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When do characteristics-sorted factors mechanically explain returns?

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of international financial markets, … 25 (2013), pp. 119-143

Persistent link: https://www.econbiz.de/10009762798

The role of data limitations, seasonality and frequency in asset pricing models

Murtazashvili, Irina; Vozlyublennaia, Nadia - In: Journal of international financial markets, … 22 (2012) 3, pp. 555-574

Persistent link: https://www.econbiz.de/10009623546

A Control Function Approach To Estimating Dynamic Probit Models With Endogenous Regressors, With An Application To the Study of Poverty Persistence in China

Murtazashvili, Irina - 2010

This paper proposes a parametric approach to estimating a dynamic binary response panel data model that allows for endogenous contemporaneous regressors. This approach is of particular value for settings in which one wants to estimate the effects of an endogenous treatment on a binary outcome....

Persistent link: https://www.econbiz.de/10011394694

Do firm characteristics matter for the dynamics of idiosyncratic risk?

Vozlyublennaia, Nadia - In: Journal of international financial markets, … 27 (2013), pp. 35-46

Persistent link: https://www.econbiz.de/10010411754

Limits to mutual funds' ability to rely on mean/variance optimization

Karagiannidis, Iordanis; Vozlyublennaia, Nadia - In: Journal of empirical finance 37 (2016), pp. 282-292

Persistent link: https://www.econbiz.de/10011663061

A Control Function Approach to Estimating Dynamic Probit Models with Endogenous Regressors, with an Application to the Study of Poverty Persistence in China

Giles, John - 2013

This paper proposes a parametric approach to estimating a dynamic binary response panel data model that allows for endogenous contemporaneous regressors. Such a model is of particular value for settings in which one wants to estimate the effects of an endogenous treatment on a binary outcome. In...

Persistent link: https://www.econbiz.de/10013089968