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Bayesian estimation of asymmetric jump-diffusion processes
Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29
Persistent link: https://www.econbiz.de/10010512597
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Myths and facts about the alleged over-pricing of US real estate : evidence from multi-factor asset pricing models of REIT returns
Guidolin, Massimo; Ravazzolo, Francesco; Tortora, … - In: The journal of real estate finance and economics 49 (2014) 4, pp. 477-523
Persistent link: https://www.econbiz.de/10010422266
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Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2018
Persistent link: https://www.econbiz.de/10012583570
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Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
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Bayesian estimation of dynamic asset pricing models with informative observations
Fulop, Andras; Li, Junye - In: Journal of econometrics 209 (2019) 1, pp. 114-138
Persistent link: https://www.econbiz.de/10012302530
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 110-129
Persistent link: https://www.econbiz.de/10011704120
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Macroeconomic factors strike back : a Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco - 2015 - This version: June 6, 2015
Persistent link: https://www.econbiz.de/10011809314
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Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree; Martin, Gael M.; Forbes, … - 2017
Persistent link: https://www.econbiz.de/10011782238
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Time-varying roles of housing risk factors in state-level housing markets
Huang, MeiChi - In: International journal of finance & economics : IJFE 27 (2022) 4, pp. 4660-4683
Persistent link: https://www.econbiz.de/10013461371
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A Bayesian analysis of time-varying jump risk in S&P 500 returns and options
Carverhill, Andrew; Luo, Dan - In: Journal of financial markets 64 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466112