10

i10 index

413

Citations

RESEARCH PRODUCTION:

9

Articles

23

Papers

RESEARCH ACTIVITY:

   11 years (2008 - 2019). See details.
   Cites by year: 37
   Journals where Ian Martin has often published
   Relations with other researchers
   Recent citing documents: 88.    Total self citations: 20 (4.62 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma1585
   Updated: 2019-11-16    RAS profile: 2019-11-14    
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Relations with other researchers


Works with:

Pindyck, Robert (6)

Kremens, Lukas (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Ian Martin.

Is cited by:

Gollier, Christian (25)

Hassan, Tarek (14)

Gourio, Francois (14)

Chernov, Mikhail (14)

Verdelhan, Adrien (8)

Meinerding, Christoph (8)

Schrimpf, Andreas (8)

Gillman, Max (7)

Roussanov, Nikolai (7)

Kejak, Michal (7)

Lustig, Hanno (7)

Cites to:

Pindyck, Robert (7)

Backus, David (4)

Barro, Robert (4)

Kremens, Lukas (3)

Chernov, Mikhail (3)

Weitzman, Martin (3)

Wagner, Christian (3)

Zin, Stanley (2)

Cropper, Maureen (2)

Verdelhan, Adrien (2)

Weitzman, Martin (2)

Main data


Where Ian Martin has published?


Journals with more than one article published# docs
American Economic Review3
Journal of Finance2

Recent works citing Ian Martin (2019 and 2018)


YearTitle of citing document
2019Does Incomplete Spanning in International Financial Markets Help to Explain Exchange Rates?. (2019). Verdelhan, Adrien ; Lustig, Hanno. In: American Economic Review. RePEc:aea:aecrev:v:109:y:2019:i:6:p:2208-44.

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2019Model-Free Implied Volatility under Jump-Diffusion Models. (2019). YANG, HONGTAO ; Choi, Seungmook . In: Review of Economics & Finance. RePEc:bap:journl:190201.

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2018Uncovered Return Parity: Equity Returns and Currency Returns. (2018). Dunbar, Geoffrey ; Djeutem, Edouard. In: Staff Working Papers. RePEc:bca:bocawp:18-22.

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2018An intermediation-based model of exchange rates. (2018). Schrimpf, Andreas ; Malamud, Semyon. In: BIS Working Papers. RePEc:bis:biswps:743.

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2018Non-monetary news in central bank communication. (2018). Schrimpf, Andreas ; Cieslak, Anna. In: BIS Working Papers. RePEc:bis:biswps:761.

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2018The equity risk premium and the low frequency of the term spread. (2018). Verona, Fabio ; Faria, Gonalo. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_007.

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2019Market-based monetary policy uncertainty. (2019). Lakdawala, Aeimit ; Bauer, Michael ; Mueller, Philippe. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7621.

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2019Personalized prices and uncertainty in monopsony. (2019). Sákovics, József ; burguet, roberto. In: Working Papers. RePEc:cfl:wpaper:2019-01rb.

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2018Volatility, Diversification and Contagion. (2018). Sentana, Enrique. In: Working Papers. RePEc:cmf:wpaper:wp2018_1803.

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2017Comparing Alternative Policies Against Environmental Catastrophes. (2017). Dixit, Avinash ; Besley, Timothy. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11802.

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2018The Lost Capital Asset Pricing Model. (2018). Andrei, Daniel ; Wilson, Mungo ; Cujean, Julien. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12607.

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2018Intermediation markups and monetary policy pass-through. (2018). Schrimpf, Andreas ; Malamud, Semyon. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12623.

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2018Pricing Carbon Under Economic and Climactic Risks: Leading-Order Results from Asymptotic Analysis. (2018). van der Ploeg, Frederick (Rick) ; van den Bremer, Ton . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12642.

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2018Generalized Recovery. (2018). Lando, David ; Jensen, Christian Skov ; Pedersen, Lasse Heje. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12665.

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2018Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12760.

