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Does smooth ambiguity matter for asset pricing?

Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018

models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our … structural estimation. Based on the market and aggregate consumption data, our estimation provides statistical support for asset …

Persistent link: https://www.econbiz.de/10011780610

Point and density prediction of intra-day volume using Bayesian linear ACV models : evidence from the Polish stock market

Huptas, Roman - In: Quantitative finance 18 (2018) 5, pp. 749-760

Persistent link: https://www.econbiz.de/10011907915

Financial market volatility, macroeconomic fundamentals and investor sentiment

Chiu, Ching Wai Jeremy; Harris, Richard D. F.; Stoja, … - In: Journal of banking & finance 92 (2018), pp. 130-145

Persistent link: https://www.econbiz.de/10011964550

Economic policy uncertainty and stock market returns in PacificRim countries : evidence based on a Bayesian panel VAR model

Christou, Christina; Cuñado Eizaguirre, Juncal; Gupta, … - In: Journal of multinational financial management 40 (2017), pp. 92-102

Persistent link: https://www.econbiz.de/10011927815

Stock returns and exchange rate nexus in Ghana : a Bayesian quantile regression approach

Boako, Gideon; Omane-Adjepong, Maurice; Frimpong, … - In: The South African journal of economics 84 (2016) 1, pp. 149-179

Persistent link: https://www.econbiz.de/10011490603

Bayesian estimation of NIG-parameters by Markov chain Monte Carlo methods

Lillestøl, Jostein - 2000

Persistent link: https://www.econbiz.de/10001582162

Essays on asset pricing and the macroeconomy

Kliem, Martin - 2009

Persistent link: https://www.econbiz.de/10003924973

Predictive regressions with time-varying coefficients

Dangl, Thomas; Halling, Michael - In: Journal of financial economics 106 (2012) 1, pp. 157-181

Persistent link: https://www.econbiz.de/10009666666

Payout yield, risk, and mispricing : a Bayesian analysis

Shanken, Jay; Tamayo, Ane - In: Journal of financial economics 105 (2012) 1, pp. 131-152

Persistent link: https://www.econbiz.de/10009622431

On the correlation between commodity and equity returns : implications for portfolio allocation

Lombardi, Marco; Ravazzolo, Francesco - 2013

Persistent link: https://www.econbiz.de/10009782578

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