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Does conditioning information matter in estimating continuous time interest rate diffusions?

Abhyankar, Abhay; Basu, Devraj - In: Journal of financial and quantitative analysis : JFQA 36 (2001) 3, pp. 335-344

Persistent link: https://www.econbiz.de/10001636275

The optimal use of return predictability : an empirical study

Abhyankar, Abhay; Basu, Devraj; Stremme, Alexander - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 5, pp. 973-1001

Persistent link: https://www.econbiz.de/10009709610

Portfolio efficiency and discount factor bounds with conditioning information : an empirical study

Abhyankar, Abhay; Basu, Devraj; Stremme, Alexander - In: Journal of banking & finance 31 (2007) 2, pp. 419-437

Persistent link: https://www.econbiz.de/10003421284

Linear and nonlinear granger causality : evidence from the UK stock index futures market

Abhyankar, Abhay - In: The journal of futures markets 18 (1998) 5, pp. 519-540

Persistent link: https://www.econbiz.de/10001247306

CAY revisited: can optimal scaling resurrect the (C)CAPM?

Basu, Devraj; Stremme, Alexander - 2005

In this paper, we evaluate specification and pricing error for the Consumption (C-) CAPM in the case where the model is optimally scaled by consumption-wealth ratio (CAY). Lettau and Ludvigson (2001b) show that the C-CAPM successfully explains a large portion (about 70%) of the cross-section of...

Persistent link: https://www.econbiz.de/10009485279

Portfolio Efficiency and Discount Factor Bounds with Conditioning Information: A Unified Approach

Stremme, Alexander; Basu, Devraj; Abhayankar, Abhay - Financial Econometrics Research Centre, Warwick … - 2005

Persistent link: https://www.econbiz.de/10004981024

CAY Revisited: Can Optimal Scaling Resurrect the (C)CAPM?

Stremme, Alexander; Basu, Devraj - Financial Econometrics Research Centre, Warwick … - 2005

Persistent link: https://www.econbiz.de/10004981133

Capturing the risk premium of commodity futures : the role of hedging pressure

Basu, Devraj; Miffre, Joëlle - In: Journal of banking & finance 37 (2013) 7, pp. 2652-2664

Persistent link: https://www.econbiz.de/10009760567

International dynamic asset allocation and return predictability

Basu, Devraj; Oomen, Roel; Stremme, Alexander - In: Journal of business finance & accounting : JBFA 37 (2010) 7/8, pp. 1008-1025

Persistent link: https://www.econbiz.de/10008695834

An examination of the benefits of dynamic trading strategies in U.K. closed-end funds

Fletcher, Jonathan; Basu, Devraj - In: International review of financial analysis 47 (2016), pp. 109-118

Persistent link: https://www.econbiz.de/10011624072