SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing
16 references·0 citing·38 second hop
Estimating stochastic discount factor models with hidden regimes: Applications to commodity pricing (2017)Estimating stochastic discount factor mod…Value and Momentum Everywhere (2013)Value and Momentum EverywhereSpeculators, commodities and cross-market linkages (2013)Speculators, commodities and …Asset Prices and Institutional Investors (2013)Asset Prices and Institutiona…Index Investment and the Financialization of Commodities (2012)Index Investment and the Fina…Should investors include commodities in their portfolios after all? New evidence (2011)Should investors include comm…An Anatomy of Commodity Futures Risk Premia (2011)An Anatomy of Commodity Futur…Index Investment and Financialization of Commodities (2010)Index Investment and Financia…Macro Factors in Bond Risk Premia (2009)Macro Factors in Bond Risk Pr…The Strategic and Tactical Value of Commodity Futures (2006)The Strategic and Tactical Va…How Profitable Is Capital Structure Arbitrage? (2006)How Profitable Is Capital Str…Facts and Fantasies about Commodity Futures (2006)Facts and Fantasies about Com…An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns (2006)An econometric model of nonli…Liquidity Risk and Expected Stock Returns (2003)Liquidity Risk and Expected S…Assessing Specification Errors in Stochastic Discount Factor Models (1997)Assessing Specification Error…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure (1979)The Volatility of Long-Term I…MONEY, INCOME, AND CAUSALITY (1972)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Trends and random walks in macroeconmic time series (1982)Does the Stock Market Overreact? (1985)Efficient Capital Markets: II (1991)Investigating Causal Relations by Econometric Models and Cross-Spectral Methods (2008)The distribution of realized stock return volatility (2001)No Contagion, Only Interdependence: Measuring Stock Market Comovements (2002)Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market (2009)Financialization of Commodity Markets (2013)A Model of Financialization of Commodities (2016)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Time Series Momentum (2011)The arbitrage theory of capital asset pricing (1976)The Determinants of Capital Structure Choice (1988)Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation (1991)Default Risk in Equity Returns (2004)On Persistence in Mutual Fund Performance (1997)… and the Cross-Section of Expected Returns (2015)Does Academic Research Destroy Stock Return Predictability? (2015)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)A five-factor asset pricing model (2014)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Determining the Number of Factors in Approximate Factor Models (2002)Bond Risk Premia (2005)Common Risk Factors in Currency Markets (2011)Measuring Uncertainty (2015)Oil and the Macroeconomy since World War II (1983)“Options, Futures, and Other Derivatives” (2016)Multifactor Explanations of Asset Pricing Anomalies (1996)The Cross‐Section of Volatility and Expected Returns (2006)Financialization, crisis and commodity correlation dynamics (2012)The Long Green Revolution (2012)
this work references cited by second hop

References

  • 2003Liquidity Risk and Expected Stock Returns5,362 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2013Value and Momentum Everywhere2,225 cited
  • 2006Facts and Fantasies about Commodity Futures1,389 cited
  • 2012Index Investment and the Financialization of Commodities1,333 cited
  • 2009Macro Factors in Bond Risk Premia1,043 cited
  • 2006The Strategic and Tactical Value of Commodity Futures1,037 cited
  • 1979The Volatility of Long-Term Interest Rates and Expectations Models of the Term Structure811 cited
  • 1997Assessing Specification Errors in Stochastic Discount Factor Models793 cited
  • 2010Index Investment and Financialization of Commodities723 cited
  • 2013Speculators, commodities and cross-market linkages617 cited
  • 2006How Profitable Is Capital Structure Arbitrage?488 cited
  • 2013Asset Prices and Institutional Investors365 cited
  • 2011Should investors include commodities in their portfolios after all? New evidence342 cited
  • 2011An Anatomy of Commodity Futures Risk Premia340 cited
  • 2006An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

258 cited

Cited by

No citing works inside the corpus for this window.