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2018Volatility, diversification and contagion. (2018). Sentana, Enrique. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12824.

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2018An Intermediation-Based Model of Exchange Rates. (2018). Schrimpf, Andreas ; Malamud, Semyon. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13182.

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2019Business Cycles and Currency Returns. (2019). Sarno, Lucio ; Riddiough, Steven ; Colacito, Ric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14015.

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2019Score-driven time series models with dynamic shape : an application to the Standard & Poors 500 index. (2019). Escribano, Alvaro ; Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28133.

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2019Maximum likelihood estimation of score-driven models with dynamic shape parameters : an application to Monte Carlo value-at-risk. (2019). Blazsek, Szabolcs ; Ayala, Astrid ; Saez, Alvaro Escribano. In: UC3M Working papers. Economics. RePEc:cte:werepe:28638.

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2017How expensive should CO2 be? Fuel for the debate on optimal climate policy. (2017). Poelhekke, Steven. In: DNB Working Papers. RePEc:dnb:dnbwpp:579.

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2019Personalized Prices and Uncertainty in Monopsony. (2019). Sákovics, József ; Burguet, Roberto. In: ESE Discussion Papers. RePEc:edn:esedps:290.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2018Stochastic volatility implies fourth-degree risk dominance: Applications to asset pricing. (2018). Gollier, Christian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:95:y:2018:i:c:p:155-171.

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2018Equilibrium variance risk premium in a cost-free production economy. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:96:y:2018:i:c:p:42-60.

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2019Long horizon predictability: An asset allocation perspective. (2019). Poncet, Patrice ; Lioui, Abraham. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:961-975.

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2019Isolating the disaster risk premium with equity options. (2019). Horvath, Jaroslav. In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:138-148.

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2018Risk-neutral moments in the crude oil market. (2018). Ruan, Xinfeng ; Zhang, Jin E. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:583-600.

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2019Moment spreads in the energy market. (2019). Zhang, Jin E ; Ruan, Xinfeng. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:598-609.

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2018Stock return expectations in the credit market. (2018). Byström, Hans ; Bystrom, Hans. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:85-92.

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2019Non-monetary news in central bank communication. (2019). Schrimpf, Andreas ; Cieslak, Anna. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:293-315.

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2018Risk aversion as risk-neutral pessimism: A simple proof. (2018). Heaton, J B. In: International Review of Law and Economics. RePEc:eee:irlaec:v:56:y:2018:i:c:p:70-72.

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2018Estimating risk-return relations with analysts price targets. (2018). Wu, Liuren. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:183-197.

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2019The social cost of carbon revisited. (2019). Pindyck, Robert. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:94:y:2019:i:c:p:140-160.

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2019Valuation of natural capital under uncertain substitutability. (2019). Gollier, Christian. In: Journal of Environmental Economics and Management. RePEc:eee:jeeman:v:94:y:2019:i:c:p:54-66.

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2018Doubts and variability: A robust perspective on exotic consumption series. (2018). Bidder, Rhys ; Smith, M E. In: Journal of Economic Theory. RePEc:eee:jetheo:v:175:y:2018:i:c:p:689-712.

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2018Term structures of asset prices and returns. (2018). Boyarchenko, Nina ; Chernov, Mikhail ; Backus, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:1-23.

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2018Do stocks outperform Treasury bills?. (2018). Bessembinder, Hendrik. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:3:p:440-457.

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2019The CAPM strikes back? An equilibrium model with disasters. (2019). Zhang, Lu ; Rica, E ; Kung, Howard ; Hou, Kewei ; Bai, Hang . In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:2:p:269-298.

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2019Bear beta. (2019). Murray, Scott ; Lu, Zhongjin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:736-760.

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2019Variance risk in aggregate stock returns and time-varying return predictability. (2019). Pyun, Sungjune. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:1:p:150-174.

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2019An anatomy of the market return. (2019). Schneider, Paul. In: Journal of Financial Economics. RePEc:eee:jfinec:v:132:y:2019:i:2:p:325-350.

