-
1
-
-
0037905686
-
A no-arbitrage vector autoregression of term-structure dynamics with macroeconomic and latent variables
-
Ang, A., M. Piazzesi. 2003. A no-arbitrage vector autoregression of term-structure dynamics with macroeconomic and latent variables. J. Monetary Econom. 50 745-787.
-
(2003)
J. Monetary Econom
, vol.50
, pp. 745-787
-
-
Ang, A.1
Piazzesi, M.2
-
2
-
-
27144448282
-
-
Working paper, Columbia University, New York
-
Ang, A., S. Dong, M. Piazzesi. 2005. No-arbitrage taylor rules. Working paper, Columbia University, New York.
-
(2005)
No-arbitrage taylor rules
-
-
Ang, A.1
Dong, S.2
Piazzesi, M.3
-
3
-
-
34547707633
-
-
Working paper, Duke University, Durham, NC
-
Bansal, R., I. Shaliastovich. 2006. Risk and return in bond, currency and equity markets. Working paper, Duke University, Durham, NC.
-
(2006)
Risk and return in bond, currency and equity markets
-
-
Bansal, R.1
Shaliastovich, I.2
-
4
-
-
12944326893
-
-
Working paper, Duke University, Durham, NC
-
Bansal, R., A. Yaron. 2000. Risks for the long run: A potential resolution of asset pricing puzzles. Working paper, Duke University, Durham, NC.
-
(2000)
Risks for the long run: A potential resolution of asset pricing puzzles
-
-
Bansal, R.1
Yaron, A.2
-
5
-
-
4344674622
-
Risks for the long run: A potential resolution of asset pricing puzzles
-
Bansal, R., A. Yaron. 2004. Risks for the long run: A potential resolution of asset pricing puzzles. J. Finance 59 1481-1509.
-
(2004)
J. Finance
, vol.59
, pp. 1481-1509
-
-
Bansal, R.1
Yaron, A.2
-
6
-
-
23944484942
-
Consumption, dividends, and the cross-section of equity returns
-
Bansal, R., R. F. Dittmar, C. Lundblad. 2004. Consumption, dividends, and the cross-section of equity returns. J. Finance 60 1639-1672.
-
(2004)
J. Finance
, vol.60
, pp. 1639-1672
-
-
Bansal, R.1
Dittmar, R.F.2
Lundblad, C.3
-
7
-
-
70449700752
-
-
Working paper, Duke University, Durham, NC
-
Bansal, R., D. Kiku, A. Yaron. 2006. Risks for the long run: Estimation and inference. Working paper, Duke University, Durham, NC.
-
(2006)
Risks for the long run: Estimation and inference
-
-
Bansal, R.1
Kiku, D.2
Yaron, A.3
-
8
-
-
0030534228
-
Jump and stochastic volatility: Exchange rate processes implicit in Deutsche mark options
-
Bates, D. S. 1996. Jump and stochastic volatility: Exchange rate processes implicit in Deutsche mark options. Rev. Financial Stud. 9 69-107.
-
(1996)
Rev. Financial Stud
, vol.9
, pp. 69-107
-
-
Bates, D.S.1
-
9
-
-
34548289570
-
-
Working paper, University of Minnesota, Minneapolis
-
Benzoni, L., P. Collin-Dufresne, R. S. Goldstein. 2005. Can standard preferences explain the prices of out-of-the-money S&P 500 put options? Working paper, University of Minnesota, Minneapolis.
-
(2005)
Can standard preferences explain the prices of out-of-the-money S&P 500 put options
-
-
Benzoni, L.1
Collin-Dufresne, P.2
Goldstein, R.S.3
-
11
-
-
85015692260
-
The pricing of options and corporate liabilities
-
Black, F., M. Scholes. 1972. The pricing of options and corporate liabilities. J. Political Econom. 81 639-417.
-
(1972)
J. Political Econom
, vol.81
, pp. 639-417
-
-
Black, F.1
Scholes, M.2
-
12
-
-
0001077372
-
Intertemporal asset pricing without consumption data
-
Campbell, J. 1993. Intertemporal asset pricing without consumption data. Amer. Econom. Rev. 83 487-512.
-
(1993)
Amer. Econom. Rev
, vol.83
, pp. 487-512
-
-
Campbell, J.1
-
13
-
-
0032771542
-
By force of habit: A consumption-based explanation of aggregate stock market behaviour
-
Campbell, J., J. Cochrane. 1999. By force of habit: A consumption-based explanation of aggregate stock market behaviour. J. Political Econom. 107 205-251.
