Atlanta, GA 30309
Federal Reserve Bank of Atlanta
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Stock returns predictability, Directional forecasting, Absolute returns, Joint predictive distribution, Copulas
exchange rate forecasting, carry trade, positions of traders, return decomposition, copula, joint predictive distribution
Hansen-Jagannthan distrance, no-arbitrage constraint, model comparison
Projection Hedging, Good Deals, Quantile Regression
imperfect markets, risk measures, hedging, pricing rule, quantile regression
asset pricing models, Hansen-Jagannathan distance, model selection, model misspecification
Asset Pricing Models, Model Misspecification, Weak Identification, Useless Factor
multivariate decomposition, multiplicative components, volatility and direction models, copula, dependence
asset pricing, irrelevant risk factors, unidentified models, model misspecification, continuously updated GMM, maximum likelihood, rank test, test for overidentifying restrictions
stock market volatility, federal funds futures, monetary policy, variance risk premium, vector autoregression, bivariate GARCH, leverage effect, volatility feedback effect
asset pricing models, lack of identification, model misspecification, GMM estimation
commodity prices, monetary policy shocks, futures data, convenience yields, positions of traders, speculators, hedgers
Instrumental variables, many instruments, Bekker's asymptotics, Anderson-Rubin test, test for overidentifying restrictions
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measurement error, minimum distance, simulation estimation, dynamic panel
commodity price determination, staggered pricing, high persistence, conditional heteroskedasticity, simulated method of moments
Hansen-Jagannathan distance, no-arbitrage, model ranking, multivariate elliptical distributions
Markov chain, vector autoregressive processes, numerical methods, moment matching, non-linear stochastic dynamic models state space discretization, stochastic growth model, fiscal policy
GMM, simulation-based estimation, non-invertibility, identification, non-Gaussian errors, generalized lambda distribution
core inflation, commodity futures, convenience yields, forecasting
bond prices, TIPS, inflation derivatives, oil prices, no-arbitrage, affine models, out-of-sample forecasting
asset pricing, model misspecification, continuously updated GMM, maximum likelihood, asymptotic approximation, misspecification-robust tests
C13, C22, F31, forward premium anomaly, high persistence, local-to-unity asymptotics, low signal-to-noise ratio
bootstrap, GARCH, persistence, threshold nonlinearity
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