James V Marrone

University of Chicago

1126 E 59th St

Chicago, IL 60637

United States

SCHOLARLY PAPERS

2

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CITATIONS
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14

Scholarly Papers (2)

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 04 Mar 2011 Last Revised: 08 Aug 2012
Tim Bollerslev, James V Marrone, Lai Xu and Hao Zhou
Duke University - Finance, University of Chicago, Independent and Tsinghua University - PBC School of Finance
Downloads 974 (17,151)
Citation 11

Abstract:

Variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence

Number of pages: 55 Posted: 17 Mar 2012 Last Revised: 08 Aug 2012
Tim Bollerslev, James V Marrone, Lai Xu and Hao Zhou
Duke University - Finance, University of Chicago, Duke University and Tsinghua University - PBC School of Finance
Downloads 434 (52,159)
Citation 11

Abstract:

variance risk premium, return predictability, over-lapping return regressions, international stock market returns, global variance risk

Granularity Adjustment for Mark-to-Market Credit Risk Models

FEDS Working Paper No. 2010-37
Number of pages: 39 Posted: 29 Jan 2011
Michael B. Gordy and James V Marrone
Board of Governors of the Federal Reserve and University of Chicago
Downloads 105 (212,243)
Citation 3

Abstract:

Granularity adjustment, idiosyncratic risk, portfolio credit risk, value-at-risk, expected shortfall

Granularity Adjustment for Mark-to-Market Credit Risk Models

FEDS Working Paper No. 2010-37
Number of pages: 44 Posted: 27 Jul 2011
Michael B. Gordy and James V Marrone
Board of Governors of the Federal Reserve and University of Chicago
Downloads 80 (254,371)
Citation 3

Abstract:

Granularity adjustment, idiosyncratic risk, portfolio credit risk, value-at-risk, expected shortfall