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Predictable returns and asset allocation : should a skeptical investor time the market?
Wachter, Jessica; Warusawitharana, Missaka - In: Journal of econometrics 148 (2009) 2, pp. 162-178
Persistent link: https://www.econbiz.de/10003833758
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Heterogeneity in households' stock market beliefs : levels, dynamics, and epistemic uncertainty
Gaudecker, Hans-Martin von; Wogrolly, Axel - In: Journal of econometrics 231 (2022) 1, pp. 232-247
Persistent link: https://www.econbiz.de/10013441983
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Multivariate locationscale mixtures of normals and meanvarianceskewness portfolio allocation
Mencía, Javier; Sentana, Enrique - In: Journal of econometrics 153 (2009) 2, pp. 105-121
Persistent link: https://www.econbiz.de/10003920279
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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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Economic tracking portfolios
Lamont, Owen A. - In: Journal of econometrics 105 (2001) 1, pp. 161-184
Persistent link: https://www.econbiz.de/10001617161
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Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution
Gallant, A. Ronald - In: Journal of econometrics 45 (1990) 1, pp. 141-179
Persistent link: https://www.econbiz.de/10001332076
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Large-scale portfolio allocation under transaction costs and model uncertainty
Hautsch, Nikolaus; Voigt, Stefan - In: Journal of econometrics 212 (2019) 1, pp. 221-240
Persistent link: https://www.econbiz.de/10012303923
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Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
Paolella, Marc S.; Polak, Pawel; Walker, Patrick S. - In: Journal of econometrics 213 (2019) 2, pp. 493-515
Persistent link: https://www.econbiz.de/10012304579
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Modeling maxima with autoregressive conditional Fréchet model
Zhao, Zifeng; Zhang, Zhengjun; Chen, Rong - In: Journal of econometrics 207 (2018) 2, pp. 325-351
Persistent link: https://www.econbiz.de/10012116357
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Using principal component analysis to estimate a high dimensional factor model with high-frequency data
Aït-Sahalia, Yacine; Xiu, Dacheng - In: Journal of econometrics 201 (2017) 2, pp. 384-399
Persistent link: https://www.econbiz.de/10011920525