| Working Paper |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| 1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus |
0 |
0 |
1 |
83 |
0 |
1 |
2 |
218 |
| 1/N and long run optimal portfolios: results for mixed asset menus |
0 |
0 |
0 |
132 |
0 |
1 |
7 |
344 |
| A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets |
0 |
0 |
1 |
129 |
0 |
0 |
1 |
237 |
| A Markov Switching Cointegration Analysis of the CDS-Bond Basis Puzzle |
0 |
1 |
10 |
96 |
0 |
1 |
12 |
140 |
| A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? |
0 |
0 |
0 |
128 |
1 |
1 |
2 |
262 |
| A yield spread perspective on the great financial crisis: break-point test evidence |
0 |
0 |
1 |
152 |
0 |
0 |
2 |
287 |
| Affiliated mutual funds and analyst optimism |
0 |
0 |
2 |
256 |
0 |
1 |
6 |
438 |
| Ambiguity Aversion and Under-diversification |
0 |
0 |
2 |
215 |
0 |
2 |
4 |
409 |
| Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature |
1 |
1 |
2 |
307 |
1 |
1 |
8 |
795 |
| Ambiguity in asset pricing and portfolio choice: a review of the literature |
0 |
0 |
1 |
152 |
0 |
2 |
5 |
263 |
| An Empirical Analysis of Changes in the Relative Timeliness of Issuer-Paid vs. Investor-Paid Ratings |
0 |
0 |
0 |
124 |
0 |
1 |
12 |
322 |
| An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns |
0 |
0 |
0 |
292 |
0 |
0 |
1 |
558 |
| Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence |
0 |
0 |
1 |
23 |
0 |
0 |
1 |
46 |
| Arbitrage Risk and Investor Sentiment as Causes of Persistent Mispricing: the European Evidence |
0 |
0 |
0 |
54 |
0 |
1 |
2 |
106 |
| Are Unconventional Monetary Policies a Priced Risk Factor for Hedge Fund Strategies? |
0 |
1 |
9 |
123 |
0 |
2 |
11 |
149 |
| Are the dynamic linkages between the macroeconomy and asset prices time-varying? |
0 |
0 |
0 |
214 |
0 |
0 |
0 |
460 |
| Asset allocation under multivariate regime switching |
2 |
2 |
6 |
642 |
3 |
3 |
10 |
1,261 |
| Boosting the Forecasting Power of Conditional Heteroskedasticity Models to Account for Covid-19 Outbreaks |
1 |
1 |
1 |
87 |
1 |
1 |
5 |
56 |
| Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence |
0 |
0 |
2 |
105 |
0 |
2 |
4 |
141 |
| Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence |
0 |
1 |
4 |
52 |
0 |
2 |
5 |
90 |
| Can No-Arbitrage SDF Models with Regime Shifts Explain the Correlations Between Commodity, Stock, and Bond Returns? |
0 |
0 |
2 |
72 |
0 |
1 |
3 |
103 |
| Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective |
0 |
0 |
0 |
189 |
0 |
2 |
2 |
430 |
| Can VAR models capture regime shifts in asset returns? a long-horizon strategic asset allocation perspective |
0 |
0 |
0 |
217 |
0 |
1 |
2 |
455 |
| Can We Forecast the Implied Volatility Surface Dynamics of Equity Options? Predictability and Economic Value Tests |
1 |
1 |
4 |
481 |
1 |
1 |
15 |
1,176 |
| Diamonds are Forever, Wars are Not: Is Conflict Bad for Private Firms? |
0 |
0 |
1 |
246 |
0 |
3 |
5 |
1,031 |
| Diamonds are forever, wars are not. Is conflict bad for private firms? |
0 |
0 |
3 |
473 |
0 |
1 |
4 |
1,163 |
| Dissecting Time-Varying Risk Exposures in Cryptocurrency Markets |
0 |
0 |
10 |
115 |
0 |
2 |
17 |
219 |
| Dissecting the 2007-2009 real estate market bust: systematic pricing correction or just a housing fad? |
0 |
0 |
0 |
60 |
0 |
0 |
1 |
157 |
| Distilling Large Information Sets to Forecast Commodity Returns: Automatic Variable Selection or HiddenMarkov Models? |
