Via Sarfatti, 25
Bocconi University - CAREFIN - Centre for Applied Research in Finance
in Total Papers Downloads
predictability, Markov switching, economic value, optimal portfolio choice
REITs, real estate factors, factor investing, smart beta strategies
stepwise regression, commodity returns, predictability, portfolio back-testing
monetary policy announcements, hedge fund alpha, abnormal returns, financial
Unconventional monetary policy, corporate bonds, term structure of Treasury yields, vector autoregression, Markov switching.
predictive regressions, forecasting, behavioral finance, heuristics, investor attention, information demand, Google search volume index, web-search-based forecasts
Term structure of interest rates, Dynamic Nelson-Siegel factors, regime switching, butterfly strategies, unconventional monetary policy.
Cryptocurrencies, predictability, portfolio diversiﬁcation, dynamic model averaging, time-varying parameter regressions
credit risk, credit default swap, bond spreads, Markov switching, vector error correction models, price discovery
public real estate, REITs, private real estate, predictability, mean-variance portfolios
Tention, Sentiment, Text Mining, Forecasting, Conditional Variance, GARCH Model, Brexit
Backward and forward stepwise regressions; hidden Markov models, out-of-sample forecasting; commodity futures returns; mean-variance portfolios.
unconventional monetary policy; transmission channels; heteroskedasticity; vector autoregressions; identification; corporate bond yields
Treasury bond spreads, credit default swaps, sovereign credit risk, vector error correction models, price discovery
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