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Range-Based Estimation of Stochastic Volatility Models
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1047-1092
Persistent link: https://www.econbiz.de/10006559609
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A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
Brandt, Michael W.; Diebold, Francis X. - In: The journal of business : B 79 (2006) 1, pp. 61-74
Persistent link: https://www.econbiz.de/10006010639
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A NO-ARBITRAGE APPROACH TO RANGE-BASED ESTIMATION OF RETURN COVARIANCES AND CORRELATIONS
Brandt, Michael W.; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10006969026
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HIGH- AND LOW-FREQUENCY EXCHANGE RATE VOLATILITY DYNAMICS: RANGE-BASED ESTIMATION OF STOCHASTIC VOLATILITY MODELS
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2001
Persistent link: https://www.econbiz.de/10006979966
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On the Timing and Pricing of Dividends
van Binsbergen, Jules; Brandt, Michael; Koijen, Ralph - In: The American economic review 102 (2012) 4, pp. 1596-1619
Persistent link: https://www.econbiz.de/10009994019
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Equilibrium stock return dynamics under alternative rules of learning about hidden states
Brandt, Michael W.; Zeng, Qi; Zhang, Lu - In: Journal of economic dynamics & control 28 (2004) 10, pp. 1925-1954
Persistent link: https://www.econbiz.de/10006756731
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On the relationship between the conditional mean and volatility of stock returns: A latent VAR approach
Brandt, Michael W.; Kang, Qiang - In: Journal of financial economics 72 (2004) 2, pp. 217-258
Persistent link: https://www.econbiz.de/10006504609
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Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
Brandt, Michael W.; Santa-Clara, Pedro - In: Journal of financial economics 63 (2002) 2, pp. 161-210
Persistent link: https://www.econbiz.de/10006510507
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Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
Brandt, Michael W.; Kavajecz, Kenneth A. - In: The journal of finance : the journal of the American … 59 (2004) 6, pp. 2623-2654
Persistent link: https://www.econbiz.de/10006548889
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ARTICLES - Variable Selection for Portfolio Choice
Ait-Sahalia, Yacine; Brandt, Michael W. - In: The journal of finance : the journal of the American … 56 (2001) 4, pp. 1297-1350
Persistent link: https://www.econbiz.de/10006563789