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term structure of interest rates, Fama-MacBeth regressions, dynamic asset pricing model estimation
TIPS, inflation expectations, affine term structure models
flight to safety, risk-return trade-off, dynamic asset pricing, volatility, nonparametric estimation and inference, intermediary asset pricing, asset management
dynamic asset pricing, Fama-MacBeth regression, financial econometrics, GMM, minimum distance estimation, reduced rank regression
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP10449.
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Dynamic Asset Pricing, Fama-MacBeth Regressions, GMM, Minimum Distance Estimation, Reduced Rank Regression, Time-varying Betas
average treatment effects, causality, unconfoundedness, treatment effect
expectations, survey forecasts, imperfect information, term structure of disagreement
Expectations, survey forecasts, imperfect information, term structure of disagreement
average treatment effects, causality, unconfoundedness, overlap, treatment effect heterogeneity
subjective expectations, inflation expectations, Euler equation, elasticity of
Semiparametric estimation, density-weighted average derivatives
Averaged derivatives, Bootstrap, Small bandwidth asymptotics
Instrumental variables regression, weak instruments, adaptive estimation
Average derivatives, Bandwidth selection, Robust inference, Small bandwidth asymptotics
portfolio sorts, stock market anomalies, firm characteristics, nonparametric estimation, partitioning, cross-sectional regressions
File name: DP11401.
asset management, dynamic asset pricing, flight-to-safety, intermediary asset pricing, nonparametric estimation and inference, risk-return tradeoff, volatility
term premiums, expectations formation, survey forecasts, monetary policy, business cycle fluctuations
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