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Université de Montréal - CIREQ - Département de sciences économiques
University of Montreal
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Stock Price Dynamics, Multivariate Jump-Diffusion Models, Latent variables, Stochastic Volatility, Objective and Risk Neutral Distributions, Nonparametric Option Pricing, Discrete time Option Pricing Models, Risk Neutral Valuation, Preference-free Option Pricing
Bond Prices, Term Structure, Funding Liquidity
Risk Management, Firm Value, Coordination, Value at Risk
Hedge Funds, Nonlinear Returns Structure, Valuation of Contingent Claims, Performance of Hedge Funds
Efficiency frontier, risk management, operations management, price of risk
Stochastic Discount Factor, Information-Theoretic Bounds, Generalized Minimum Contrast Estimators, Implicit Utility Maximizing Weights
Risk Management, Corporate Hedging, Derivatives, Foreign Currency Hedging, Interest Rate Hedging, Commodity Hedging, Equity Hedging, Financial Distress, Managerial Risk Aversion
Stable distribution, Indirect Inference, Constrained Indirect Inference, Skewed-t distribution
Asset Allocation, Hedge Funds, Performance Measurement, Market Timing, Market Price of Risk
Stochastic Discount Factor, Euler Equations, Generalized Minimum Contrast Estimators, Model Selection, Cressie Read Discrepancies
Stochastic Discount Factor, Euler Equations,Generalized Minimum Contrast Estimators, Model Selection, Cressie Read Discrepancies
Aggregate idiosyncratic volatility, cross-sectional dispersion, prediction of market returns
Equilibrium Asset Pricing, Equity Premium, Risk-free Rate Puzzle, Predictability
Idiosyncratic volatility, cross-sectional distribution of returns, predictability of aggregate returns
menu costs, information costs, infrequent information, sticky information, inattentiveness, optimal price setting, state-dependent pricing, time-dependent pricing
Menu Costs, Information Costs, Infrequent Information, Sticky Information, Inattentiveness, Optimal Price Setting
Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, high-frequency data, realized volatility, bipower variation, implied volatility
disappointment aversion, long-run risk, equity premium, asset returns, predictability, equilibrium Asset Pricing, risk-free rate puzzle
Asset Pricing Proxies, Euler Equations, Minimum Discrepancy Estimators, Model Selection
Stochastic Discount Factors, Performance Measurement, Minimum Discrepancy measures, Nonparametric discounting
Funding risk, Stock returns, Limits to arbitrage, Market liquidity, Volatility
Recursive utility, Yield curve, Affine macro-finance model, Bond risk premium, Expectations puzzle
Risk Management, firm value, coordination problems, hedging, value at risk
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limited participation, heterogeneity, indirect inference, individual consumption distribution
Tail Risk, Risk Factor, Risk-Neutral Probability, Prediction of Market Returns, Economic Predictability
menu costs, information costs, infrequent information, partial information, inattentiveness, optimal price setting, state-dependent pricing, time-dependent pricing
Stochastic Discount Factor, Information-Theoretic Bounds,Generalized Minimum Contrast Estimators, Implicit Utility Maximizing Weights
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