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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
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Essays on consumption and expected returns
Yogo, Motohiro - 2004
Persistent link: https://www.econbiz.de/10003387664
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Contrastes de estabilidad de parámetros con aplicación a la relación dinero-renta en Estados Unidos
Stock, James H. - 1993
Persistent link: https://www.econbiz.de/10001339939
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Quantification of spread risk by means of historical simulation
Frisch, Christoph; Knöchlein, Germar - In: Applied quantitative finance, (pp. 37-67). 2009
Persistent link: https://www.econbiz.de/10003745948
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The jump-risk premia implicit in options : evidence from an integrated time-series study
Pan, Jun - In: Journal of financial economics 63 (2002) 1, pp. 3-50
Persistent link: https://www.econbiz.de/10001634368
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Persistence in the market risk premium : evidence across countries
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
This paper provides evidence on the degree of persistence of one of the key components of the CAPM, namely the market …
Persistent link: https://www.econbiz.de/10012199998
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Risk factors for the Swiss stock market
Ammann, Manuel (contributor); Steiner, Michael (contributor) - 2008
Persistent link: https://www.econbiz.de/10003674158
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Risk factors for the Swiss stock market
Ammann, Manuel; Steiner, Michael - In: Swiss journal of economics and statistics 144 (2008) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10003671500
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Empirical asset pricing with nonlinear risk premia
Mijatovi´c, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506
Persistent link: https://www.econbiz.de/10010391949