Asset Prices and Default-Free Term Structure in an Equilibrium Model of Default
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- Ludvigson, Sydney C. & Ng, Serena, 2007.
"The empirical risk-return relation: A factor analysis approach,"
Journal of Financial Economics,
Elsevier, vol. 83(1), pages 171-222, January.
- Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers 11477, National Bureau of Economic Research, Inc.
- Sydney Ludvigson & Serena Ng, 2006. "The Empirical Risk-Return Relation: a factor analysis approach," 2006 Meeting Papers 236, Society for Economic Dynamics.
- Suresh M. Sundaresan, 2000. "Continuous-Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
- Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
- Andriy DEMCHUK,, 2003. "Sovereign Debt Contract and Optimal Consumption-Investment Strategies," FAME Research Paper Series rp104, International Center for Financial Asset Management and Engineering.
- Martin Lettau & Sydney Ludvigson, 2001.
"Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying,"
Journal of Political Economy,
University of Chicago Press, vol. 109(6), pages 1238-1287, December.
- Martin Lettau & Sydney Ludvigson, 1999. "Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying," Staff Reports 93, Federal Reserve Bank of New York.
More about this item
KeywordsFINANCIAL MARKET ; PRICES;
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G19 - Financial Economics - - General Financial Markets - - - Other
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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