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~isPartOf:"Journal of financial economics"
~person:"Collin-Dufresne, Pierre"
~person:"Jacobs, Kris"
~person:"Wang, Junbo"
~subject:"ARCH model"
~subject:"CAPM"
~subject:"Theorie"
~subject:"Volatility"
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Collin-Dufresne, Pierre
Jacobs, Kris
Wang, Junbo
Harvey, Campbell R.
11
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10
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9
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9
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Journal of financial economics
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ECONIS (ZBW)
13
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1
Liquidity regimes and optimal dynamic asset allocation
Collin-Dufresne, Pierre
;
Daniel, Kent
;
Sağlam, Mehmet
- In:
Journal of financial economics
136
(
2020
)
2
,
pp. 379-406
Persistent link: https://www.econbiz.de/10012545569
Saved in:
2
Pricing structured products with economic covariates
Choi, Yong Seok
;
Doshi, Hitesh
;
Jacobs, Kris
;
Turnbull, …
- In:
Journal of financial economics
135
(
2020
)
3
,
pp. 754-773
Persistent link: https://www.econbiz.de/10012543222
Saved in:
3
Empirical tests of asset pricing models with individual assets : Resolving the errors-in-variables bias in risk premium estimation
Jegadeesh, Narasimhan
;
Noh, Joonki
;
Pukthuanthong, Kuntara
- In:
Journal of financial economics
133
(
2019
)
2
,
pp. 273-298
Persistent link: https://www.econbiz.de/10012165400
Saved in:
4
Volatility and the cross-section of corporate bond returns
Chung, Kee H.
;
Wang, Junbo
;
Wu, Chunchi
- In:
Journal of financial economics
133
(
2019
)
2
,
pp. 397-417
Persistent link: https://www.econbiz.de/10012165603
Saved in:
5
Does realized skewness predict the cross-section of equity returns?
Amaya, Diego
;
Christoffersen, Peter F.
;
Jacobs, Kris
; …
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 135-167
Persistent link: https://www.econbiz.de/10011480389
Saved in:
6
Dynamic jump intensities and risk premiums : evidence from S&P500 returns and options
Christoffersen, Peter F.
;
Jacobs, Kris
;
Ornthanalai, …
- In:
Journal of financial economics
106
(
2012
)
3
,
pp. 447-472
Persistent link: https://www.econbiz.de/10009710173
Saved in:
7
Explaining asset prizing puzzles associated with the 1987 market crash
Benzoni, Luca
;
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
- In:
Journal of financial economics
101
(
2011
)
3
,
pp. 552-573
Persistent link: https://www.econbiz.de/10009247604
Saved in:
8
Liquidity risk and expected corporate bond returns
Lin, Hai
;
Wang, Junbo
;
Wu, Chunchi
- In:
Journal of financial economics
99
(
2011
)
3
,
pp. 628-650
Persistent link: https://www.econbiz.de/10009242273
Saved in:
9
Conditional volatility in affine term-structure models : evidence from Treasury and swap markets
Jacobs, Kris
;
Karoui, Lotfi
- In:
Journal of financial economics
91
(
2009
)
3
,
pp. 288-318
Persistent link: https://www.econbiz.de/10003833577
Saved in:
10
Can interest rate volatility be extracted from the cross section of bond yields?
Collin-Dufresne, Pierre
;
Goldstein, Robert S.
;
Jones, …
- In:
Journal of financial economics
94
(
2009
)
1
,
pp. 47-66
Persistent link: https://www.econbiz.de/10003891547
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