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Ang, Andrew; Kristensen, Dennis - In: Journal of financial economics 106 (2012) 1, pp. 132-156

Persistent link: https://www.econbiz.de/10009666667

Conditional dynamics and the multihorizon risk-return trade-off

Chernov, Mikhail; Lochstoer, Lars A.; Lundeby, Stig R. H. - In: The review of financial studies 35 (2022) 3, pp. 1310-1347

Persistent link: https://www.econbiz.de/10012878991

Minimum-Variance Kernels, Economic Risk Premia, and Tests of Multi-Beta Models

Balduzzi, Pierluigi - 2015

-return trade-off, consistent with the implications of the intertemporal capital asset pricing model (I-CAPM). They also find that … the MV kernel implied by the I-CAPM, while formally rejected by the data, consistently outperforms a pricing kernel based …

Persistent link: https://www.econbiz.de/10013032690

Forecasting forward exchange rate risk premium in Singapore dollars/US dollar exchange rate market

Kiani, Khurshid M. - In: The Singapore economic review : journal of the Economic … 54 (2009) 2, pp. 283-298

Persistent link: https://www.econbiz.de/10003878464

Comment on: identification robust testing of risk premia in finite samples

Khalaf, Lynda - In: Journal of financial econometrics 21 (2023) 2, pp. 298-302

Persistent link: https://www.econbiz.de/10014314743

Comment on: identification robust testing of risk premia in finite samples

Zaffaroni, Paolo - In: Journal of financial econometrics 21 (2023) 2, pp. 303-305

Persistent link: https://www.econbiz.de/10014314744

Discussion of identification robust testing of risk premia in finite samples

Peñaranda, Francisco - In: Journal of financial econometrics 21 (2023) 2, pp. 306-310

Persistent link: https://www.econbiz.de/10014314745

Rejoinder on: identification robust testing of risk premia in finite samples

Kleibergen, Frank; Kong, Lingwei; Zhan, Zhaoguo - In: Journal of financial econometrics 21 (2023) 2, pp. 311-315

Persistent link: https://www.econbiz.de/10014314746

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 946-957

Persistent link: https://www.econbiz.de/10015053510

Tests for jumps in yield spreads

Winkelmann, Lars; Yao, Wenying - 2023

This paper studies high-frequency econometric methods to test for a jump in the spread of bond yields. We propose a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. Ignoring this inherent connection by basing...

Persistent link: https://www.econbiz.de/10014343097

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