Discussion paper DP13029 Option Prices and Costly Short-Selling Suleyman Basak Adem Atmaz 2 Jul 2018 Financial Economics G12 G13 G23
Discussion paper DP12737 Liquidity Regimes and Optimal Dynamic Asset Allocation Pierre Collin-Dufresne 19 Feb 2018 Financial Economics D53 G11 G12
Discussion paper DP11355 Forecasting Macroeconomic Variables under Model Instability Allan Timmermann Davide Pettenuzzo 26 Jun 2016 Financial Economics C22 C53
Discussion paper DP10681 An Intertemporal CAPM with Stochastic Volatility John Y Campbell Christopher Polk Stefano Giglio 28 Jun 2015 Financial Economics G12 N22
Discussion paper DP10160 A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics Allan Timmermann Davide Pettenuzzo 21 Sep 2014 Financial Economics C11 C32 C53 E37
Discussion paper DP10104 Bond Return Predictability: Economic Value and Links to the Macroeconomy Allan Timmermann Davide Pettenuzzo Antonio Gargano 10 Aug 2014 Financial Economics G11 G12 G17
Discussion paper DP9848 No Arbitrage Priors, Drifting Volatilities, and the Term Structure of Interest Rates Massimiliano Marcellino Andrea Carriero Todd Clark 2 Mar 2014 International Macroeconomics C32 C53 G17
Discussion paper DP9130 Estimating Dynamic Equilibrium Models with Stochastic Volatility Juan Francisco Rubio-Ramírez Jesús Fernández-Villaverde Pablo A. Guerron-Quintana 16 Sep 2012 International Macroeconomics C11 E10 E30
Discussion paper DP8894 Common Drifting Volatility in Large Bayesian VARs Massimiliano Marcellino Andrea Carriero Todd Clark 12 Mar 2012 International Macroeconomics C11 C13 C33 C53
Discussion paper DP8680 Endogenous Information Flows and the Clustering of Announcements Peter DeMarzo Viral Acharya Ilan Kremer 1 Dec 2011 Financial Economics D82 G14 G30 M41
Discussion paper DP8177 Second Order Approximation of Dynamic Models with Time-Varying Risk Pierpaolo Benigno Gianluca Benigno Salvatore Nistico 3 Jan 2011 International Macroeconomics C63
Discussion paper DP8169 Macroeconomics and Volatility: Data, Models, and Estimation Juan Francisco Rubio-Ramírez Jesús Fernández-Villaverde 1 Dec 2010 International Macroeconomics C11 E10 E30