0 |
0 |
4 |
75 |
0 |
0 |
6 |
102 |
| Do Regimes in Excess Stock Return Predictability Create Economic Value? An Out-of-Sample Portfolio Analysis |
0 |
0 |
2 |
150 |
0 |
1 |
3 |
182 |
| Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings |
1 |
3 |
19 |
19 |
1 |
3 |
30 |
30 |
| Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes |
1 |
1 |
4 |
53 |
1 |
1 |
6 |
72 |
| Does the Cost of Private Debt Respond to Monetary Policy? Heteroskedasticity-Based Identification in a Model with Regimes |
2 |
5 |
6 |
94 |
2 |
5 |
6 |
112 |
| Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence |
0 |
0 |
0 |
127 |
0 |
0 |
1 |
341 |
| Economic Implications of Bull and Bear Regimes in UK Stock Returns |
0 |
0 |
0 |
132 |
0 |
0 |
0 |
336 |
| Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK |
0 |
0 |
0 |
133 |
0 |
0 |
0 |
351 |
| Estimating Stochastic Discount Factor Models with Hidden Regimes: Applications to Commodity Pricing |
0 |
0 |
1 |
116 |
0 |
0 |
1 |
199 |
| Ex Post Portfolio Performance with Predictable Skewness and Kurtosis |
0 |
0 |
0 |
144 |
0 |
0 |
1 |
392 |
| Federal reserve chair communication sentiments’ heterogeneity, personal characteristics, and their impact on target rate discovery |
0 |
0 |
0 |
27 |
0 |
0 |
1 |
42 |
| Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors |
0 |
0 |
5 |
114 |
1 |
1 |
9 |
160 |
| Forecasting and Trading Monetary Policy Effects on the Riskless Yield Curve with Regime Switching Nelson†Siegel Models |
0 |
3 |
6 |
141 |
0 |
3 |
8 |
196 |
| Forecasting and Trading Monetary Policy Switching Nelson-Siegel Models |
0 |
2 |
6 |
102 |
0 |
7 |
12 |
129 |
| Forecasting: theory and practice |
0 |
1 |
9 |
90 |
3 |
7 |
23 |
109 |
| Forecasts of U.S. short-term interest rates: a flexible forecast combination approach |
0 |
0 |
1 |
889 |
0 |
0 |
1 |
2,482 |
| Forecasts of US Short-term Interest Rates: A Flexible Forecast Combination Approach |
0 |
0 |
0 |
280 |
0 |
2 |
2 |
749 |
| High equity premia and crash fears. Rational foundations |
0 |
0 |
0 |
115 |
0 |
0 |
0 |
297 |
| Home bias and high turnover in an overlapping generations model with learning |
0 |
0 |
0 |
213 |
0 |
0 |
0 |
519 |
| How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs |
0 |
2 |
5 |
92 |
1 |
4 |
9 |
152 |
| How did the financial crisis alter the correlations of U.S. yield spreads? |
0 |
0 |
4 |
243 |
3 |
3 |
13 |
639 |
| Implied Learning Paths from Option Prices |
0 |
0 |
0 |
139 |
0 |
1 |
1 |
294 |
| International asset allocation under regime switching, skew and kurtosis preferences |
0 |
0 |
1 |
484 |
0 |
0 |
2 |
925 |
| Investing for the Long-Run in European Real Estate. Does Predictability Matter? |
0 |
0 |
0 |
178 |
0 |
1 |
1 |
434 |
| Investing for the long-run in European real estate |
0 |
0 |
1 |
384 |
0 |
0 |
2 |
1,315 |
| Investing in Mixed Asset Portfolios: the Ex-Post Performance |
0 |
0 |
0 |
112 |
0 |
0 |
0 |
377 |
| Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? |
0 |
0 |
1 |
114 |
0 |
0 |
5 |
269 |
| Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence* |
0 |
0 |
1 |
141 |
0 |
6 |
10 |
226 |
| Machine Learning in Portfolio Decisions |
6 |
13 |
73 |
73 |
9 |
22 |
103 |
103 |
| Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section |
0 |
1 |
4 |
109 |
0 |
2 |
7 |
170 |
