Similar Search Results

Consumption and portfolio choice with option-implied state prices

Aït-Sahalia, Yacine; Brandt, Michael W. - 2008

Persistent link: https://www.econbiz.de/10003680553

Volatility forecasting with range-based EGARCH models

Brandt, Michael W.; Jones, Christopher S. - In: Journal of business & economic statistics : JBES ; a … 24 (2006) 4, pp. 470-486

Persistent link: https://www.econbiz.de/10003385173

Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?

Binsbergen, Jules H. van; Brandt, Michael W. - In: Computational economics 29 (2007) 3/4, pp. 355-367

Persistent link: https://www.econbiz.de/10003493819

A no-arbitrage approach to range-based estimation of return covariances and correlations

Brandt, Michael W.; Diebold, Francis X. - In: The journal of business : B 79 (2006) 1, pp. 61-74

Persistent link: https://www.econbiz.de/10003301931

The idiosyncratic volatility puzzle : time trend or speculative episodes?

Brandt, Michael W.; Brav, Alon; Graham, John R.; Kumar, Alok - In: The review of financial studies 23 (2010) 2, pp. 863-899

Persistent link: https://www.econbiz.de/10003943125

On the timing and pricing of dividends

Binsbergen, Jules H. van; Brandt, Michael W.; Koijen, … - 2011

We recover prices of dividend strips on the aggregate stock market using data from derivatives markets. The price of a k-year dividend strip is the present value of the dividend paid in k years. The value of the stock market is the sum of all dividend strip prices across maturities. We study the...