-
(1999)
J. Political Econom
, vol.107
, pp. 205-251
-
-
Campbell, J.1
Cochrane, J.2
-
14
-
-
84936220056
-
Cointegration and tests of present value models
-
Campbell, J. Y., R. J. Shiller. 1987. Cointegration and tests of present value models. J. Political Econom. 95 1062-1088.
-
(1987)
J. Political Econom
, vol.95
, pp. 1062-1088
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
15
-
-
84977717068
-
Stock prices, earnings and expected dividends
-
Campbell, J. Y., R. J. Shiller. 1988. Stock prices, earnings and expected dividends. J. Finance 43 661-676.
-
(1988)
J. Finance
, vol.43
, pp. 661-676
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
16
-
-
70449089152
-
Monetary policy shocks: What have we learned and to what end?
-
J. Taylor, M. Woodford, eds, Chap. 2. Elsevier, Amsterdam
-
Christiano, L. J., M. Eichenbaum, C. L. Evans. 1999. Monetary policy shocks: What have we learned and to what end? J. Taylor, M. Woodford, eds. Handbook of Macroeconomics, Chap. 2. Elsevier, Amsterdam.
-
(1999)
Handbook of Macroeconomics
-
-
Christiano, L.J.1
Eichenbaum, M.2
Evans, C.L.3
-
18
-
-
0001205798
-
A theory of the term structure of interest rates
-
Cox, J. C., J. E. Ingersoll, S. A. Ross. 1985. A theory of the term structure of interest rates. Econometrica 53 385-407.
-
(1985)
Econometrica
, vol.53
, pp. 385-407
-
-
Cox, J.C.1
Ingersoll, J.E.2
Ross, S.A.3
-
19
-
-
0008766361
-
Specification analysis of affine term structure models
-
Dai, J., K. S. Singleton. 2000. Specification analysis of affine term structure models. J. Finance 55 1943-1978.
-
(2000)
J. Finance
, vol.55
, pp. 1943-1978
-
-
Dai, J.1
Singleton, K.S.2
-
20
-
-
33745302681
-
Structural Laplace transform and compound autoregressive models
-
Darolles, S., C. Gourieroux, J. Jasiak. 2006. Structural Laplace transform and compound autoregressive models. J. Time Ser. Anal. 27 477-504.
-
(2006)
J. Time Ser. Anal
, vol.27
, pp. 477-504
-
-
Darolles, S.1
Gourieroux, C.2
Jasiak, J.3
-
21
-
-
33044487628
-
The macroeconomics and the yield curve: A dynamic latent factor approach
-
Forthcoming
-
Diebold, F. X., G. D. Rudebusch, S. B. Arouba. 2005. The macroeconomics and the yield curve: A dynamic latent factor approach. J. Econometrics. Forthcoming.
-
(2005)
J. Econometrics
-
-
Diebold, F.X.1
Rudebusch, G.D.2
Arouba, S.B.3
-
22
-
-
32544432713
-
Term structure estimation without using latent factors
-
Duffee, G. 2006. Term structure estimation without using latent factors. J. Financial Econom. 79 507-536.
-
(2006)
J. Financial Econom
, vol.79
, pp. 507-536
-
-
Duffee, G.1
-
23
-
-
0030305091
-
A yield-factor model of interest rates
-
Duffie, D., R. Kan. 1996. A yield-factor model of interest rates. Math. Finance. 6 379-106.
-
(1996)
Math. Finance
, vol.6
, pp. 379-106
-
-
Duffie, D.1
Kan, R.2
-
24
-
-
0001668150
-
Transform analysis and asset pricing for affine jump-diffusions
-
Duffie, D., J. Pan, K. J. Singleton. 2000. Transform analysis and asset pricing for affine jump-diffusions. Econométrica 68 1343-1376.
-
(2000)
Econométrica
, vol.68
, pp. 1343-1376
-
-
Duffie, D.1
Pan, J.2
Singleton, K.J.3
-
25
-
-
0000842941
-
Substitution, risk aversion, and the temporal behaviour of consumption and asset returns
-
Epstein, L. G, S. E. Zin. 1989. Substitution, risk aversion, and the temporal behaviour of consumption and asset returns. Econometrica 57 937-969.
