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A SIMULATION APPROACH TO DYNAMIC PORTFOLIO CHOICE WITH AN APPLICATION TO LEARNING ABOUT RETURN PREDICTABILITY
Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - 2004
Persistent link: https://www.econbiz.de/10006961122
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DYNAMIC PORTFOLIO SELECTION BY AUGMENTING THE ASSET SPACE
Brandt, Michael W.; Santa-Clara, Pedro - 2004
Persistent link: https://www.econbiz.de/10006964405
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THE EFFECT OF MACROECONOMIC NEWS ON BELIEFS AND PREFERENCES: EVIDENCE FROM THE OPTIONS MARKET
Beber, Alessandro; Brandt, Michael W. - 2003
Persistent link: https://www.econbiz.de/10006967483
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A NO-ARBITRAGE APPROACH TO RANGE-BASED ESTIMATION OF RETURN COVARIANCES AND CORRELATIONS
Brandt, Michael W.; Diebold, Francis X. - 2003
Persistent link: https://www.econbiz.de/10006969026
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PRICE DISCOVERY IN THE U.S. TREASURY MARKET: THE IMPACT OF ORDERFLOW AND LIQUIDITY ON THE YIELD CURVE
Brandt, Michael W.; Kavajecz, Kenneth A. - 2003
Persistent link: https://www.econbiz.de/10006969846
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TIME-CONSISTENT NO-ARBITRAGE MODELS OF THE TERM STRUCTURE
Brandt, Michael W.; Yaron, Amir - 2003
Persistent link: https://www.econbiz.de/10006970367
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ON THE RELATIONSHIP BETWEEN THE CONDITIONAL MEAN AND VOLATILITY OF STOCK RETURNS: A LATENT VAR APPROACH
Brandt, Michael W.; Kang, Qiang - 2002
Persistent link: https://www.econbiz.de/10006973508
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INTERNATIONAL RISK SHARING IS BETTER THAN YOU THINK (OR EXCHANGE RATES ARE MUCH TOO SMOOTH)
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2001
Persistent link: https://www.econbiz.de/10006978168
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HIGH- AND LOW-FREQUENCY EXCHANGE RATE VOLATILITY DYNAMICS: RANGE-BASED ESTIMATION OF STOCHASTIC VOLATILITY MODELS
Alizadeh, Sassan; Brandt, Michael W.; Diebold, Francis X. - 2001
Persistent link: https://www.econbiz.de/10006979966
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VARIABLE SELECTION FOR PORTFOLIO CHOICE
Ai͏̈t-Sahalia, Yacine; Brandt, Michael W. - 2001
Persistent link: https://www.econbiz.de/10006980191