| Macroeconomic factors strike back: A Bayesian change-point model of time-varying risk exposures and premia in the U.S. cross-section |
0 |
0 |
0 |
62 |
0 |
1 |
1 |
347 |
| Managing international portfolios with small capitalization stocks |
0 |
0 |
1 |
66 |
0 |
1 |
2 |
256 |
| Markov Switching Models in Empirical Finance |
2 |
5 |
27 |
2,372 |
9 |
20 |
66 |
4,537 |
| Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit |
1 |
2 |
9 |
87 |
1 |
2 |
10 |
114 |
| Mildly Explosive Dynamics in U.S. Fixed Income Markets |
0 |
0 |
1 |
27 |
0 |
0 |
3 |
84 |
| Mildly Explosive Dynamics in U.S. Fixed Income Markets |
0 |
0 |
3 |
21 |
0 |
1 |
5 |
35 |
| Mildly Explosive Dynamics in U.S. Fixed Income Markets |
0 |
0 |
0 |
18 |
0 |
1 |
1 |
89 |
| Modeling Systemic Risk with Markov Switching Graphical SUR Models |
0 |
1 |
3 |
145 |
0 |
1 |
9 |
229 |
| Modelling the MIB30 implied volatility surface. Does market efficiency matter? |
0 |
0 |
0 |
225 |
0 |
1 |
1 |
757 |
| Monetary Policy after the Crisis: Threat or Opportunity to Hedge Funds' Alphas? |
0 |
1 |
8 |
126 |
0 |
2 |
10 |
143 |
| Multifactor Empirical Asset Pricing Under Higher-Order Moment Variations |
0 |
0 |
0 |
24 |
0 |
0 |
1 |
80 |
| Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns |
0 |
0 |
0 |
122 |
0 |
0 |
1 |
283 |
| Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns |
0 |
0 |
0 |
71 |
2 |
3 |
4 |
142 |
| Non-linear predictability in stock and bond returns: when and where is it exploitable? |
0 |
0 |
0 |
455 |
0 |
0 |
6 |
898 |
| Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value |
0 |
0 |
0 |
102 |
0 |
0 |
1 |
218 |
| Optimal portfolio choice under regime switching, skew and kurtosis preferences |
0 |
0 |
0 |
435 |
0 |
1 |
4 |
1,271 |
| Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities |
0 |
0 |
0 |
355 |
0 |
0 |
0 |
956 |
| Option Prices under Bayesian Learning: Implied Volatility Dynamics and Predictive Densities |
0 |
0 |
0 |
326 |
0 |
1 |
2 |
913 |
| Option prices and implied volatility dynamics under Bayesian learning |
0 |
0 |
0 |
0 |
0 |
0 |
3 |
658 |
| Option prices under Bayesian learning: implied volatility dynamics and predictive densities |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
| Pessimistic beliefs under rational learning: quantitative implications for the equity premium puzzle |
0 |
0 |
0 |
144 |
0 |
1 |
3 |
450 |
| Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment |
0 |
0 |
4 |
55 |
0 |
0 |
8 |
116 |
| Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment |
0 |
0 |
3 |
25 |
0 |
1 |
4 |
54 |
| Predictable dynamics in the S&P 500 index options implied volatility surface |
0 |
0 |
2 |
611 |
0 |
1 |
6 |
1,522 |
| Predictions of short-term rates and the expectations hypothesis |
0 |
0 |
1 |
141 |
0 |
0 |
2 |
322 |
| Predictions of short-term rates and the expectations hypothesis of the term structure of interest rates |
0 |
0 |
0 |
158 |
0 |
1 |
4 |
461 |
| Properties of equilibrium asset prices under alternative learning schemes |
0 |
0 |
0 |
176 |
0 |
0 |
2 |
453 |
| Regime shifts in mean-variance efficient frontiers: some international evidence |
0 |
0 |
0 |
124 |
0 |
0 |
0 |
214 |
| Responsible Investing under Climate Change Uncertainty |
2 |
7 |
31 |
31 |
3 |
10 |
33 |
33 |
| Sentiment Risk Premia In The Cross-Section of Global Equity |
0 |
0 |
4 |
63 |
0 |
3 |
11 |
112 |
| Sentiment Risk Premia in the Cross-Section of Global Equity and Currency Returns |
