Author Page for Michael W. Brandt

Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Nova School of Business and Economics and Duke University - Fuqua School of Business

Downloads 2,076 (12,841)

Citation 12

Abstract:

6.

Optimal Decentralized Investment Management

Downloads 1,869 (15,158)

Citation 61

2

Optimal Decentralized Investment Management

EFA 2006 Zurich Meetings, AFA 2007 Chicago Meetings Paper

Number of pages: 68 Posted: 02 Mar 2006

Jules H. van Binsbergen, Michael W. Brandt and Ralph S. J. Koijen

University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business

Downloads 1,702 (17,230)

Citation 4

Abstract:

Optimal Decentralized Investment Management

NBER Working Paper No. w12144

Number of pages: 61 Posted: 18 May 2006 Last Revised: 05 Feb 2023

Michael W. Brandt, Jules H. van Binsbergen and Ralph S. J. Koijen

Duke University - Fuqua School of Business, University of Pennsylvania - The Wharton School and University of Chicago - Booth School of Business

Downloads 167 (295,108)

Citation 7

Abstract:

7.

What Does Equity Sector Orderflow Tell Us About the Economy?

Downloads 1,239 (28,258)

Citation 11

4

What Does Equity Sector Orderflow Tell Us About the Economy?

Number of pages: 44 Posted: 21 Jun 2008

Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz

Cass Business School, Duke University - Fuqua School of Business and Edgewood College

Downloads 623 (71,524)

Citation 1

Abstract:

What Does Equity Sector Orderflow Tell Us About the Economy?

AFA 2010 Atlanta Meetings Paper

Number of pages: 61 Posted: 23 Mar 2009 Last Revised: 05 Nov 2010

Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz

Cass Business School, Duke University - Fuqua School of Business and Edgewood College

Downloads 411 (118,890)

Citation 7

Abstract:

What Does Equity Sector Orderflow Tell Us about the Economy?

EFA 2009 Bergen Meetings Paper

Number of pages: 51 Posted: 17 Feb 2009

Alessandro Beber, Kenneth A. Kavajecz and Michael W. Brandt

Cass Business School, Edgewood College and Duke University - Fuqua School of Business

Downloads 143 (336,078)

Citation 2

Abstract:

What Does Equity Sector Orderflow Tell Us About the Economy?

NBER Working Paper No. w16534

Number of pages: 62 Posted: 22 Nov 2010 Last Revised: 06 Mar 2023

Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz

Cass Business School, Duke University - Fuqua School of Business and Edgewood College

Downloads 62 (585,920)

Citation 1

Abstract:

8.

The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?

Downloads 1,124 (32,568)

Citation 105

2

The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?

McCombs Research Paper Series No. FIN-02-09

Number of pages: 57 Posted: 09 Jun 2008 Last Revised: 18 Jan 2009

Michael W. Brandt, Alon Brav, John R. Graham and Alok Kumar

Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Miami - Miami Herbert Business School

Downloads 1,124 (32,087)

Citation 105

Abstract:

The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?

The Review of Financial Studies, Vol. 23, Issue 2, pp. 863-899, 2009

Posted: 01 Feb 2010

Michael W. Brandt, Alon Brav, John R. Graham and Alok Kumar

Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Duke University and University of Miami - Miami Herbert Business School

Abstract:

9.

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

Downloads 890 (45,135)

Citation 184

3

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

Number of pages: 49 Posted: 23 Jun 2005

Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov

Duke University - Fuqua School of Business, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Downloads 777 (53,589)

Citation 1

Abstract:

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

NBER Working Paper No. w10996

Number of pages: 50 Posted: 19 Jan 2005 Last Revised: 20 Jul 2022

Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov

Duke University - Fuqua School of Business, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Downloads 113 (402,468)

Citation 84

Abstract:

Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3411-3447, 2009

Posted: 08 Sep 2009

Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov

Duke University - Fuqua School of Business, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

10.

Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

Downloads 772 (54,791)

Citation 1

2

Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

Number of pages: 39 Posted: 20 Jun 2013 Last Revised: 23 Nov 2014

Alessandro Beber, Michael W. Brandt and Maurizio Luisi

Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN

Downloads 766 (54,585)

Citation 1

Abstract:

Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

CEPR Discussion Paper No. DP9538

Number of pages: 47 Posted: 09 Jul 2013

Alessandro Beber, Michael W. Brandt and Maurizio Luisi

Cass Business School, Duke University - Fuqua School of Business and affiliation not provided to SSRN

Downloads 6 (1,021,486)

Add to Cart

Abstract:

11.

