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Macroeconomic uncertainty prices when beliefs are tenuous
Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of econometrics 223 (2021) 1, pp. 222-250
Persistent link: https://www.econbiz.de/10012619969
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Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; … - In: Journal of econometrics 216 (2020) 1, pp. 151-174
Persistent link: https://www.econbiz.de/10012439662
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Efficient estimation of high-dimensional dynamic covariance by risk factor mapping : applications for financial risk management
So, Mike Ka-pui; Chan, Thomas W. C.; Chu, Amanda M. Y. - In: Journal of econometrics 227 (2022) 1, pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
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ß in the tails
Bandi, Federico M.; Renò, Roberto - In: Journal of econometrics 227 (2022) 1, pp. 134-150
Persistent link: https://www.econbiz.de/10013441641
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New testing approaches for mean-variance predictability
Fiorentini, Gabriele; Sentana, Enrique - In: Journal of econometrics 222 (2021) 1,2, pp. 516-538
Persistent link: https://www.econbiz.de/10012619733
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Arbitrage, factor structure, and mean-variance analysis on large asset markets
Chamberlain, Gary; Rothschild, Michael - 1982
Persistent link: https://www.econbiz.de/10009571475
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Digesting anomalies : an investment approach
Hou, Kewei; Xue, Chen; Zhang, Lu - 2012
Persistent link: https://www.econbiz.de/10009665928
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A mean-variance benchmark for intertemporal portfolio theory
Cochrane, John H. - 2013
Persistent link: https://www.econbiz.de/10009715068
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How can a q-theoretic model price momentum?
Novy-Marx, Robert - 2015
Persistent link: https://www.econbiz.de/10010500695
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Assessing asset pricing models using revealed preference
Berk, Jonathan B.; Binsbergen, Jules H. van - 2014
Persistent link: https://www.econbiz.de/10010413194