EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"dynamic asset pricing"
Narrow search

Narrow search

Year of publication
Subject
All
dynamic asset pricing 8 intermediary asset pricing 5 CAPM 4 Dynamic asset pricing 3 Estimation 3 Risikoprämie 3 Risk premium 3 Schätzung 3 VAR-Modell 3 asset management 3 flight to safety 3 nonlinear regressions 3 risk-return trade-off 3 volatility 3 Börsenkurs 2 Capital income 2 Conditional moment restrictions 2 Consensus Forecasts 2 Copulas 2 Dynamic Asset Pricing Model 2 Economic forecast 2 Erwartungsbildung 2 Expectation formation 2 Factor Risk Premia 2 Forecasting model 2 GARCH 2 Kapitaleinkommen 2 Macroeconomic Expectations 2 Mixture VAR 2 Mixtures 2 Nonlinear ill-posed inverse 2 Nonlinear time series 2 Nonparametric endogeneity 2 Penalized sieve M estimation 2 Penalized sieve minimum distance 2 Prognoseverfahren 2 Risiko 2 Risk 2 Semiparametric two-step 2 Share price 2
more ... less ...
Online availability
All
Free 15 CC license 1
Type of publication
All
Book / Working Paper 14 Article 1
Type of publication (narrower categories)
All
Working Paper 10 Arbeitspapier 4 Graue Literatur 4 Non-commercial literature 4 Article in journal 1 Aufsatz in Zeitschrift 1
Language
All
English 12 Undetermined 3
Author
All
Adrian, Tobias 4 Haase, Felix 4 Neuenkirch, Matthias 4 Vogt, Erik 3 Baltzer, Markus 2 Chen, Xiaohong 2 Crump, Richard 2 Crump, Richard K. 2 Koehl, Alexandra 2 Reitz, Stefan 2 Fabozzi, Frank J. 1 Garofalo, Giuseppe 1 Gnawali, Jagdish 1 Lindquist, W. Brent 1 Moench, Emanuel 1 Ng, David T.C. 1 Račev, Svetlozar T. 1 Sansone, Alessandro 1
more ... less ...
Institution
All
Charles H. Dyson School of Applied Economics and Management, Cornell University 1 Cowles Foundation for Research in Economics, Yale University 1 Dipartimento di Economia e Diritto, Facoltà di Economia 1 Federal Reserve Bank of New York 1
Published in...
All
Staff Report 2 CESifo Working Paper 1 CESifo working papers 1 Cowles Foundation Discussion Papers 1 Deutsche Bundesbank Discussion Paper 1 Discussion paper 1 Research Papers in Economics 1 Research papers in economics 1 Risks : open access journal 1 Staff Reports / Federal Reserve Bank of New York 1 Staff reports / Federal Reserve Bank of New York 1 Working Papers / Charles H. Dyson School of Applied Economics and Management, Cornell University 1 Working Papers / Dipartimento di Economia e Diritto, Facoltà di Economia 1 cemmap working paper 1
more ... less ...
Source
All
EconStor 6 ECONIS (ZBW) 5 RePEc 4
Showing 1 - 10 of 15
Cover Image
Dynamic asset pricing in a unified Bachelier-Black-Scholes-Erton model
Lindquist, W. Brent; Račev, Svetlozar T.; Gnawali, Jagdish - In: Risks : open access journal 12 (2024) 9, pp. 1-24
We present a unified, market-complete model that integrates both Bachelier and Black- Scholes-Merton frameworks for asset pricing. The model allows for the study, within a unified framework, of asset pricing in a natural world that experiences the possibility of negative security prices or...
Persistent link: https://www.econbiz.de/10015065971
Saved in:
Cover Image
Macroeconomic Expectations and State-Dependent Factor Returns
Haase, Felix; Neuenkirch, Matthias - 2023
, by extending the dynamic asset pricing model of Adrian et al. (2015), we show that GDP forecasts and their dispersion are …
Persistent link: https://www.econbiz.de/10014469728
Saved in:
Cover Image
Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023
, by extending the dynamic asset pricing model of Adrian et al. (2015), we show that GDP forecasts and their dispersion are …
Persistent link: https://www.econbiz.de/10014476180
Saved in:
Cover Image
Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023
, by extending the dynamic asset pricing model of Adrian et al. (2015), we show that GDP forecasts and their dispersion are …
Persistent link: https://www.econbiz.de/10014388605
Saved in:
Cover Image
Macroeconomic expectations and state-dependent factor returns
Haase, Felix; Neuenkirch, Matthias - 2023 - First Draft: October 15, 2023
, by extending the dynamic asset pricing model of Adrian et al. (2015), we show that GDP forecasts and their dispersion are …
Persistent link: https://www.econbiz.de/10014381149
Saved in:
Cover Image
Procyclical leverage in Europe and its role in asset pricing
Baltzer, Markus; Koehl, Alexandra; Reitz, Stefan - 2019
-MacBeth regressions as well as dynamic asset pricing models (Adrian, Crump, and Moench, 2015), we confirm the importance of brokerdealer …
Persistent link: https://www.econbiz.de/10011988049
Saved in:
Cover Image
Procyclical leverage in Europe and its role in asset pricing
Baltzer, Markus; Koehl, Alexandra; Reitz, Stefan - 2019
-MacBeth regressions as well as dynamic asset pricing models (Adrian, Crump, and Moench, 2015), we confirm the importance of brokerdealer …
Persistent link: https://www.econbiz.de/10011987800
Saved in:
Cover Image
Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
Adrian, Tobias; Crump, Richard; Vogt, Erik - 2015
they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories …
Persistent link: https://www.econbiz.de/10011340951
Saved in:
Cover Image
Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
Adrian, Tobias; Crump, Richard K.; Vogt, Erik - Federal Reserve Bank of New York - 2015
they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories …
Persistent link: https://www.econbiz.de/10011254934
Saved in:
Cover Image
Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds
Adrian, Tobias; Crump, Richard; Vogt, Erik - 2015
they decline for Treasuries. We further demonstrate that these findings are evidence of dynamic asset pricing theories …
Persistent link: https://www.econbiz.de/10010505953
Saved in:
  • 1
  • 2
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...