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Mutual funds, skill, scale, value added, large panel, error-in-variable bias
Hedge fund performance, alternative strategies, misspecification, model comparison
large panel, factor model, risk premium, asset pricing, sparsity, thresholding.
Large Panel, Unobservable Factors, Conditioning Information, Instrumental Variables, Machine Learning, Post-Lasso, Artificial Neural Networks
Positional Good, Robust Portfolio Management, Rank, Fund Tournament, Factor Model, Big Data, Equally Weighted Portfolio, Momentum, Reversal, Positional Risk Aversion.
Large Panel, Unobservable pervasive factors, Mixed frequency, Canonical correlations, Output growth
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GDP growth, Group Factor models, MIDAS
General Equilibrium, Term Structure of Interest Rates, Ambiguity Aversion, Expectations Hypothesis, Campbell-Shiller Regression
C68, G12, G13
Testing common factors, portfolio sorting, factor zoo
factor zoo, portfolio sorting, Testing common factors
large panel, factor model, conditional information, risk premium, asset pricing, emerging markets.
Asset pricing models, panel
Credit risk, migration, migration correlation, stochastic transition, rating
Robust Tests, Generalized Method of Moment, Structural Breaks, Monte Carlo, Bootstrap
Corporate bonds, credit risk, default correlation, jumps in intensities, Copula, credit derivatives
Derivative Pricing, Trading Activity, GMM, Information Theoretic Estimation, KLIC, Identification, Weak Instrument, Nonparametric Efficiency, Semiparametric Efficiency
Migration, rating, migration correlation, credit risk, stochastic intensity, autoregressive gamma process, Jacobi process, ordered qualitative model, Kalman filter, panel data
credit risk, Jacobi process, Kalman filter, migration correlation, rating, stochastic intensity
Indirect inference, MIDAS regressions, State space model, Stochastic volatility, GDP forecasting.
Asset pricing model comparison, stochastic discount factor, Hansen-Jagannathan distance, conditional moment restrictions, nonparametric estimation
Asset pricing model comparison, stochastic discount factor, Hansen-Jagannathan distance, Generalized Method of Moments, conditional moment restrictions, nonparametric estimation
Nonparametric Estimation, Ill-posed Inverse Problems, Tikhonov Regularization, Endogeneity, Instrumental Variable
General equilibrium, ambiguity, term structure, interest rate derivatives
Nonparametric Quantile Regression, Instrumental Variable, Ill-Posed Inverse Problems, Tikhonov Regularization, Nonlinear Pricing Curve.
Specification Test, Nonparametric Regression, Instrumental, Variables, Minimum Distance, Tikhonov Regularization, Ill-posed Inverse Problems, Generalized Method of Moments, Bootstrap, Engel Curve
Nonlinear Panel Model, Factor Model, Exchangeability, Systematic Risk, Efficiency Bound, Semi-parametric Efficiency, Fixed Effects Estimator, Bayesian Statistics, Stochastic Migration, Granularity
Hedge Fund, Contagion, Systemic Risk, Stress-Tests, Funding Liquidity
American option, kernel estimator, semi-parametric estimation, dynamic programming, recursive valuation, Fréchet derivative, nonlinear functional
large panel, approximate factor model, asset pricing, model selection, interactive fixed effects
Generalized Method of Moments, Derivative pricing, Stochastic Volatility
Kalman Filter, Nonlinear State Space, Granularity, Repeated Observations, Value-at-Risk, Credit Risk, Loss Given Default, Basel 2
State Space, FAVAR, Identification, Network, Financial Crisis
Wage Dynamics, Inequality, Rank, Functional Copula Model, Nonlinear Autoregressive Process, Semi-Nonparametric Estimation