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2019Generalized recovery. (2019). Pedersen, Lasse Heje ; Lando, David ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:154-174.

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2019Planetary boundaries of consumption growth: Declining social discount rates. (2019). Katz, Yuri A ; Gluzberg, Victor E. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:521:y:2019:i:c:p:362-374.

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2017Can a hazardous event be another source of poverty traps ?. (2017). Mavi, Can. In: Working Papers. RePEc:fae:wpaper:2017.14.

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2019Disaster risks, disaster strikes and economic growth: the role of preferences. (2019). Douenne, Thomas. In: Working Papers. RePEc:fae:wpaper:2019.05.

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2019Market-Based Monetary Policy Uncertainty. (2019). Mueller, Philippe ; Lakdawala, Aeimit ; Bauer, Michael. In: Working Paper Series. RePEc:fip:fedfwp:2019-12.

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2018Preventing Controversial Catastrophes. (2018). Osambela, Emilio ; Hollifield, Burton ; Baker, Steven D. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-52.

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2018Accounting for Macro-Finance Trends: Market Power, Intangibles, and Risk Premia. (2018). Gourio, Francois ; Farhi, Emmanuel. In: Working Paper Series. RePEc:fip:fedhwp:wp-2018-19.

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2018Relative pricing and risk premia in equity volatility markets. (2018). Van Tassel, Peter. In: Staff Reports. RePEc:fip:fednsr:867.

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2019Can harmful events be another source of environmental traps?. (2019). Mavi, Can Askan. In: CEE-M Working Papers. RePEc:hal:wpceem:halshs-02141789.

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2018Unequal Returns: Using the Atkinson Index to Measure Financial Risk. (2018). Fischer, Thomas ; Lundtofte, Frederik . In: Working Papers. RePEc:hhs:lunewp:2018_025.

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2017Averting catastrophes in a more complex world. (2017). Aurland-Bredesen, Kine Josefine. In: Working Paper Series. RePEc:hhs:nlsseb:2017_006.

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2017Resource Extraction and Uncertain Tipping Points. (2017). Vislie, Jon . In: Memorandum. RePEc:hhs:osloec:2017_003.

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2019A critique of momentum anomalies. (2019). de Oliveira, Thiago. In: Discussion Papers of Business and Economics. RePEc:hhs:sdueko:2019_005.

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2018“Scaling Down Downside Risk with Inter-Quantile Semivariances”. (2018). Uribe, Jorge. In: IREA Working Papers. RePEc:ira:wpaper:201826.

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2018The pricing kernel puzzle: survey and outlook. (2018). Cuesdeanu, Horatio ; Jackwerth, Jens Carsten. In: Annals of Finance. RePEc:kap:annfin:v:14:y:2018:i:3:d:10.1007_s10436-017-0317-9.

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2019Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy. (2019). Perera, Sandun ; Buckley, Winston. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-018-0335-2.

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2017Attitudes Toward Catastrophe. (2017). TREICH, Nicolas ; Rheinberger, Christoph. In: Environmental & Resource Economics. RePEc:kap:enreec:v:67:y:2017:i:3:d:10.1007_s10640-016-0033-3.

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2017Coping with Multiple Catastrophic Threats. (2017). Tsur, Yacov ; Zemel, Amos. In: Environmental & Resource Economics. RePEc:kap:enreec:v:68:y:2017:i:1:d:10.1007_s10640-017-0144-5.

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2018Comparative precautionary saving under higher-order risk and recursive utility. (2018). Bostian, AJ A. ; Heinzel, Christoph ; AJ A. Bostian, . In: The Geneva Papers on Risk and Insurance Theory. RePEc:kap:geneva:v:43:y:2018:i:1:d:10.1057_s10713-018-0030-2.

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2018Pricing Carbon Under Economic and Climatic Risks: Leading-Order Results from Asymptotic Analysis. (2018). van der Ploeg, Frederick (Rick) ; VAN DERPLOEG, RICK ; van den Bremer, Ton S. In: OxCarre Working Papers. RePEc:oxf:oxcrwp:203.

