Financial Econometrics I

Speaker(s) Type Length Chair
Dennis Umlandt Merrick Li Daniel Borup Parallel
12:15
120
mins
Frank Kleibergen

Papers

(Listed in order of speakers above)

Likelihood-based Dynamic Asset Pricing: Learning Time-varying Risk Premia from Cross-Sectional Models

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A ReMeDI for Microstructure Noise

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Predictive Regressions under Arbitrary Persistence: New Discoveries of Stock Return Predictability