Discussion paper DP18592 Risks and Risk Premia in the US Treasury Market Junye Li Lucio Sarno Gabriele Zinna 9 Nov 2023 International Macroeconomics and Finance Asset Pricing C58 E43 G12
Discussion paper DP17194 The Virtue of Complexity in Return Prediction Semyon Malamud Bryan Kelly Kangying Zhou 7 Apr 2022 Financial Economics C3 C58 C61 G11 G12 G14
Discussion paper DP15411 Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions Gabriele Fiorentini Enrique Sentana 29 Oct 2020 Financial Economics C32 C46 C51 C58
Discussion paper DP14415 Hypothesis tests with a repeatedly singular information matrix Dante Amengual Xinyue Bei Enrique Sentana 17 Feb 2020 Financial Economics C12 C46 C58 C22 C34
Discussion paper DP14235 Market Efficiency in the Age of Big Data Ian Martin Stefan Nagel 22 Dec 2019 Financial Economics G10 G12 G14 C11 C12 C58
Discussion paper DP13990 The War Next Door and the Reds are Coming: The Spanish Civil War and the Portuguese Stock Market Diogo Leitão Jaime Pereira Joao Pereira Dos Santos José Tavares 12 Sep 2019 Economic History C12 C58 G12 N43 N83
Discussion paper DP13693 The transmission channels of unconventional monetary policy: Evidence from a change in collateral requirements in France Anne-Laure Delatte Pranav Garg Jean Imbs 24 Apr 2019 Financial Economics International Macroeconomics and Finance C55 C58 E44 E52 E58 G21 G28 G30 G32
Discussion paper DP13049 Factors that Fit the Time Series and Cross-Section of Stock Returns Martin Lettau Markus Pelger 14 Jul 2018 Financial Economics C14 C52 C58 G12
Discussion paper DP12926 Estimating Latent Asset-Pricing Factors Martin Lettau Markus Pelger 10 May 2018 Financial Economics C14 C38 C52 C58 G12
Discussion paper DP12824 Volatility, diversification and contagion Enrique Sentana 27 Mar 2018 Financial Economics C58 G11 G32
Discussion paper DP12687 Risk Everywhere: Modeling and Managing Volatility Lasse Heje Pedersen 5 Feb 2018 Financial Economics C22 C51 C53 C58
Discussion paper DP11730 The Term Structure and Inflation Uncertainty Athanasios Orphanides 31 Dec 2016 Financial Economics Monetary Economics and Fluctuations G12 E43 E44 C58