Dynamic Portfolio Choice: A Simulation Approach

Number of pages: 43 Posted: 05 Jun 2001

Michael W. Brandt, Amit Goyal and Pedro Santa-Clara

Duke University - Fuqua School of Business, University of Lausanne and Nova School of Business and Economics

Downloads 756 (56,344)

Citation 8

Abstract:

12.

Dynamic Portfolio Selection by Augmenting the Asset Space

Downloads 752 (56,871)

Citation 68

2

Dynamic Portfolio Selection by Augmenting the Asset Space

Number of pages: 38 Posted: 07 Mar 2004

Michael W. Brandt and Pedro Santa-Clara

Duke University - Fuqua School of Business and Nova School of Business and Economics

Downloads 481 (98,840)

Citation 6

Abstract:

Dynamic Portfolio Selection by Augmenting the Asset Space

NBER Working Paper No. w10372

Number of pages: 39 Posted: 30 Mar 2004 Last Revised: 05 Nov 2022

Pedro Santa-Clara and Michael W. Brandt

Nova School of Business and Economics and Duke University - Fuqua School of Business

Downloads 271 (187,901)

Citation 8

Abstract:

13.

Range-Based Estimation of Stochastic Volatility Models

Downloads 725 (59,650)

Citation 5

2

Range-Based Estimation of Stochastic Volatility Models

Number of pages: 65 Posted: 02 May 2001

Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics

Downloads 725 (58,797)

Citation 5

Abstract:

Range-Based Estimation of Stochastic Volatility Models

Posted: 04 Sep 2001

Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics

Abstract:

14.

Variable Selection for Portfolio Choice

Downloads 704 (61,984)

Citation 42

2

Variable Selection for Portfolio Choice

Rodney L. White Center for Financial Research Working Paper No. 21-00

Number of pages: 71 Posted: 12 Mar 2001

Yacine Ait-Sahalia and Michael W. Brandt

Princeton University - Department of Economics and Duke University - Fuqua School of Business

Downloads 621 (71,822)

Citation 32

Abstract:

Variable Selection for Portfolio Choice

NBER Working Paper No. w8127

Number of pages: 70 Posted: 18 Feb 2001 Last Revised: 17 Sep 2022

Yacine Ait-Sahalia and Michael W. Brandt

Princeton University - Department of Economics and Duke University - Fuqua School of Business

Downloads 83 (496,171)

Abstract:

15.

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Downloads 578 (79,561)

Citation 150

3

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

Number of pages: 37 Posted: 17 Mar 2006

Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz

Cass Business School, Duke University - Fuqua School of Business and Edgewood College

Downloads 512 (91,518)

Citation 107

Abstract:

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

NBER Working Paper No. w12376

Number of pages: 38 Posted: 26 Jul 2006 Last Revised: 27 Oct 2022

Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz

Cass Business School, Duke University - Fuqua School of Business and Edgewood College

Downloads 66 (566,898)

Citation 8

Abstract:

Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market

The Review of Financial Studies, Vol. 22, Issue 3, pp. 925-957, 2009

Posted: 17 Mar 2009

Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz

Cass Business School, Duke University - Fuqua School of Business and Edgewood College

Abstract:

16.

Can Hedge Funds Time the Market?

Number of pages: 11 Posted: 19 Jun 2017 Last Revised: 19 Oct 2017

Michael W. Brandt, Federico Nucera and Giorgio Valente

Duke University - Fuqua School of Business, Bank of Italy and Hong Kong Institute for Monetary and Financial Research (HKIMR)

Downloads 522 (90,334)

Abstract:

17.

Switching Risk Off: FX Correlations and Risk Premia

Downloads 485 (98,796)

Citation 3

2

Switching Risk Off: FX Correlations and Risk Premia

Number of pages: 69 Posted: 12 Oct 2014

Alessandro Beber, Michael W. Brandt and Jason Cen

Cass Business School, Duke University - Fuqua School of Business and University of Exeter Business School

Downloads 485 (97,798)

Citation 3

Abstract:

Switching Risk Off: FX Correlations and Risk Premia

CEPR Discussion Paper No. DP10214

Number of pages: 72 Posted: 21 Oct 2014

Alessandro Beber, Michael W. Brandt and Jason Cen

Cass Business School, Duke University - Fuqua School of Business and University of Exeter Business School

Downloads 0

Add to Cart

Abstract:

18.

