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Pricing Mortgage-Backed Securities in a Multifactor Interest Rate Environment: A Multivariate Density Estimation Approach
Boudoukh, Jacob; Whitelaw, Robert F.; Richardson, Matthew; … - In: The review of financial studies 10 (1997) 2, pp. 405-446
Persistent link: https://www.econbiz.de/10007373113
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A MULTIFACTOR, NONLINEAR, CONTINUOUS-TIME MODEL OF INTEREST RATE VOLATILITY
Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - 1999
Persistent link: https://www.econbiz.de/10006988056
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A NEW STRATEGY FOR DYNAMICALLY HEDGING MORTGAGE-BACKED SECURITIES
Boudoukh, Jacob; Richardson, Matthew; Stanton, Richard; … - In: The journal of derivatives : the official publication … 2 (1995) 4, pp. 60-77
Persistent link: https://www.econbiz.de/10007333795
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A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Stock Returns
Boudoukh, Jacob; Richardson, Matthew P.; Whitelaw, Robert F. - In: The review of financial studies 7 (1994) 3, pp. 539-574
Persistent link: https://www.econbiz.de/10007089868
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THE BEST OF BOTH WORLDS - A hybrid method for estimating VAR that is both easy and computationally cheap.
Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert - In: Risk : managing risk in the world's financial markets 11 (1998) 5, pp. 64-67
Persistent link: https://www.econbiz.de/10007063432
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THE MYTH OF LONG-HORIZON PREDICTABILITY
Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert - 2005
Persistent link: https://www.econbiz.de/10006956613
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THE INFORMATION IN LONG-MATURITY FORWARD RATES: IMPLICATIONS FOR EXCHANGE RATES AND THE FORWARD PREMIUM ANOMALY
Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert - 2005
Persistent link: https://www.econbiz.de/10006956736
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Industry Returns and the Fisher Effect
Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F. - In: The journal of finance : the journal of the American … 49 (1994) 5
Persistent link: https://www.econbiz.de/10006600310
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PORTFOLIO MANAGEMENT - Stale Prices and Strategies for Trading Mutual Funds - Because of stale prices, active trading in certain mutual funds can generate extraordinary Sharpe ratios.
Boudoukh, Jacob; Richardson, Matthew; Subrahmanyam, Marti; … - In: Financial analysts' journal : FAJ 58 (2002) 4, pp. 53-71
Persistent link: https://www.econbiz.de/10006263558
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Nonlinearities in the Relation Between the Equity Risk Premium and the Term Structure
Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F. - In: Management science : journal of the Institute for … 43 (1997) 3, pp. 371-385
Persistent link: https://www.econbiz.de/10006100494