0 |
0 |
0 |
90 |
0 |
0 |
5 |
139 |
| Size and value anomalies under regime shifts |
0 |
0 |
0 |
259 |
0 |
0 |
1 |
571 |
| Small Caps in International Diversified Portfolios |
0 |
0 |
0 |
74 |
1 |
1 |
1 |
250 |
| Small Caps in International Equity Portfolios: The Effects of Variance Risk |
0 |
0 |
0 |
155 |
0 |
0 |
1 |
521 |
| Small caps in international equity portfolios: the effects of variance risk |
0 |
0 |
0 |
171 |
0 |
0 |
2 |
522 |
| Strategic Asset Allocation and Consumption Decisions under Multivariate Regime Switching |
0 |
0 |
0 |
10 |
0 |
0 |
3 |
785 |
| Strong vs. Stable: The Impact of ESG Ratings Momentum and their Volatility on the Cost of Equity Capital |
1 |
5 |
19 |
65 |
1 |
5 |
29 |
76 |
| Subjective probabilities: psychological evidence and economic applications |
0 |
0 |
0 |
260 |
1 |
1 |
2 |
840 |
| Term Structure of Risk Under Alternative Econometric Specifications |
0 |
0 |
0 |
114 |
0 |
0 |
1 |
341 |
| Term structure of risk under alternative econometric specifications |
0 |
0 |
0 |
218 |
0 |
1 |
1 |
520 |
| The Effects of Information Asymmetries on the Success of Stock Option Listings |
0 |
0 |
0 |
117 |
0 |
0 |
1 |
427 |
| The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios |
1 |
1 |
17 |
44 |
2 |
3 |
24 |
55 |
| The Impact of Monetary Policy on Corporate Bonds under Regime Shifts |
0 |
0 |
0 |
168 |
0 |
0 |
4 |
340 |
| The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis |
1 |
1 |
5 |
88 |
1 |
1 |
6 |
97 |
| The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns |
0 |
1 |
1 |
248 |
0 |
2 |
5 |
632 |
| The economic effects of violent conflict: evidence from asset market reactions |
0 |
0 |
0 |
227 |
0 |
3 |
8 |
732 |
| Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value |
0 |
0 |
1 |
108 |
0 |
0 |
2 |
426 |
| Time and risk diversification in real estate investments: assessing the ex post economic value |
0 |
0 |
0 |
128 |
0 |
0 |
2 |
297 |
| Time-Varying Price Discovery in Sovereign Credit Markets |
2 |
3 |
3 |
57 |
2 |
3 |
3 |
74 |
| Time-Varying Risk Aversion and International Stock Returns |
2 |
3 |
15 |
53 |
2 |
3 |
20 |
74 |
| Understanding the Impact of Monetary Policy Shocks on the Corporate Bond Market in Good and Bad Times: A Markov Switching Model |
0 |
0 |
0 |
53 |
0 |
1 |
4 |
115 |
| Volatility as an Alternative asset Class: Does It Improve Portfolio Performance? |
0 |
0 |
0 |
54 |
0 |
0 |
4 |
104 |
| What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model |
0 |
0 |
0 |
170 |
0 |
1 |
1 |
539 |
| Who should buy structured investment products and why? |
2 |
6 |
33 |
33 |
2 |
6 |
37 |
37 |
| Why do analysts continue to provide favorable coverage for seasoned stocks? |
0 |
0 |
0 |
88 |
0 |
1 |
6 |
274 |
| Total Working Papers |
29 |
75 |
407 |
19,921 |
55 |
186 |
788 |
47,555 |
| Journal Article |
File Downloads |
Abstract Views |
| Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |
| A Review of: “Book Review: Empirical Dynamic Asset Pricing” |
0 |
0 |
0 |
39 |
0 |
0 |
0 |
116 |
| A simple model of trading and pricing risky assets under ambiguity: any lessons for policy-makers? |
0 |
0 |
0 |
86 |
0 |
0 |
0 |
224 |
| A yield spread perspective on the great financial crisis: Break-point test evidence |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
149 |
| Affiliated mutual funds and analyst optimism |
0 |
0 |
