45 Fremont Street
San Francisco, CA 94105
Barclays Global Investors
in Total Papers Downloads
in Total Papers Citations
Variance decomposition, return predictability, vector autoregression, multivariate stochastic volatility, Markov chain Monte Carlo, Gibbs sampling
Arbitrage Pricing Theory, Factor Model, Multivariate Stochastic Volatility, Markov chain Monte Carlo, Gibbs sampling
Arbitrage Pricing Theory, Latent Factors, Multivariate Stochastic Volatility, Markov Chain Monte Carlo
Noise trader risk, Market efficiency, Limits to arbitrage, Behavioral finance, Hedge funds
Illiquidity, Risk premium, Markov-switching regime model
Convertible bond, Underwritten call, Conditional event study, Endogenous switching model, Markov chain Monte Carlo, Gibbs sampling, Bayesian statistics
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