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FOMC announcements, equity premium, anomaly
term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation
Affine term structure models, Yield curve, dynamic factor models, FAVAR
false news, natural experiment, United Airlines, noise, market efficiency, contagion
False News, Natural Experiment, United Airlines, Noise, Market Efficiency
return predictability, financial intermediation, macroeconomic dynamics, macroprudential policy
return predictability, real-time data, macroeconomic announcements, dynamic factor models
TIPS, inflation expectations, affine term structure models
Business cycle, European business cycle, Euro area, Bry-Boschan, NBER methodology
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id552243.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Business cycle, European business cycle, euro area, Bry-Boschan, NBER methodology
dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression
File name: DP10449.
Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas
expectations, survey forecasts, imperfect information, term structure of disagreement
Expectations, survey forecasts, imperfect information, term structure of disagreement
asset pricing, conditional CAPM, dynamic factor models, GMM
monetary policy, financial intermediation, capital markets
This is a Palgrave MacMillan paper. Palgrave MacMillan charges $30.00 .
File name: imfer.
mortgage, fixed-rate mortgage, adjustable-rate mortgage
forecasting, monitoring, comovements, large dimensional panel, diffusion index
return predictability, cross-sectional asset pricing, financial intermediation, macro-finance
recession predictability, ROC, term spread, leading indicators, efficient probit
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: j-423X.
FAVAR, Hierarchical factor models, Mixed sampling frequency, Missing values
File name: DP7339.
Bayesian dynamic factor model, Calvo model, menu cost, rational inattention, sticky information
Anchored expectations, inflation expectations, survey data
File name: DP11466.
intermediary asset pricing, Leverage Cycles, Macro-Finance
term premiums, expectations formation, survey forecasts, monetary policy, business cycle fluctuations
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