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Estimation and testing in models containing both jumps and conditional heteroskedasticity

Drost, Feike C.; Nijman, Theodore E.; Werker, Bas J. M. - 1994

Persistent link: https://www.econbiz.de/10000904675

Estimation and testing in models containing both jumps and conditional heteroscedasticity

Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243

Persistent link: https://www.econbiz.de/10001244002

Yet another look at mutual fund tournaments

Goriaev, Aleksej P.; Nijman, Theodore E.; Werker, Bas J. M. - In: Journal of empirical finance 12 (2005) 1, pp. 127-137

Persistent link: https://www.econbiz.de/10002643489

The cross-section of managerial ability, incentives, and risk preferences

Koijen, Ralph S. J. - In: The journal of finance : the journal of the American … 69 (2014) 3, pp. 1051-1098

Persistent link: https://www.econbiz.de/10010373347

Present bias, asset allocation and the yield curve

Goossens, Jorgo; Werker, Bas J. M. - 2020

Persistent link: https://www.econbiz.de/10012439666

Present Bias, Asset Allocation and the Yield Curve

Goossens, Jorgo - 2020

This paper presents a present-biased general equilibrium model that explains many features of bond behavior. Present-biased investors increase (decrease) short-term (long-term) hedge demands compared to standard preferences. Hence, present bias drives up (down) short-term bond prices (yields)...

Persistent link: https://www.econbiz.de/10012822757