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~isPartOf:"Journal of econometrics"
~isPartOf:"Working paper / National Bureau of Economic Research, Inc."
~isPartOf:"Working paper"
~subject:"CAPM"
~subject:"Forecasting model"
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CAPM
Forecasting model
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10,862
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Diebold, Francis X.
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11
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11
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10
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9
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9
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6
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6
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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
Shin, Minchul
5
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5
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5
Zhang, Lu
5
Andersen, Torben
4
Backus, David
4
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4
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4
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4
Dijk, Herman K. van
4
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81
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ECONIS (ZBW)
610
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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
Mortality improvement rates : modeling, parameter uncertainty and
robustness
Hunt, Andrew
;
Villegas, Andrés M.
-
2020
Persistent link: https://www.econbiz.de/10012585895
Saved in:
4
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:
5
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:
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 return
Daniel, Kent
;
Mota, Lira
;
Rottke, Simon
;
Santos, Tano
-
2017
Persistent link: https://www.econbiz.de/10011789209
Saved in:
8
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:
9
Application of volatility-managed portfolios in the context of a volatility index
Subramanian, Abhishek
;
Kayal, Parthajit
-
2023
Persistent link: https://www.econbiz.de/10014375126
Saved in:
10
What is the chance that the equity premium varies over time? : evidence from regressions on the dividend-price ratio
Wachter, Jessica
;
Warusawitharana, Missaka
- In:
Journal of econometrics
186
(
2015
)
1
,
pp. 74-93
Persistent link: https://www.econbiz.de/10011349544
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