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The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.; Diebold, Francis X.; … - In: Journal of econometrics 164 (2011) 1, pp. 4-20
Persistent link: https://www.econbiz.de/10009270418
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418
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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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Factor representing portfolios in large asset markets
Sentana, Enrique - In: Journal of econometrics 119 (2004) 2, pp. 257-289
Persistent link: https://www.econbiz.de/10001956189
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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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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karamann, Mustafa; Mancini, Loriano - In: Journal of econometrics 219 (2020) 2, pp. 204-230
Persistent link: https://www.econbiz.de/10012483319
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Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility
Griffin, J. E.; Steel, Mark F. J. - In: Journal of econometrics 134 (2006) 2, pp. 605-644
Persistent link: https://www.econbiz.de/10003374347
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Time-varying sparsity in dynamic regression models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793
Persistent link: https://www.econbiz.de/10010257660
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The leverage effect puzzle revisited : identification in discrete time
Han, Hyojin; Khrapov, Stanislav; Renault, Eric - In: Journal of econometrics 217 (2020) 2, pp. 230-258
Persistent link: https://www.econbiz.de/10012482760
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Ex-post risk premia estimation and asset pricing tests using large cross sections : the regression-calibration approach
Kim, Soohun; Skoulakis, Georgios - In: Journal of econometrics 204 (2018) 2, pp. 159-188
Persistent link: https://www.econbiz.de/10011974727