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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:"Veronesi, Pietro"
~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
Veronesi, Pietro
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14
Lo, Andrew W.
13
Schorfheide, Frank
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10
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Xiong, Wei
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7
Gorton, Gary
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Shleifer, Andrei
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Engel, Charles
6
Ferson, Wayne E.
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Harvey, Campbell R.
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Koop, Gary
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Pastor, Lubos
6
Yaron, Amir
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Bollerslev, Tim
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De Long, J. Bradford
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Dow, James
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Lehmann, Bruce N.
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Longstaff, Francis A.
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ECONIS (ZBW)
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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
Uncertainty about Government Policy and Stock Prices
Pastor, Lubos
-
2010
We analyze how changes in government policy affect stock prices. Our general equilibrium model features uncertainty about government policy and a government that has both economic and non-economic motives. The government tends to change its policy after performance downturns in the private...
Persistent link: https://www.econbiz.de/10012462528
Saved in:
4
What Ties Return Volatilities to Price Valuations and Fundamentals?
David, Alexander
-
2009
Stock and Treasury bond comovement, volatilities, and their relations to their price valuations and fundamentals change stochastically over time, both in magnitude and direction. These stochastic changes are explained by a general equilibrium model in which agents learn about composite economic...
Persistent link: https://www.econbiz.de/10012463086
Saved in:
5
Stock-Based Compensation and CEO (Dis)Incentives
Benmelech, Efraim
-
2008
Stock-based compensation is the standard solution to agency problems between shareholders and managers. In a dynamic rational expectations equilibrium model with asymmetric information we show that although stock-based compensation causes managers to work harder, it also induces them to hide any...
Persistent link: https://www.econbiz.de/10012464915
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
Saved in:
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
The Time Series of the Cross Section of Asset Prices
Menzly, Lior
-
2002
In this paper we propose a general equilibrium model that successfully reproduces the historical experience of the cross section of US stock prices as well as the realized history of the market portfolio. The model achieves this while addressing traditional concerns in the asset pricing...
Persistent link: https://www.econbiz.de/10012469492
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