A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets
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References listed on IDEAS
- de Pooter, M.D. & Ravazzolo, F. & Segers, R. & van Dijk, H.K., 2008. "Bayesian near-boundary analysis in basic macroeconomic time series models," Econometric Institute Research Papers EI 2008-13, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011.
"Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns,"
416, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
- Salotti, Simone & Trecroci, Carmine, 2014.
"Multifactor risk loadings and abnormal returns under uncertainty and learning,"
The Quarterly Review of Economics and Finance,
Elsevier, vol. 54(3), pages 393-404.
- Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
More about this item
KeywordsEconometric models ; Stochastic analysis ; Financial markets;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-BEC-2011-02-05 (Business Economics)
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