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~isPartOf:"Journal of econometrics"
~isPartOf:"The review of financial studies"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~isPartOf:"Working paper"
~subject:"CAPM"
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CAPM
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Cochrane, John H.
11
Stambaugh, Robert F.
11
Aït-Sahalia, Yacine
10
Ferson, Wayne E.
10
Bekaert, Geert
9
Campbell, John Y.
9
Zhang, Lu
9
Hodrick, Robert J.
7
Lo, Andrew W.
7
Hansen, Lars Peter
6
Harvey, Campbell R.
6
Lettau, Martin
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6
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6
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5
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5
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5
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5
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5
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4
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4
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4
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4
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4
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4
Kōnstantinidēs, Giōrgos
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Lewis, Karen K.
4
Mykland, Per A.
4
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4
Polk, Christopher
4
Santos, Tano
4
Shanken, Jay
4
Wang, Jiang
4
Xue, Chen
4
Zin, Stanley E.
4
Alvarez Garrido, Fernando
3
Back, Kerry E.
3
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The review of financial studies
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109
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Econometrica : journal of the Econometric Society, an internat. society for the advancement of economic theory in its relation to statistics and mathematics
43
Journal of international financial markets, institutions & money
43
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
43
Journal of mathematical economics
42
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ECONIS (ZBW)
477
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10
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477
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1
Macroeconomic uncertainty prices when beliefs are tenuous
Hansen, Lars Peter
;
Sargent, Thomas J.
- In:
Journal of econometrics
223
(
2021
)
1
,
pp. 222-250
Persistent link: https://www.econbiz.de/10012619969
Saved in:
2
Sharing model uncertainty
Hara, Chiaki
;
Mukerji, Sujoy
;
Riedel, Frank
;
Tallon, …
-
2024
Persistent link: https://www.econbiz.de/10014537225
Saved in:
3
Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter
;
Szőke, Bálint
;
Han, Lloyd S.
; …
- In:
Journal of econometrics
216
(
2020
)
1
,
pp. 151-174
Persistent link: https://www.econbiz.de/10012439662
Saved in:
4
Ambiguity and the historical equity premium
Collard, Fabrice
;
Mukerji, Sujoy
;
Sheppard, Kevin
; …
-
2017
dividends next period as ambiguous. We calibrate the agent's ambiguity aversion to match only the first moment of the
risk
…
Persistent link: https://www.econbiz.de/10011756113
Saved in:
5
A shrinkage approach to model uncertainty and asset allocation
Wang, Zhenyu
- In:
The review of financial studies
18
(
2005
)
2
,
pp. 673-705
Persistent link: https://www.econbiz.de/10002882106
Saved in:
6
Residual
risk
revisited
Lehmann, Bruce Neal
- In:
Journal of econometrics
45
(
1990
)
1
,
pp. 71-92
Persistent link: https://www.econbiz.de/10001332079
Saved in:
7
The cross-section of
risk
and returns
Daniel, Kent
;
Mota, Lira
;
Rottke, Simon
;
Santos, Tano
- In:
The review of financial studies
33
(
2020
)
5
,
pp. 1927-1979
Persistent link: https://www.econbiz.de/10012244727
Saved in:
8
The cross-section of
risk
and return
Daniel, Kent
;
Mota, Lira
;
Rottke, Simon
;
Santos, Tano
-
2017
Persistent link: https://www.econbiz.de/10011789209
Saved in:
9
Efficient estimation of high-dimensional dynamic covariance by
risk
factor mapping : applications for financial
risk
management
So, Mike Ka-pui
;
Chan, Thomas W. C.
;
Chu, Amanda M. Y.
- In:
Journal of econometrics
227
(
2022
)
1
,
pp. 151-167
Persistent link: https://www.econbiz.de/10013441642
Saved in:
10
Application of volatility-managed portfolios in the context of a volatility index
Subramanian, Abhishek
;
Kayal, Parthajit
-
2023
Persistent link: https://www.econbiz.de/10014375126
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