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2018Pricing Carbon and Adjusting Capital to Fend off Climate Catastrophes. (2018). van der Ploeg, Frederick (Rick) ; de Zeeuw, Aart ; VAN DERPLOEG, RICK . In: OxCarre Working Papers. RePEc:oxf:oxcrwp:207.

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2018Comparative precautionary saving under higher-order risk and recursive utility. (2018). Heinzel, Christoph ; Bostian, Aj A. In: The Geneva Risk and Insurance Review. RePEc:pal:genrir:v:43:y:2018:i:1:d:10.1057_s10713-018-0030-2.

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2019Global Price of Risk and Stabilization Policies. (2019). Adrian, Tobias ; Vogt, Erik ; Stackman, Daniel. In: IMF Economic Review. RePEc:pal:imfecr:v:67:y:2019:i:1:d:10.1057_s41308-019-00075-3.

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2018CONTAGIO FINANCIERO: UNA BREVE REVISIÓN DE LITERATURA. (2018). Paucar, Giovanny Sandoval. In: MPRA Paper. RePEc:pra:mprapa:89554.

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2019Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH. (2019). Sandoval Paucar, Giovanny. In: MPRA Paper. RePEc:pra:mprapa:92534.

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2018The Contribution of Frictions to Expected Returns. (2018). Skiadopoulos, George ; Hiraki, Kazuhiro. In: Working Papers. RePEc:qmw:qmwecw:874.

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2018A three mutual fund separation theorem. (2018). Alvarez, Fernando. In: 2018 Meeting Papers. RePEc:red:sed018:1066.

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2018Investigating Global Labor and Pro t Shares. (2018). Gutierrez, German. In: 2018 Meeting Papers. RePEc:red:sed018:165.

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2018Shifts in Sectoral Wealth Shares and Risk Premia: What Explains Them?. (2018). Ward, Colin ; Yaron, Amir ; Bansal, Ravi. In: 2018 Meeting Papers. RePEc:red:sed018:599.

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2018Aggregate Expected Investment Growth and Stock Market Returns. (2018). Yu, Jianfeng ; Wang, Huijun ; Li, Jun. In: ADBI Working Papers. RePEc:ris:adbiwp:0808.

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2019Market-Based Monetary Policy Uncertainty. (2019). Lakdawala, Aeimit ; Bauer, Michael ; Mueller, Philippe. In: Working Papers. RePEc:ris:msuecw:2019_002.

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2019FLIGHTS TO SAFETY. (2019). Wei, Min ; Inghelbrecht, Koen ; Bekaert, Geert ; Baele, Lieven. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:19/968.

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2017The risk of climate ruin. (2017). Dietz, Simon ; Silver, Nick G ; Bettis, Oliver D. In: Climatic Change. RePEc:spr:climat:v:140:y:2017:i:2:d:10.1007_s10584-016-1846-3.

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2019Nonparametric Assessment of Hedge Fund Performance. (2019). Garcia, René ; Ardison, Kim ; Almeida, Caio. In: TSE Working Papers. RePEc:tse:wpaper:123176.

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2018Valuation of natural capital under uncertain substitutability. (2018). Gollier, Christian. In: TSE Working Papers. RePEc:tse:wpaper:31743.

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2017CATASTROPHIC THRESHOLDS, BAYESIAN LEARNING AND THE ROBUSTNESS OF CLIMATE POLICY RECOMMENDATIONS. (2017). Chang, Wonjun ; Rutherford, Thomas F. In: Climate Change Economics (CCE). RePEc:wsi:ccexxx:v:08:y:2017:i:04:n:s2010007817500142.

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2019Extreme inflation and time-varying consumption growth. (2019). Meinerding, Christoph ; Schlag, Christian ; Dergunov, Ilya . In: Discussion Papers. RePEc:zbw:bubdps:162019.

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2018Equilibrium asset pricing in directed networks. (2018). Meinerding, Christoph ; Schlag, Christian ; Konermann, Patrick ; Branger, Nicole. In: Discussion Papers. RePEc:zbw:bubdps:372018.