3 |
147 |
0 |
1 |
11 |
440 |
| Alternative econometric implementations of multi-factor models of the U.S. financial markets |
0 |
0 |
0 |
37 |
0 |
1 |
1 |
129 |
| Ambiguity Aversion and Underdiversification |
0 |
0 |
0 |
38 |
0 |
1 |
1 |
96 |
| Ambiguity in asset pricing and portfolio choice: a review of the literature |
0 |
0 |
0 |
71 |
0 |
1 |
1 |
174 |
| An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns |
0 |
0 |
1 |
371 |
0 |
0 |
4 |
880 |
| An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns |
0 |
0 |
2 |
3 |
0 |
0 |
4 |
14 |
| An empirical analysis of changes in the relative timeliness of issuer-paid vs. investor-paid ratings |
0 |
0 |
0 |
10 |
0 |
0 |
2 |
34 |
| Arbitrage risk and a sentiment as causes of persistent mispricing: The European evidence |
0 |
0 |
1 |
20 |
0 |
2 |
9 |
48 |
| Are the dynamic linkages between the macroeconomy and asset prices time-varying? |
0 |
0 |
1 |
99 |
0 |
0 |
3 |
262 |
| Asset allocation under multivariate regime switching |
7 |
8 |
11 |
490 |
10 |
19 |
40 |
1,095 |
| Bubbling (or just frothy) house prices? |
0 |
0 |
1 |
35 |
0 |
0 |
1 |
152 |
| Can Investors Benefit from Hedge Fund Strategies? Utility-Based, Out-of-Sample Evidence |
0 |
0 |
3 |
7 |
0 |
0 |
5 |
10 |
| Can Linear Predictability Models Time Bull and Bear Real Estate Markets? Out-of-Sample Evidence from REIT Portfolios |
0 |
0 |
1 |
40 |
0 |
1 |
5 |
150 |
| Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective |
0 |
0 |
2 |
102 |
1 |
2 |
7 |
257 |
| Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets |
0 |
0 |
1 |
38 |
0 |
1 |
4 |
110 |
| Can we forecast the implied volatility surface dynamics of equity options? Predictability and economic value tests |
0 |
0 |
3 |
89 |
0 |
1 |
14 |
349 |
| Cross-asset contagion in the financial crisis: A Bayesian time-varying parameter approach |
0 |
0 |
0 |
25 |
0 |
0 |
2 |
76 |
| Cross-country personal saving rates |
0 |
0 |
0 |
83 |
0 |
1 |
1 |
230 |
| Diamonds Are Forever, Wars Are Not: Is Conflict Bad for Private Firms? |
0 |
0 |
3 |
452 |
2 |
11 |
28 |
1,720 |
| Dissecting the 2007–2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad? |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
64 |
| Diversifying in public real estate: The ex-post performance |
0 |
0 |
0 |
0 |
0 |
0 |
0 |
9 |
| Do US Active Mutual Funds Make Good of Their ESG Promises? Evidence from Portfolio Holdings |
0 |
1 |
7 |
9 |
0 |
2 |
13 |
17 |
| Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
79 |
| Does the cost of private debt respond to monetary policy? Heteroskedasticity-based identification in a model with regimes |
0 |
0 |
1 |
19 |
0 |
0 |
1 |
25 |
| Economic Implications of Bull and Bear Regimes in UK Stock and Bond Returns |
0 |
0 |
0 |
343 |
1 |
1 |
1 |
717 |
| Equally Weighted vs. Long†Run Optimal Portfolios |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
28 |
| Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK |
0 |
0 |
0 |
42 |
0 |
0 |
0 |
119 |
| Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing |
0 |
0 |
0 |
25 |
1 |
1 |
1 |
49 |
| Forecasting and trading monetary policy effects on the riskless yield curve with regime switching Nelson–Siegel models |
0 |
0 |
2 |
24 |
0 |
1 |
5 |
102 |
| Forecasting commodity futures returns with stepwise regressions: Do commodity-specific factors help? |
0 |
0 |
2 |
26 |
0 |
0 |
6 |
51 |
