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Bayesian analysis of stochastic volatility models with fat-tails and correlated errors
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of econometrics 122 (2004) 1, pp. 185
Persistent link: https://www.econbiz.de/10006756214
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PORTFOLIO MANAGEMENT - Asset Allocation Models and Market Volatility - A simple one-factor model can explain a large portion of time variation in correlations.
Jacquier, Eric; Marcus, Alan J. - In: Financial analysts' journal : FAJ 57 (2001) 2, pp. 16-31
Persistent link: https://www.econbiz.de/10006277662
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PORTFOLIO MANAGEMENT - Geometric or Arithmetic Mean: A Reconsideration - Biases that result from using either past mean return for forecasting may paint too rosy a view of future portfolio growth.
Jacquier, Eric; Kane, Alex; Marcus, Alan J. - In: Financial analysts' journal : FAJ 59 (2003) 6, pp. 46-53
Persistent link: https://www.econbiz.de/10006250406
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PORTFOLIO MANAGEMENT - Optimal Portfolios in Good Times and Bad - Multivariate outliers can be used to structure portfolios that can weather turbulent markets
Chow, George; Jacquier, Eric; Kritzman, Mark; Lowry, Kenneth - In: Financial analysts' journal : FAJ 55 (1999) 3, pp. 65-73
Persistent link: https://www.econbiz.de/10006298090
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A Model of the Convenience Yields in On-the-Run Treasuries
Cherian, Joseph A.; Jacquier, Eric; Jarrow, Robert A. - In: Review of derivatives research 7 (2004) 2, pp. 79-98
Persistent link: https://www.econbiz.de/10005927029
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Bayesian Analysis of Stochastic Volatility Models
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 1, pp. 69-87
Persistent link: https://www.econbiz.de/10008216535
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Reply - Bayesian Analysis of Stochastic Volatility Models
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 4, pp. 413-418
Persistent link: https://www.econbiz.de/10008224415
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The 1994 Invited Address: Bayesian Analysis of Stochastic Volatility Models
Jacquier, Eric; Polson, Nicholas G.; Rossi, Peter E. - In: Journal of business & economic statistics : JBES ; a … 12 (1994) 4, pp. 371-388
Persistent link: https://www.econbiz.de/10008224425
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MCMC maximum likelihood for latent state models
Jacquier, Eric; Johannes, Michael; Polson, Nicholas - In: Journal of econometrics 137 (2007) 2, pp. 615-640
Persistent link: https://www.econbiz.de/10007604718
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Empirical evidence on the dependence of credit default swaps and equity prices
Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; … - In: The journal of futures markets 29 (2009) 8, pp. 695-712
Persistent link: https://www.econbiz.de/10008265738