-
(1989)
Econometrica
, vol.57
, pp. 937-969
-
-
Epstein, L.G.1
Zin, S.E.2
-
26
-
-
2942726323
-
Do stock prices and volatility jump? Reconciling evidence from spot and option prices
-
Eraker, B. 2004. Do stock prices and volatility jump? Reconciling evidence from spot and option prices. J. Finance 59 1367-1403.
-
(2004)
J. Finance
, vol.59
, pp. 1367-1403
-
-
Eraker, B.1
-
27
-
-
61849132927
-
-
Working paper, Duke University, Durham, NC
-
Eraker, B., I. Shaliastovich. 2007. An equilibrium guide to designing affine pricing models. Working paper, Duke University, Durham, NC.
-
(2007)
An equilibrium guide to designing affine pricing models
-
-
Eraker, B.1
Shaliastovich, I.2
-
28
-
-
0142188082
-
The impact of jumps in returns and volatility
-
Eraker, B., M. J. Johannes, N. G. Polson. 2003. The impact of jumps in returns and volatility. J. Finance. 53 1269-1300.
-
(2003)
J. Finance
, vol.53
, pp. 1269-1300
-
-
Eraker, B.1
Johannes, M.J.2
Polson, N.G.3
-
29
-
-
0002053074
-
Monetary policy and the term structure of nominal interest rates: Evidence and theory
-
Evans, C. L., D. A. Marshall. 1998. Monetary policy and the term structure of nominal interest rates: Evidence and theory. Carnegie-Rochester Conf. Ser. Public Policy 49 53-111.
-
(1998)
Carnegie-Rochester Conf. Ser. Public Policy
, vol.49
, pp. 53-111
-
-
Evans, C.L.1
Marshall, D.A.2
-
31
-
-
61849177612
-
-
Gurkaynak, R. S., B. Sack, J. Wright. 2006. The U.S. treasury yield curve: 1961 to the present. Working paper, Federal Reserve Board, Washington, D.C.
-
Gurkaynak, R. S., B. Sack, J. Wright. 2006. The U.S. treasury yield curve: 1961 to the present. Working paper, Federal Reserve Board, Washington, D.C.
-
-
-
-
33
-
-
0037836721
-
Closed-form solution of options with stochastic volatility with application to bond and currency options
-
Heston, S. 1993. Closed-form solution of options with stochastic volatility with application to bond and currency options. Rev. Financial Stud. 6 327-343.
-
(1993)
Rev. Financial Stud
, vol.6
, pp. 327-343
-
-
Heston, S.1
-
34
-
-
34547723007
-
-
Working paper, The Wharton School, University of Pennsylvania, Philadelphia
-
Kiku, D. 2006. Is the value premium a puzzle? Working paper, The Wharton School, University of Pennsylvania, Philadelphia.
-
(2006)
Is the value premium a puzzle
-
-
Kiku, D.1
-
35
-
-
0001072531
-
Temporal resolution of uncertainty and choice theory
-
Kreps, D., E. L. Porteus. 1978. Temporal resolution of uncertainty and choice theory. Econometrica 46 185-200.
-
(1978)
Econometrica
, vol.46
, pp. 185-200
-
-
Kreps, D.1
Porteus, E.L.2
-
39
-
-
49549135545
-
-
Ross, S. 1976. The arbitrage pricing theory of capital market asset pricing. J. Econom. Theory 13 341-360. Tauchen, G. 2005. Stochastic volatility in general equilibrium.
-
Ross, S. 1976. The arbitrage pricing theory of capital market asset pricing. J. Econom. Theory 13 341-360. Tauchen, G. 2005. Stochastic volatility in general equilibrium.
-
-
-
-
40
-
-
61849109904
-
-
Working paper, Duke University, Durham, NC
-
Working paper, Duke University, Durham, NC.
-
-
-
-
41
-
-
0347078538
-
An equilibrium characterization of the term structure
-
Vasicek, O. 1977. An equilibrium characterization of the term structure. J. Financial Econom. 5 177-188.
-
(1977)
J. Financial Econom
, vol.5
, pp. 177-188
-
-
Vasicek, O.1
-
42
-
-
38249004563
-
The equity premium puzzle and the risk free rate puzzle
-
Weil, P. 1989. The equity premium puzzle and the risk free rate puzzle. J. Monetary Econom. 24 401-421.
-
(1989)
J. Monetary Econom
, vol.24
, pp. 401-421
-
-
Weil, P.1
|