Tradable aggregate risk factors and the cross-section of stock returns

By Pekkala Tapio and Doskov Nikolay
Working Paper (2016)

  • Ruy Ribeiro

    Pontifical Catholic University of Rio de Janeiro

    Brazil

  • Tapio Pekkala

    Pacific Investment Management Company (PIMCO)

    USA

  • Nikolay Doskov

    Norges Bank Investment Management (NBIM)

    Norway

Created

December 15, 2016

Last update

December 16, 2016

Software

Excel

Ranking

141

Visits

491

Downloads

57

Description

Factor data

Compensatory Word of Mouth: Advice as a Device to Restore Control

International Journal of Research in Marketing (2017)

Peluso Alessandro M., Bonezzi Andrea , De Angelis Matteo, and Rucker Derek D.

2016-10-18

Zip Archive

458

149

21

Higher-order statistics for DSGE models

Econometrics and Statistics (2016)

Mutschler Willi

Pitfalls in Systemic-Risk Scoring

SSRN (2016)

Perignon Christophe, Hurlin Christophe, and Benoit Sylvain

Volatility Forecast Comparison Using Imperfect Volatility Proxies

Journal of Econometrics (2011)

Patton Andrew J.

Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

Econometrica (2002)

Ait-Sahalia Yacine

The Risk Map: A New Tool for Validating Risk Models

Journal of Banking and Finance (2013)

Perignon Christophe, Hurlin Christophe, and Colletaz Gilbert

Copula-Based Models for Financial Time Series

Handbook of Financial Time Series (2009)

Patton Andrew J.

Testing for Granger Non-causality in Heterogeneous Panels

Economic Modelling (2012)

Dumitrescu Elena-Ivona and Hurlin Christophe

Pitfalls in Backtesting Historical Simulation VaR models

Journal of Banking and Finance (2012)

Escanciano Juan Carlos and Pei Pei

0 comment

Add comment

You need to log in to post a comment.