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

Downloads 474 (102,321)

Citation 26

3

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

AFA 2007 Chicago Meetings Paper, EFA 2006 Zurich Meetings Paper

Number of pages: 36 Posted: 14 Mar 2006

Alessandro Beber and Michael W. Brandt

Cass Business School and Duke University - Fuqua School of Business

Downloads 424 (115,584)

Abstract:

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

NBER Working Paper No. w12270

Number of pages: 37 Posted: 08 Jun 2006 Last Revised: 13 Jul 2022

Alessandro Beber and Michael W. Brandt

Cass Business School and Duke University - Fuqua School of Business

Downloads 50 (650,652)

Citation 6

Abstract:

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

Review of Finance, Vol. 13, No. 1, pp. 1-45, 2009

Posted: 17 Jan 2009

Alessandro Beber and Michael W. Brandt

Cass Business School and Duke University - Fuqua School of Business

Abstract:

19.

Time-Consistent No-Arbitrage Models of the Term Structure

Downloads 442 (110,266)

Citation 3

2

Time-Consistent No-Arbitrage Models of the Term Structure

Number of pages: 48 Posted: 27 Feb 2001

Amir Yaron, Amir Yaron and Michael W. Brandt

Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business

Downloads 382 (129,472)

Citation 4

Abstract:

Time-Consistent No-Arbitrage Models of the Term Structure

NBER Working Paper No. w9458

Number of pages: 38 Posted: 31 Jan 2003 Last Revised: 06 Nov 2022

Amir Yaron, Amir Yaron and Michael W. Brandt

Bank of IsraelUniversity of Pennsylvania -- Wharton School of Business and Duke University - Fuqua School of Business

Downloads 60 (595,765)

Abstract:

20.

Asset Allocation and Managerial Assumptions in Corporate Pension Plans

Number of pages: 60 Posted: 18 Nov 2010

Jawad M. Addoum, Jules H. van Binsbergen and Michael W. Brandt

Cornell SC Johnson College of Business, University of Pennsylvania - The Wharton School and Duke University - Fuqua School of Business

Downloads 435 (112,379)

Citation 11

Abstract:

21.

Price Discovery in the Treasury Futures Market

Number of pages: 36 Posted: 19 Nov 2006

Michael W. Brandt, Shane Underwood and Kenneth A. Kavajecz

Duke University - Fuqua School of Business, Baylor University and Edgewood College

Downloads 391 (127,121)

Citation 18

Abstract:

22.

Consumption and Portfolio Choice with Option-Implied State Prices

Downloads 387 (128,594)

Citation 3

3

Consumption and Portfolio Choice with Option-Implied State Prices

AFA 2009 San Francisco Meetings Paper

Number of pages: 47 Posted: 26 Feb 2008

Yacine Ait-Sahalia and Michael W. Brandt

Princeton University - Department of Economics and Duke University - Fuqua School of Business

Downloads 257 (197,438)

Abstract:

Consumption and Portfolio Choice with Option-Implied State Prices

AFFI/EUROFIDAI, Paris December 2008 Finance International Meeting AFFI - EUROFIDAI

Number of pages: 1 Posted: 13 Oct 2008

Yacine Ait-Sahalia and Michael W. Brandt

Princeton University - Department of Economics and Duke University - Fuqua School of Business

Downloads 67 (562,384)

Abstract:

Consumption and Portfolio Choice with Option-Implied State Prices

NBER Working Paper No. w13854

Number of pages: 48 Posted: 19 Mar 2008 Last Revised: 10 Nov 2022

Yacine Ait-Sahalia and Michael W. Brandt

Princeton University - Department of Economics and Duke University - Fuqua School of Business

Downloads 63 (581,145)

Abstract:

23.

Time-Varying Risk Aversion and Unexpected Inflation

Journal of Monetary Economics, Vol. 50, 2003

Number of pages: 42 Posted: 08 Feb 2009 Last Revised: 10 Feb 2009

Michael W. Brandt and Kevin Q. Wang

Duke University - Fuqua School of Business and University of Toronto - Joseph L. Rotman School of Management

Downloads 377 (132,916)

Citation 13

Abstract:

24.

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

Downloads 346 (145,626)

Citation 88

2

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

Rodney L. White Center for Financial Research Working Paper No. 14-02

Number of pages: 38 Posted: 02 Dec 2002

Michael W. Brandt and Kenneth A. Kavajecz

Duke University - Fuqua School of Business and Edgewood College

Downloads 275 (184,445)

Citation 2

Abstract:

Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

NBER Working Paper No. w9529

Number of pages: 39 Posted: 03 Mar 2003 Last Revised: 17 Jul 2022

Michael W. Brandt and Kenneth A. Kavajecz

Duke University - Fuqua School of Business and Edgewood College

Downloads 71 (544,433)

Citation 25

Abstract:

25.

