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  • Search: subject:"multifactor linear models"
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asset pricing 1 change-point model 1 multifactor linear models 1 stochastic volatility 1 structural breaks 1
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Free 1
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Book / Working Paper 1
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Working Paper 1
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English 1
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Bianchi, Daniele 1 Guidolin, Massimo 1 Ravazzolo, Francesco 1
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Working Paper 1
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EconStor 1
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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 - 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...
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