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A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates

Pedersen, Hal; Swanson, Norman R. - In: Quantitative finance and economics 3 (2019) 1, pp. 22-45

Persistent link: https://www.econbiz.de/10012176203

Essays in asset pricing and portfolio choice

Back, Kerry (contributor) - 2007

In the ﬁrst essay, I decompose inﬂation risk into (i) a part that is correlated with real returns on the market portfolio and factors that determine investor’s preferences and investment opportunities and (ii) a residual part. I show that only the ﬁrst part earns a risk premium. All...

Persistent link: https://www.econbiz.de/10009465002

Continuous and Hypograph Convergence of Utilities

Back, Kerry - 1983

Persistent link: https://www.econbiz.de/10012235373

Continuity of the Fenchel Transform of Convex Functions

Back, Kerry - 1983

Persistent link: https://www.econbiz.de/10012235446

Structure of Consumption Sets and Existence of Equilibria in Infinite Dimensional Spaces

Back, Kerry - 1986

Persistent link: https://www.econbiz.de/10012235448

On Neighboring Consumers

Back, Kerry - 1985

Persistent link: https://www.econbiz.de/10012235464

Securities Market Equilibrium Without Bankruptcy: Contingent ClaimValuation and the Martingale Property

Back, Kerry - 1986

Persistent link: https://www.econbiz.de/10012235498

The Shadow Price of Information in Continuous Time Decision Problems

Back, Kerry; Pliska, Stanley R. - 1986

Persistent link: https://www.econbiz.de/10012235505

Discrete Versus Continuous Trading in Securities Markets with Net Worth Constraints

Back, Kerry; Pliska, Stanley R. - 1986

Persistent link: https://www.econbiz.de/10012235515

Continuous and Hypograph Convergence of Utilities

Back, Kerry - Center for Mathematical Studies in Economics and … - 1983

Persistent link: https://www.econbiz.de/10005588418

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