| Forecasting the CBOE VIX and SKEW Indices Using Heterogeneous Autoregressive Models |
0 |
0 |
2 |
2 |
0 |
0 |
8 |
8 |
| Forecasting yield spreads under crisis-induced multiple breakpoints |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
42 |
| Forecasting: theory and practice |
1 |
2 |
17 |
50 |
9 |
23 |
133 |
309 |
| Forecasts of US short-term interest rates: A flexible forecast combination approach |
0 |
1 |
1 |
242 |
0 |
3 |
5 |
631 |
| High equity premia and crash fears - Rational foundations |
0 |
0 |
0 |
94 |
0 |
0 |
0 |
239 |
| Home Bias and High Turnover in an Overlapping‐generations Model with Learning |
0 |
0 |
0 |
87 |
0 |
0 |
0 |
245 |
| How did the financial crisis alter the correlations of U.S. yield spreads? |
0 |
0 |
0 |
26 |
0 |
0 |
1 |
122 |
| How good can heuristic-based forecasts be? A comparative performance of econometric and heuristic models for UK and US asset returns |
0 |
0 |
1 |
20 |
0 |
0 |
3 |
52 |
| Identifying and measuring the contagion channels at work in the European financial crises |
0 |
0 |
0 |
55 |
0 |
1 |
2 |
147 |
| International asset allocation under regime switching, skew, and kurtosis preferences |
0 |
0 |
0 |
221 |
0 |
1 |
3 |
588 |
| International asset prices and portfolio choices under Bayesian learning |
0 |
0 |
0 |
101 |
0 |
0 |
1 |
228 |
| Investing for the Long-run in European Real Estate |
0 |
1 |
1 |
118 |
0 |
1 |
1 |
304 |
| Is the bond market irrational? |
0 |
0 |
0 |
45 |
0 |
0 |
0 |
134 |
| Is the financial crisis over? a yield spread perspective |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
64 |
| Learning to smile: Can rational learning explain predictable dynamics in the implied volatility surface? |
0 |
0 |
0 |
42 |
0 |
1 |
2 |
105 |
| Linear and nonlinear predictability in investment style factors: multivariate evidence |
3 |
4 |
5 |
29 |
7 |
13 |
23 |
117 |
| Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
39 |
| Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section |
0 |
0 |
0 |
25 |
0 |
0 |
2 |
145 |
| Markov Switching Dynamics in REIT Returns: Univariate and Multivariate Evidence on Forecasting Performance |
0 |
1 |
3 |
48 |
0 |
4 |
9 |
127 |
| Media Attention vs. Sentiment as Drivers of Conditional Volatility Predictions: An Application to Brexit |
0 |
0 |
0 |
14 |
0 |
0 |
1 |
22 |
| Mildly explosive dynamics in U.S. fixed income markets |
0 |
0 |
2 |
14 |
1 |
1 |
3 |
40 |
| Modeling systemic risk with Markov Switching Graphical SUR models |
1 |
1 |
3 |
47 |
1 |
2 |
7 |
165 |
| Modelling the implied volatility surface: Does market efficiency matter?: An application to MIB30 index options |
0 |
0 |
0 |
92 |
0 |
0 |
5 |
245 |
| Monetary policy after the crisis: A threat to hedge funds' alphas? |
0 |
0 |
4 |
33 |
0 |
2 |
16 |
83 |
| Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate |
0 |
0 |
1 |
26 |
0 |
1 |
2 |
114 |
| New ESG rating drivers in the cross‐section of European stock returns |
2 |
3 |
11 |
18 |
2 |
3 |
18 |
30 |
| No volatility, no forecasting power for the term spread |
0 |
0 |
0 |
29 |
0 |
0 |
0 |
99 |
| Non-linear predictability in stock and bond returns: When and where is it exploitable? |
0 |
0 |
1 |
155 |
0 |
0 |
1 |
379 |
| Option prices under Bayesian learning: implied volatility dynamics and predictive densities |
0 |
0 |
0 |
311 |
0 |
1 |
2 |
660 |
