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State dependence can explain the risk aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011

Persistent link: https://www.econbiz.de/10003716673

Explaining the idiosyncratic volatility puzzle using Stochastic Discount Factors

Chabi-Yo, Fousseni - In: Journal of banking & finance 35 (2011) 8, pp. 1971-1983

Persistent link: https://www.econbiz.de/10009247371

Pricing kernels with coskewness and volatility risk

Chabi-Yo, Fousseni - 2008 - This version : December 1, 2008

Persistent link: https://www.econbiz.de/10003819936

Expected returns and volatility of Fama-French factors

Chabi-Yo, Fousseni - 2009 - This version: September 25, 2009

Persistent link: https://www.econbiz.de/10003887678

Conditioning information and variance bounds on pricing kernels with higher-order moments : theory and evidence

Chabi-Yo, Fousseni - In: The review of financial studies 21 (2008) 1, pp. 181-231

Persistent link: https://www.econbiz.de/10003716152

A no-arbitrage analysis of macroeconomic determinants of term structures and the exchange rate

Chabi-Yo, Fousseni; Yang, Jun - 2007

We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...

Persistent link: https://www.econbiz.de/10010279943