Treffliste - Brandt, Michael W. - Depotbiblioteket

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On the relationship between the conditional mean and volatility of stock returns : a latent var approach

Brandt, Michael W.
Inngår i serie: Working paper series / National Bureau of Economic Research (9056)
Bok Engelsk 2002

Price discovery in the U.S. treasury market : the impact of orderflow and liquidity on the yield curve

Brandt, Michael W.
Inngår i serie: Working paper series / National Bureau of Economic Research (9529)
Bok Engelsk 2003

Dynamic portfolio selection by augmenting the asset space

Brandt, Michael W.
Inngår i serie: Working paper series / National Bureau of Economic Research (10372)
Bok Engelsk 2004

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

Brandt, Michael W.
Inngår i serie: Working paper series / National Bureau of Economic Research (9664)
Bok Engelsk 2003

Parametric portfolio policies : Exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.
Inngår i serie: Working paper series / National Bureau of Economic Research (10996)
Bok Engelsk 2004

Time-consistent no-arbitrage models of the term structure

Brandt, Michael W.
Inngår i serie: Working paper series / National Bureau of Economic Research (9458)
Bok Engelsk 2003

High- and low-frequency exchange rate volatility dynamics : range-based estimation of stochastic volatility models

Inngår i serie: NBER working paper series (8162)
Bok Engelsk 2001

A simulation approach to dynamic portfolio choice with an application to learning about return predictability

Michael W. Brandt ... [et al.]
Inngår i serie: Working paper series / National Bureau of Economic Research (10934)
Bok Engelsk 2004

The effect of macroeconomic news on beliefs and preferences : evidence from the options market

Beber, Alessandro
Inngår i serie: Working paper series / National Bureau of Economic Research (9914)
Bok Engelsk 2003

International risk sharing is better than you think : (or exchange rates are much too smooth)

Inngår i serie: NBER working paper series (8404)
Bok Engelsk 2001

Variable selection for portfolio choice

Inngår i serie: NBER working paper series (8127)
Bok Engelsk 2001

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