Similar Search Results

The common factor in idiosyncratic volatility : quantitative asset pricing implications

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - 2014

Persistent link: https://www.econbiz.de/10010360039

The price of political uncertainty : theory and evidence from the option market

Kelly, Bryan T.; Pástor, Ľuboš; Veronesi, Pietro - 2014

Persistent link: https://www.econbiz.de/10010240002

Excess volatility : beyond discount rates

Giglio, Stefano; Kelly, Bryan T. - 2016

Persistent link: https://www.econbiz.de/10011451780

Hedging macroeconomic and financial uncertainty and volatility

Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45

Persistent link: https://www.econbiz.de/10012650655

Firm volatility in granular networks

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of political economy 128 (2020) 11, pp. 4097-4162

Persistent link: https://www.econbiz.de/10012599940

Understanding momentum and reversal

Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743

Persistent link: https://www.econbiz.de/10013259592

The common factor in idiosyncratic volatility : quantitative asset pricing implications

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of financial economics 119 (2016) 2, pp. 249-283

Persistent link: https://www.econbiz.de/10011589843

Excess volatility : beyond discount rates

Giglio, Stefano; Kelly, Bryan T. - In: The quarterly journal of economics 133 (2018) 1, pp. 71-127

Persistent link: https://www.econbiz.de/10012036812

Firm volatility in granual networks

Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - 2017

Persistent link: https://www.econbiz.de/10011739882

Factor mimicking portfolios for climate risk

De Nard, Gianluca; Engle, Robert F.; Kelly, Bryan T. - 2023 - This version: March 2023

We propose and implement a procedure to optimally hedge climate change risk. First, we construct climate risk indices through textual analysis of newspapers. Second, we present a new approach to compute factor mimicking portfolios to build climate risk hedge portfolios. The new mimicking...

Persistent link: https://www.econbiz.de/10014232089