On the Timing and Pricing of Dividends: Web Appendix

Number of pages: 17 Posted: 09 Oct 2011

Jules H. van Binsbergen, Michael W. Brandt and Ralph S. J. Koijen

University of Pennsylvania - The Wharton School, Duke University - Fuqua School of Business and University of Chicago - Booth School of Business

Downloads 316 (160,402)

Citation 1

Abstract:

26.

Range-Based Estimation of Stochastic Volatility Models or Exchange Rate Dynamics are More Interesting than You Think

Wharton FIC Working Paper No. 00-28

Number of pages: 50 Posted: 20 Nov 2000

Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics

Downloads 303 (167,649)

Citation 71

Abstract:

27.

Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data

Number of pages: 36 Posted: 23 Feb 2006

Michael W. Brandt and Ping He

Duke University - Fuqua School of Business and Tsinghua University, SEM

Downloads 295 (172,397)

Citation 10

Abstract:

28.

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations (Second Version)

Number of pages: 21 Posted: 04 Jun 2003

Francis X. Diebold and Michael W. Brandt

University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business

Downloads 263 (193,877)

Citation 17

Abstract:

29.

Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Downloads 257 (198,333)

Citation 3

2

Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Number of pages: 47 Posted: 31 Jul 2018 Last Revised: 09 Feb 2019

Alessandro Beber, Michael W. Brandt, Jason Cen and Kenneth A. Kavajecz

Cass Business School, Duke University - Fuqua School of Business, University of Exeter Business School and Edgewood College

Downloads 218 (231,978)

Citation 3

Abstract:

Mutual Fund Performance: Using Bespoke Benchmarks to Disentangle Mandates, Constraints and Skill

Number of pages: 23 Posted: 22 Jul 2013

Alessandro Beber, Michael W. Brandt and Kenneth A. Kavajecz

Cass Business School, Duke University - Fuqua School of Business and Edgewood College

Downloads 39 (721,855)

Abstract:

30.

Macro Fundamentals or Geopolitical Events? A Textual Analysis of News Events for Crude Oil

Journal of Empirical Finance, vol. 51, pp.64-94, 2019

Number of pages: 61 Posted: 21 Feb 2019 Last Revised: 07 Mar 2019

Michael W. Brandt, Lin Gao and Lin Gao

Duke University - Fuqua School of Business and Universite du LuxembourgLuxembourg School of Finance

Downloads 253 (201,452)

Citation 8

Abstract:

31.

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

Downloads 236 (215,560)

Citation 51

2

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

Number of pages: 43 Posted: 24 Jul 2003

Alessandro Beber and Michael W. Brandt

Cass Business School and Duke University - Fuqua School of Business

Downloads 186 (268,570)

Abstract:

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

NBER Working Paper No. w9914

Number of pages: 42 Posted: 29 Aug 2003 Last Revised: 05 Aug 2022

Alessandro Beber and Michael W. Brandt

Cass Business School and Duke University - Fuqua School of Business

Downloads 50 (650,652)

Citation 21

Abstract:

32.

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

Downloads 220 (230,603)

2

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

NBER Working Paper No. w10934

Number of pages: 50 Posted: 15 Dec 2004 Last Revised: 18 Nov 2022

Michael W. Brandt, Amit Goyal, Pedro Santa-Clara and Jonathan R Stroud

Duke University - Fuqua School of Business, University of Lausanne, Nova School of Business and Economics and McDonough School of Business, Georgetown University

Downloads 220 (229,962)

Citation 39

Abstract:

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

The Review of Financial Studies, Vol. 18, Issue 3, pp. 831-873, 2005

Posted: 29 Feb 2008

Michael W. Brandt, Amit Goyal, Pedro Santa-Clara and Jonathan R Stroud

Duke University - Fuqua School of Business, University of Lausanne, Nova School of Business and Economics and McDonough School of Business, Georgetown University

Abstract:

33.

