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Comovement and return predictability in asset markets : an experiment with two Lucas trees
Noussair, Charles; Popescu, Andreea Victoria - In: Journal of economic behavior & organization : JEBO 185 (2021), pp. 671-687
Persistent link: https://www.econbiz.de/10012601339
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Tactical factor allocation for multifactor portfolios
Kim, Saejoon - In: Applied economics letters 29 (2022) 9, pp. 847-850
Persistent link: https://www.econbiz.de/10013411797
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Log-normal approximation of the equity premium in the production model
Heer, Burkhard; Maußner, Alfred - In: Applied economics letters 19 (2012) 4/6, pp. 407-412
Persistent link: https://www.econbiz.de/10009630716
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Quadrature-based methods for obtaining approximate solutions to nonlinear asset pricing models
Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 2, pp. 371-396
Persistent link: https://www.econbiz.de/10001101891
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Conditional heteroskedasticity in asset returns : a new approach
Nelson, Daniel B. - In: Econometrica : journal of the Econometric Society, an … 59 (1991) 2, pp. 347-370
Persistent link: https://www.econbiz.de/10001101893
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Spurious inference in reduced-rank asset-pricing models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 5, pp. 1613-1628
Persistent link: https://www.econbiz.de/10011791596
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Substitution, risk aversion, and the temporal behavior of consumption and asset returns : a theoretical framework
Epstein, Larry G. - In: Econometrica : journal of the Econometric Society, an … 57 (1989) 4, pp. 937-969
Persistent link: https://www.econbiz.de/10001070938
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Time-varying risk premium in large cross-sectional equity data sets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - In: Econometrica : journal of the Econometric Society, an … 84 (2016) 3, pp. 985-1046
Persistent link: https://www.econbiz.de/10011579614
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Bayesian asset pricing testing under multivariate t-distribution
Zhang, Heng; Wang, Nianling; Li, Yong; Zhan, Yiwei - In: Applied economics letters 26 (2019) 11, pp. 898-901
Persistent link: https://www.econbiz.de/10012204429
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Adapting and testing the Fama and French model, with some variations of company characteristics
Ferruz Agudo, Luis; Badía, Guillermo - In: Applied economics letters 24 (2017) 4/6, pp. 342-345
Persistent link: https://www.econbiz.de/10011704637