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EDHEC Business School - Department of Economics & Finance
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Idiosyncratic Risk, Precautionary Motive, Endogenous Fluctuations.
Endogenous Participation, Epstein-Zin Utility, Financial Innovation, Incomplete Markets, Multiple Risk Factors, Risk Premium, Spanning
Endogenous participation, Epstein-Zin utility, financial innovation, incomplete markets, multiple risk factors, spanning
Asset allocation, disposition effect, diversification, participation, portfolio rebalancing
Term structure of interest rates, cascade model, dimension-invariance, interest rate forecasting, yield curve stripping, forward rate correlations
Forecasting, Long Memory, Markov Regime-switching, Maximum Likelihood Estimation, Scaling, Stochastic Volatility, Time Deformation, Volatility Component, Vuong Test
Forecasting, long memory, Markov regime-switching, maximum likelihood estimation, scaling, stochastic volatility, time deformation, volatility component, Vuong test
Household finance, inequality, risk-taking, factor-based investing, leverage, cost of debt, real estate, private equity.
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cost of debt, factor-based investing, household finance, inequality, leverage, private equity, real estate, risk-taking
Multivariate MSM, comovement, maximum likelihood, particle filter, Markov-switching, stochastic volatility, multifrequency volatility decomposition, value at risk, quantile forecasts
Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing
Forecasting, Implied Volatility, Long Memory, Multifractal Model of Asset Returns, Option Pricing, Poisson Multifractal, Trading Time, Volatility Smile
Incomplete Markets, Entrepreneurial Risk, Investment, Growth, Fluctuations, Precautionary Savings
Asset allocation, communication, genetics, habit formation, human capital, labor income, leverage, participation, risk-taking, social interactions, twin study
Asset pricing, factor-based investing, household finance, human capital, portfolio allocation, value premium.
Asset allocation, diversification, familiarity, participation
Multifrequency news, volatility feedback, learning, information quality, endogenous skewness and kurtosis, Epstein-Zin utility
Entrepreneurial Risk, Precautionary Motive, Endogenous Fluctuations, Poverty Traps
Multifractal Model of Asset Returns, Compound Stochastic Process, Time Deformation, Scaling, Self-Similarity, Multifractal Spectrum, Stochastic Volatility
Endogenous jumps, general equilibrium, Markov regime-switching, multifrequency, fat tails, stochastic volatility, time deformation, volatility component
Kalman filter, particle filter, robust statistics, state space model, stochastic volatility
Hidden Markov model, particle filter, learning, indirect inference, forecasting, state space model, value at risk
Hidden Markov model, long-run risk, learning, value at risk, indirect inference, particle filters
forecasting, long memory, Markov-switching multifractal (MSM), closed-form likelihood, scaling, stochastic volatility, volatility component, Vuong test
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