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~isPartOf:"Economic modelling"
~isPartOf:"Journal of econometrics"
~isPartOf:"NBER working paper series"
~language:"eng"
~person:"Al-Azzam, Moh’d"
~person:"Frühwirth-Schnatter, Sylvia"
~person:"Gallant, A. Ronald"
~person:"Hong, Harrison"
~person:"Longstaff, Francis A."
~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
Frühwirth-Schnatter, Sylvia
Gallant, A. Ronald
Hong, Harrison
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Campbell, John Y.
14
Lo, Andrew W.
13
Schorfheide, Frank
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10
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Xiong, Wei
8
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7
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7
Shleifer, Andrei
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6
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Harvey, Campbell R.
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Koop, Gary
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Yaron, Amir
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Bollerslev, Tim
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De Long, J. Bradford
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Lustig, Hanno
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Yang, Chunpeng
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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
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:
3
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
Saved in:
4
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:
5
An Empirical Analysis of the Pricing of Collateralized Debt Obligations
Longstaff, Francis A.
-
2006
We study the pricing of collateralized debt obligations (CDOs) using an extensive new data set for the actively-traded CDX credit index and its tranches. We find that a three-factor portfolio credit model allowing for firm-specific, industry, and economywide default events explains virtually all...
Persistent link: https://www.econbiz.de/10012466458
Saved in:
6
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:
7
Financial Claustrophobia : Asset Pricing in Illiquid Markets
Longstaff, Francis A.
-
2004
There are many examples of markets where an agent who wants to get out of an investment position quickly may find himself trapped and forced to remain in that position because of a lack of liquidity. What are the asset-pricing implications when agents cannot always buy and sell assets...
Persistent link: https://www.econbiz.de/10012468282
Saved in:
8
Two Trees : Asset Price Dynamics Induced by Market Clearing
Cochrane, John H.
-
2003
If stocks go up, investors may want to rebalance their portfolios. But investors cannot all rebalance. Expected returns may need to change so that the average investor is still happy to hold the market portfolio despite its changed composition. In this way, simple market clearing can give rise...
Persistent link: https://www.econbiz.de/10012468578
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
Dynamic Asset Allocation With Event Risk
Liu, Jun
-
2002
Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem....
Persistent link: https://www.econbiz.de/10012469608
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