| Performance persistence and optimal asset allocation strategies |
0 |
0 |
1 |
10 |
0 |
0 |
2 |
15 |
| Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle |
0 |
0 |
0 |
75 |
0 |
0 |
1 |
225 |
| Portfolio performance of linear SDF models: an out-of-sample assessment |
0 |
0 |
0 |
11 |
0 |
1 |
2 |
48 |
| Predictable Dynamics in the S&P 500 Index Options Implied Volatility Surface |
0 |
1 |
11 |
377 |
0 |
2 |
19 |
1,042 |
| Predictions of short-term rates and the expectations hypothesis |
0 |
0 |
3 |
22 |
0 |
2 |
7 |
87 |
| Pricing S&P 500 Index Options: A Conditional Semi‐Nonparametric Approach |
0 |
0 |
0 |
10 |
0 |
0 |
1 |
36 |
| Properties of equilibrium asset prices under alternative learning schemes |
0 |
1 |
1 |
117 |
0 |
1 |
2 |
277 |
| Recursive Modeling of Nonlinear Dynamics in UK Stock Returns |
0 |
0 |
0 |
85 |
0 |
0 |
1 |
233 |
| Regime shifts in mean-variance efficient frontiers: Some international evidence |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
8 |
| Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment |
0 |
0 |
0 |
15 |
0 |
1 |
2 |
48 |
| Size and Value Anomalies under Regime Shifts |
0 |
0 |
1 |
100 |
0 |
0 |
2 |
245 |
| Small caps in international equity portfolios: the effects of variance risk |
0 |
0 |
0 |
72 |
0 |
0 |
0 |
221 |
| Strong vs. stable: the impact of ESG ratings momentum and their volatility on the cost of equity capital |
0 |
0 |
1 |
1 |
0 |
2 |
7 |
7 |
| Subjective probabilities: psychological theories and economic applications |
0 |
0 |
1 |
46 |
0 |
1 |
4 |
376 |
| Switching Coefficients or Automatic Variable Selection: An Application in Forecasting Commodity Returns |
0 |
0 |
0 |
19 |
0 |
1 |
2 |
29 |
| Taming the long-term spreads |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
48 |
| Term structure of risk under alternative econometric specifications |
0 |
0 |
0 |
159 |
1 |
1 |
4 |
366 |
| The Predictability of Real Estate Excess Returns: An Out-of-Sample Economic Value Analysis |
0 |
1 |
6 |
18 |
1 |
2 |
8 |
21 |
| The decline in the U.S. personal saving rate: is it real and is it a puzzle? |
0 |
0 |
1 |
106 |
0 |
0 |
6 |
476 |
| The dollar U-turn |
0 |
0 |
1 |
34 |
0 |
0 |
2 |
128 |
| The dynamics of returns predictability in cryptocurrency markets |
1 |
1 |
3 |
14 |
2 |
3 |
8 |
21 |
| The economic effects of violent conflict: Evidence from asset market reactions |
4 |
5 |
11 |
112 |
9 |
16 |
41 |
406 |
| The effects of large-scale asset purchases on TIPS inflation expectations |
0 |
1 |
2 |
82 |
0 |
2 |
3 |
190 |
| The empirical performance of option implied volatility surface-driven optimal portfolios |
0 |
0 |
2 |
15 |
0 |
0 |
5 |
23 |
| The impact of monetary policy on corporate bonds under regime shifts |
0 |
0 |
2 |
53 |
0 |
1 |
3 |
168 |
| Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value |
0 |
0 |
0 |
98 |
0 |
0 |
1 |
236 |
| Time varying stock return predictability: Evidence from US sectors |
0 |
1 |
1 |
100 |
0 |
2 |
4 |
223 |
| Time-varying price discovery in sovereign credit markets |
0 |
0 |
1 |
6 |
0 |
1 |
2 |
14 |
| Unconventional monetary policies and the corporate bond market |
0 |
0 |
0 |
41 |
0 |
0 |
0 |
118 |
| What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model |
0 |
0 |
0 |
48 |
0 |
1 |
1 |
214 |
| Total Journal Articles |
19 |
33 |
146 |
6,718 |
48 |
144 |
560 |
19,007 |
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