We extend the canonical income process with persistent and transitory risk to shock distributions with left … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

We extend the canonical income process with persistent and transitory risk to shock distributions with left … data from the United States. We find countercyclical variance and procyclical skewness of persistent shocks. All shock …

drift terms where their drifts are abruptly changed by a random shock. Under the assumption of lead-lag relationship between …