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Consumption and portfolio decisions when expected returns are time varying

Campbell, John Y.; Viceira, Luis M. - 1996

Persistent link: https://www.econbiz.de/10000613973

Consumption and portfolio decisions when expected returns are time varying

Campbell, John Y.; Viceira, Luis M. - In: The quarterly journal of economics 114 (1999) 2, pp. 433-495

Persistent link: https://www.econbiz.de/10001410484

By force of habit : a consumption-based explanation of aggregate stock market behavior

Campbell, John Y.; Chochrane, John Howland - In: Journal of political economy 107 (1999) 2, pp. 205-251

Persistent link: https://www.econbiz.de/10001371434

Understanding risk and return

Campbell, John Y. - In: Journal of political economy 104 (1996) 2, pp. 298-345

Persistent link: https://www.econbiz.de/10001198651

Where do betas come from? : asset price dynamics and the sources of systematic risk

Campbell, John Y. - 1993

Persistent link: https://www.econbiz.de/10000860454

Consumption and portfolio decisions when expected returns are time varying

Campbell, John Y.; Viceira, Luis M. - 1998

Persistent link: https://www.econbiz.de/10011478583

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Jacobs, Kris - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 410-412

Persistent link: https://www.econbiz.de/10011987533

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534

Option-based estimation of the price of co-skewness and co-kurtosis risk

Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris; … - 2015

Persistent link: https://www.econbiz.de/10011398632

Dynamic jump intensities and risk premiums in crude oil futures and options markets

Christoffersen, Peter F.; Jacobs, Kris; Li, Bingxin - 2016

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data to investigate the economic importance of jumps and...

Persistent link: https://www.econbiz.de/10011646275