Estimating and Testing Long-Run Risk Models: International Evidence

The Essex Centre for Macro and Financial Econometric warmly invites you to join guest speaker Professor Junye Li from Fudan University as he explores his research on long-run risk models.

  • Wed 27 Oct 21

    14:00 - 16:00

  • Online

    Join this seminar

  • Event speaker

    Professor Junye Li, Fudan University

  • Event type

    Lectures, talks and seminars
    Essex Centre for Macro and Financial Econometric (ECMFE) Research Seminar Series

  • Event organiser

    Essex Business School

  • Contact details

    Dr Yuqian Zhao

The Essex Centre for Macro and Financial Econometrics (ECMFE) brings together academics and industry expertise from inside and outside the University of Essex to research and help solve important issue in financial markets.

Seminar abstract

We estimate and test long-run risk models using international macroeconomic and financial data.

The benchmark model features a representative agent who has recursive preferences with a time preference shock, a persistent component in expected consumption growth, and stochastic volatility in fundamentals characterized by an autoregressive Gamma process.

We construct a comprehensive dataset with quarterly frequency in the post-war period for ten developed countries and employ an efficient likelihood-based Bayesian method that exploits up-to-date sequential Monte Carlo methods to make full econometric inference.

Our estimation provides international evidence in support of long-run risks, time-varying preference shocks, and countercyclicality of the stochastic discount factor.


How to join this seminar

This seminar is free to attend with no need to register in advance.

We welcome you to join this seminar on Wednesday 27 October at 2pm

Please note this seminar link is protected by a password. Please contact the organiser Dr Yuqian Zhao for access to the passcode.


Speaker bio

Junye Li is a Professor of Finance in the School of Management, Fudan University.

His current research interests are in the areas of;

  • financial econometrics,
  • empirical asset pricing,
  • macro finance
  • financial data analytics.

His work has been published in many top econometrics /finance journals.

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