James V Marrone

University of Chicago

1126 E 59th St

Chicago, IL 60637

United States

SCHOLARLY PAPERS

3

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Scholarly Papers (3)

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 981 (18,133)
Citation 11

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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 439 (54,568)
Citation 11

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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 106 (221,989)
Citation 3

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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 81 (265,543)
Citation 3

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

3.

Re-Evaluating the Returns to Language Skills Using Latent Trait Estimates

RAND Working Paper Series WR- 1212
Number of pages: 35 Posted: 17 Nov 2017
James V Marrone
University of Chicago
Downloads 0 (544,170)

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