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~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~isPartOf:"NBER working paper series"
~language:"eng"
~person:"Al-Azzam, Moh’d"
~person:"Fernandes, Marcelo"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Gallant, A. Ronald"
~person:"Hong, Harrison"
~person:"Yaron, Amir"
~subject:"Bayes-Statistik"
~subject:"Börsenkurs"
~subject:"CAPM"
~subject:"Dynamisches Gleichgewicht"
~subject:"Spekulation"
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Bayes-Statistik
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Al-Azzam, Moh’d
Fernandes, Marcelo
Frühwirth-Schnatter, Sylvia
Gallant, A. Ronald
Hong, Harrison
Yaron, Amir
Campbell, John Y.
14
Lo, Andrew W.
13
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12
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10
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8
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7
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7
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Harvey, Campbell R.
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Koop, Gary
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Pastor, Lubos
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Bollerslev, Tim
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1
Bayesian exploratory factor analysis
Conti, Gabriella
;
Frühwirth-Schnatter, Sylvia
; …
- In:
Journal of econometrics
183
(
2014
)
1
,
pp. 31-57
Persistent link: https://www.econbiz.de/10010506092
Saved in:
2
A family of autoregressive conditional duration models
Fernandes, Marcelo
;
Grammig, Joachim
- In:
Journal of econometrics
130
(
2006
)
1
,
pp. 1-23
Persistent link: https://www.econbiz.de/10003228621
Saved in:
3
Nonparametric specification tests for conditional duration models
Fernandes, Marcelo
;
Grammig, Joachim
- In:
Journal of econometrics
127
(
2005
)
1
,
pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
Saved in:
4
Forecasting Crashes : Trading Volume, Past Returns and Conditional Skewness in Stock Prices
Chen, Joseph
-
2000
This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most pronounced in stocks that have...
Persistent link: https://www.econbiz.de/10012471074
Saved in:
5
An Empirical Evaluation of the Long-Run Risks Model for Asset Prices
Bansal, Ravi
-
2009
We provide an empirical evaluation of the forward-looking long-run risks (LRR) model and highlight model differences with the backward-looking habit based asset pricing model. We feature three key results: (i) Consistent with the LRR model, there is considerable evidence in the data of...
Persistent link: https://www.econbiz.de/10012463145
Saved in:
6
Advisors and Asset Prices : A Model of the Origins of Bubbles
Hong, Harrison
-
2007
We develop a model of asset price bubbles based on the communication process between advisors and investors. Advisors are well-intentioned and want to maximize the welfare of their advisees (like a parent treats a child). But only some advisors understand the new technology (the tech-savvies);...
Persistent link: https://www.econbiz.de/10012465142
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7
Rational Pessimism, Rational Exuberance, and Asset Pricing Models
Bansal, Ravi
-
2007
The paper estimates and examines the empirical plausibiltiy of asset pricing models that attempt to explain features of financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run risks model of Bansal and Yaron (2004), low...
Persistent link: https://www.econbiz.de/10012465547
Saved in:
8
Asset Float and Speculative Bubbles
Hong, Harrison
-
2005
We model the relationship between asset float (tradeable shares) and speculative bubbles. Investors trade a stock with limited float because of insider lock-ups. They have heterogeneous beliefs due to overconfidence and face short-sales constraints. A bubble arises as price overweighs optimists'...
Persistent link: https://www.econbiz.de/10012467316
Saved in:
9
Simple Forecasts and Paradigm Shifts
Hong, Harrison
-
2003
done better over the same period. This
theory
makes several distinctive predictions, which, for concreteness, we develop in … a stock-market setting. For example, starting with symmetric and homoskedastic fundamentals, the
theory
yields …
Persistent link: https://www.econbiz.de/10012468685
Saved in:
10
Interpretable Asset Markets?
Bansal, Ravi
-
2002
In this paper we show that measures of economic uncertainty (conditional volatility of consumption) predict and are predicted by valuation ratios at long horizons. Further we document that asset valuations drop as economic uncertainty rises that is, financial markets dislike economic...
Persistent link: https://www.econbiz.de/10012469320
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