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  • Search: subject:"Multi-factor linear models"
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Year of publication
Subject
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Multi-factor linear models 3 Stochastic volatility 3 CAPM 2 Modellierung 2 Scientific modelling 2 Stochastic process 2 Stochastischer Prozess 2 Structural break 2 Structural breaks 2 Strukturbruch 2 Theorie 2 Theory 2 USA 2 United States 2 Volatility 2 Volatilität 2 Asset Pricing 1 Asset pricing 1 Change-point model 1 Estimation 1 Schätzung 1 Time series analysis 1 Zeitreihenanalyse 1
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Online availability
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Free 2 Undetermined 1
Type of publication
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Book / Working Paper 2 Article 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Bianchi, Daniele 3 Guidolin, Massimo 3 Ravazzolo, Francesco 3
Institution
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Norges Bank 1
Published in...
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Journal of business & economic statistics : JBES ; a publication of the American Statistical Association 1 Working Paper / Norges Bank 1 Working papers / Innocenzo Gasparini Institute for Economic Research 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Cover Image
Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - Norges Bank - 2013
This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes that risk exposures and idiosynchratic volatility follow a break-point...
Persistent link: https://www.econbiz.de/10010787769
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Cover Image
Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
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