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Downloads 220 (230,603)

Citation 16

2

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Number of pages: 37 Posted: 26 Jan 2005

Francis X. Diebold and Michael W. Brandt

University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business

Downloads 159 (307,678)

Citation 1

Abstract:

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

NBER Working Paper No. w9664

Number of pages: 16 Posted: 04 May 2003 Last Revised: 29 Nov 2022

Francis X. Diebold and Michael W. Brandt

University of Pennsylvania - Department of Economics and Duke University - Fuqua School of Business

Downloads 61 (590,783)

Citation 4

Abstract:

34.

Equilibrium Stock Return Dynamics Under Alternative Rules of Learning About Hidden States

Simon Business School Working Paper No. FR 03-24

Number of pages: 38 Posted: 22 Aug 2003

Michael W. Brandt, Qi Zeng and Lu Zhang

Duke University - Fuqua School of Business, University of Melbourne - Department of Finance and Ohio State University - Fisher College of Business

Downloads 209 (241,771)

Citation 21

Abstract:

35.

Estimating Historical Volatility

Number of pages: 44 Posted: 14 Mar 2023

Michael W. Brandt and J Kinlay

Duke University - Fuqua School of Business and Independent

Downloads 189 (264,940)

Abstract:

36.

Linear Approximations and Tests of Conditional Pricing Models

Downloads 117 (390,429)

Citation 2

2

Linear Approximations and Tests of Conditional Pricing Models

Number of pages: 57 Posted: 09 Mar 2006 Last Revised: 22 Jun 2017

Michael W. Brandt and David A. Chapman

Duke University - Fuqua School of Business and McIntire School, University of Virginia

Downloads 70 (548,743)

Citation 1

Abstract:

Linear Approximations and Tests of Conditional Pricing Models

NBER Working Paper No. w12513

Number of pages: 51 Posted: 21 Sep 2006 Last Revised: 11 Sep 2022

Michael W. Brandt and David A. Chapman

Duke University - Fuqua School of Business and McIntire School, University of Virginia

Downloads 47 (668,886)

Abstract:

37.

On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

Downloads 110 (408,322)

2

On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

NBER Working Paper No. w9056

Number of pages: 51 Posted: 11 Jul 2002 Last Revised: 01 Oct 2022

Qiang Kang and Michael W. Brandt

The University of Hong Kong - School of Economics and Finance and Duke University - Fuqua School of Business

Downloads 110 (410,574)

Citation 21

Abstract:

On the Relationship between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

Rodney L. White Center for Financial Research Working Paper No. 12-02

Posted: 10 Aug 2002

Qiang Kang and Michael W. Brandt

The University of Hong Kong - School of Economics and Finance and Duke University - Fuqua School of Business

Abstract:

38.

High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models

NBER Working Paper No. w8162

Number of pages: 65 Posted: 09 Mar 2001 Last Revised: 26 Oct 2022

Sassan Alizadeh, Michael W. Brandt and Francis X. Diebold

University of Pennsylvania - Department of Economics, Duke University - Fuqua School of Business and University of Pennsylvania - Department of Economics

Downloads 76 (517,270)

Abstract:

39.

International Risk Sharing is Better than You Think (or Exchange Rates are Much Too Smooth)

NBER Working Paper No. w8404

Number of pages: 34 Posted: 29 Jul 2001 Last Revised: 19 Dec 2022

Michael W. Brandt, John H. Cochrane and Pedro Santa-Clara

Duke University - Fuqua School of Business, Hoover Institution and Nova School of Business and Economics

Downloads 66 (558,656)

Citation 33

Abstract:

40.

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

NBER Working Paper No. t0274

Number of pages: 57 Posted: 26 Aug 2001 Last Revised: 03 Apr 2022

Pedro Santa-Clara and Michael W. Brandt

Nova School of Business and Economics and Duke University - Fuqua School of Business

Downloads 58 (595,615)

Citation 5

Abstract:

41.

When it Cannot Get Better or Worse: The Asymmetric Impact of Good and Bad News On Bond Returns in Expansions and Recessions

Review of Finance, Vol. 14, Issue 1, pp. 119-155, 2010

Posted: 25 Jan 2010

Alessandro Beber and Michael W. Brandt

Cass Business School and Duke University - Fuqua School of Business

Abstract:

42.

Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

Posted: 19 Apr 1999

Michael W. Brandt

Duke University - Fuqua School of Business

Michael W. Brandt

Duke University - Fuqua School of Business

National Bureau of Economic Research (NBER)

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Distilling the Macroeconomic News Flow

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Economic Cycles and Expected Stock Returns

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Eurozone Sovereign Yield Spreads and Diverging Economic Fundamentals

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Switching Risk Off: FX Correlations and Risk Premia

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