Via Roentgen 1
Milano, MI 20136
Bocconi University - Department of Finance
in Total Papers Downloads
in Total Papers Citations
Implied volatility surface, predictability, trading strategies
Implied volatility surface, predictability, trading rules
International asset allocation, regime switching, return predictability, skew and kurtosis preferences, home bias
G12, F30, C32
regime switching, portfolio choice, predictability
Regime switching, Portfolio choice, Predictability
Optimal Asset Allocation, Regime Switching, Skew and Kurtosis Preference
optimal portfolio choice, regimes, hedging demands, size and value portfolios
G12, G11, C32, hedging demands, optimal portfolio choice, regimes, size and value portfolios
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP3005.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Option prices, Black-Scholes option pricing model, Bayesian learning
Rational learning, Black-Scholes biases, option pricing
Angola, civil war, rent seeking, event studies
File name: SSRN-id631608.
Civil war, event studies, rent-seeking, Angola
intertemporal portfolio choice, return predictability, co-skewness and co-kurtosis, international portfolio diversification
Intertemporal portfolio choice, Return predictability, Co-skewness and co-kurtosis, International portfolio diversification
Multivariate Markov Switching, Mean-Variance Optimization, Asset Allocation, International Portfolio Diversification
analyst coverage, ratings, mutual funds
Non-linearities, regime switching, threshold predictive regressions, forecasting, predictability in financial returns
Implied volatility, option pricing, no-arbitrage conditions, volatility models
Regime switching, stock and bond return predictability, nonlinear modeling
Asset allocation, regime wwitching, bull and bear, optimal consumption, portfolio choice
ambiguity, ambiguity-aversion, participation, liquidity, asset pricing
Expectations theory, Random walk hypothesis, Time-varying risk premium
expectations theory, random walk, time-varying risk premium
forecast combinations, regime switching, interest rates
Forecast combinations, regime switches, short term interest rates, expectations hypothesis.
REITs, Markov switching, Multivariate GARCH, Dynamic conditional correlations
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: REEC.
Predictability, Strategic Asset Allocation, Markov Switching, Vector Autoregressive Models, Out-of-Sample Performance
Option pricing, arbitrage, informational efficiency, MIB30 index
equally weighted portfolios, long investment horizon, real-time strategic asset allocation, public real estate vehicles, ex post performance, predictability, parameter uncertainty
Optimal asset allocation, Real estate, Predictability, Parameter uncertainty
Markov Regime-Switching, Weighted Eigenvector Centrality, Graphical Models, MCMC, Systemic Risk, Network Connectivity
real time asset allocation, real estate, ex post performance, predictability, parameter uncertainty
File name: reec.
Conflict onset, Event study, Asset markets, Polarization
Rational learning, equilibrium asset returns, structural breaks
Rational learning, equity premium, structural breaks
Home country bias, International Asset Allocation, Bayesian learning
File name: roie.
Equity options, Index options, Implied volatility surface, Predictability, Trading strategies
Term structure of risk, nonlinear econometric models, simulation methods
File name: SSRN-id623827.
Term structure of risk, nonlinear econometric models, simulation models
Rational learning, adaptive learning, Bayesian updating, lattice models, asset prices.
Rational learning, adaptive learning, Bayesian updating, lattice models, asset prices
Predictability, Multivariate Regime Switching, Predictive Density Tests, Sharpe Ratios
Forecast Combination, Predictability, Multivariate Regime Switching, Portfolio Performance
optimal asset allocation, real estate, predictability, parameter uncertainty
international portfolio diversification, multivariate regime switching, national stock markets comovements, Sharpe ratios
yield spreads, credit risk, liquidity risk, break-point tests, partial adjustment models
Yield Spreads, Credit Risk, Liquidity Risk, Break-Point Tests, Partial Adjustment Models
regime switching, threshold, smooth transition, predictive regressions, forecasting
Ambiguity aversion, Bayesian portfolio analysis, CAPM, Smooth ambiguity
Structural breaks, Change-point model, Stochastic volatility, Multi-factor linear models, Asset pricing
Universal banks, analyst coverage, ratings, analyst coverage, analyst ratings, mutual funds
Bayesian Estimation, Latent Jumps, Stochastic Volatility, Linear Factor Models
multivariate regime switching; Sharpe ratio; time-varying predictability
expectations hypothesis, random walk, time-varying risk premium, predictability
Equity premium, rational learning, structural breaks, pessimism
Optimal asset allocation, Real estate, Parameter uncertainty, Out-of-sample performance
Optimal asset allocation; Real estate; Parameter uncertainty; Out-of-sample performance
economic research; yield spreads; correlations; breakpoint tests; nonparametric bootstrap; credit; risk; liquidity risk
stock options, option listings, asymmetric information, adoption rates, option volume, open interest
option pricing, rational learning, Bayesian updating, implied volatility, predictability.
equity market regimes, bull and bear states, return predictability, skewness and kurtosis, equity portfolio diversification.
Bayesian estimation, Latent jumps, Stochastic volatility, Linear factor models
REIT returns, Bayesian estimation, Structural instability, Stochastic volatility, Linear factor models
REIT returns; Bayesian estimation; Structural instability; Stochastic volatility; Linear factor models
credit rating agencies, timeliness, issuer‐paid agencies, investor‐paid agencies, NRSRO
Finance, Investment analysis, Portfolio choice, Predictability, Vector autoregressive models, Out-of-sample performance
I-CAPM, Mispricing, REIT, Model Uncertainty, Stochastic Breaks, Bayesian Econometrics
predictive regressions, forecasting, behavioral finance, heuristics, investor attention, information demand, Google search volume index, web-search-based forecasts
REIT returns; Predictability; Strategic asset allocation; Markov switching; Vector autoregressive models; Out-of-sample performance
File name: manc.
File name: ecno.
File name: ecoj.
File name: DP6188.
Forecast combinations, term structure of interest rates
factor mimicking portfolios, forecasting, Markov regime switching models, equal predictive accuracy tests
predictability, Markov switching, economic value, optimal portfolio choice
Unconventional monetary policy, corporate bonds, term structure of Treasury yields, vector autoregression, Markov switching.
File name: OBES.
asset allocation, return predictability, parameter uncertainty, REITs, portfolio performance
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