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Quadratic term structure models : theory and evidence

Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald - In: The review of financial studies 15 (2002) 1, pp. 243-288

Persistent link: https://www.econbiz.de/10001639617

Ahn, Dong-Hyun; Conrad, Jennifer S.; Dittmar, Robert F. - In: The review of financial studies 22 (2009) 12, pp. 5133-5174

Persistent link: https://www.econbiz.de/10003916318

Risk adjustment and trading strategies

Ahn, Dong-Hyun; Conrad, Jennifer S.; Dittmar, Robert F. - In: The review of financial studies 16 (2003) 2, pp. 459-485

Persistent link: https://www.econbiz.de/10001764236

Common factors and local factors : implications for term structures and exchange rates

Ahn, Dong-Hyun - In: Journal of financial and quantitative analysis : JFQA 39 (2004) 1, pp. 69-102

Persistent link: https://www.econbiz.de/10001988559

A parametric nonlinear model of term structure dynamics

Ahn, Dong-Hyun - In: The review of financial studies 12 (1999) 4, pp. 721-762

Persistent link: https://www.econbiz.de/10001421854

Portfolio performance measurement : a no arbitrage bounds approach

Ahn, Dong-Hyun; Cao, H. Henry; Chrétien, Stéphane - In: European financial management : the journal of the … 15 (2009) 2, pp. 298-339

Persistent link: https://www.econbiz.de/10003824786

Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns

Dittmar, Robert F. - In: The journal of finance : the journal of the American … 57 (2002) 1, pp. 369-403

Persistent link: https://www.econbiz.de/10001650384

An introduction to econometric theory : measure-theoretic probability and statistics with applications to economics

Gallant, A. Ronald - 1997

Persistent link: https://www.econbiz.de/10000619800

The timing of financing decisions : an examination of the correlation in financing waves

Dittmar, Amy K.; Dittmar, Robert F. - In: Journal of financial economics 90 (2008) 1, pp. 59-83

Persistent link: https://www.econbiz.de/10003778999

Cointegration and consumption risks in asset returns

Bansal, Ravi; Dittmar, Robert F.; Kiku, Dana - 2007

We argue that the cointegrating relation between dividends and consumption, a measure of long run consumption risks, is a key determinant of risk premia at all investment horizons. As the investment horizon increases, transitory risks disappear, and the asset's beta is dominated by long run...

Persistent link: https://www.econbiz.de/10003472865