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2019The rebound effect and its representation in energy and climate models. (2019). Madlener, Reinhard ; Löschel, Andreas ; Loschel, Andreas ; Colmenares, Gloria. In: CAWM Discussion Papers. RePEc:zbw:cawmdp:106.

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2019Borrowers under water! Rare disasters, regional banks, and recovery lending. (2016). Noth, Felix ; Koetter, Michael ; Rehbein, Oliver. In: IWH Discussion Papers. RePEc:zbw:iwhdps:312016.

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2019Using age-structure for a multi-stage optimal control model with random switching time. (2019). Kuhn, Michael ; Frankovic, Ivan ; Wrzaczek, Stefan. In: ECON WPS - Vienna University of Technology Working Papers in Economic Theory and Policy. RePEc:zbw:tuweco:062019.

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Works by Ian Martin:


YearTitleTypeCited
2015Averting Catastrophes: The Strange Economics of Scylla and Charybdis In: American Economic Review.
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article24
2015Averting Catastrophes: The Strange Economics of Scylla and Charybdis.(2015) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 24
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2015Averting catastrophes: the strange economics of Scylla and Charybdis.(2015) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 24
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2014Averting Catastrophes: The Strange Economics of Scylla and Charybdis.(2014) In: NBER Working Papers.
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This paper has another version. Agregated cites: 24
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2019The Quanto Theory of Exchange Rates In: American Economic Review.
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article2
2017The Quanto Theory of Exchange Rates.(2017) In: CEPR Discussion Papers.
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2019The quanto theory of exchange rates.(2019) In: LSE Research Online Documents on Economics.
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2008Disasters and the Welfare Cost of Uncertainty In: American Economic Review.
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article17
2011Disasters Implied by Equity Index Options In: Journal of Finance.
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article102
2009Disasters implied by equity index options.(2009) In: CEPR Discussion Papers.
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2009Disasters implied by equity index options.(2009) In: NBER Working Papers.
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2009Disasters Implied by Equity Index Options.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 102
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2019What Is the Expected Return on a Stock? In: Journal of Finance.
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article25
2016What is the Expected Return on a Stock?.(2016) In: CEPR Discussion Papers.
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2017What Is the Expected Return on a Stock?.(2017) In: 2017 Meeting Papers.
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2015What is the Expected Return on the Market? In: CEPR Discussion Papers.
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2017What is the expected return on the market?.(2017) In: LSE Research Online Documents on Economics.
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2017What is the Expected Return on the Market?.(2017) In: The Quarterly Journal of Economics.
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2018Options and the Gamma Knife In: CEPR Discussion Papers.
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2018Notes on the Yield Curve In: CEPR Discussion Papers.
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2019Volatility, Valuation Ratios, and Bubbles: An Empirical Measure of Market Sentiment In: CEPR Discussion Papers.
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2019Sentiment and Speculation in a Market with Heterogeneous Beliefs In: CEPR Discussion Papers.
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2013The Lucas Orchard In: Econometrica.
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article52
2011The Lucas Orchard.(2011) In: NBER Working Papers.
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2010Consumption-Based Asset Pricing with Higher Cumulants In: NBER Working Papers.
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2013Consumption-Based Asset Pricing with Higher Cumulants.(2013) In: Review of Economic Studies.
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This paper has another version. Agregated cites: 73
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2010The Valuation of Long-Dated Assets In: NBER Working Papers.
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2012On the Valuation of Long-Dated Assets.(2012) In: Journal of Political Economy.
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This paper has another version. Agregated cites: 18
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2011Simple Variance Swaps In: NBER Working Papers.
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2011The Forward Premium Puzzle in a Two-Country World In: NBER Working Papers.
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2017Averting Catastrophes that Kill In: NBER Working Papers.
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2019Welfare Costs of Catastrophes: Lost Consumption and Lost Lives In: NBER Working Papers.
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paper0

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