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Entropy-Based Volatility Analysis of Financial Log-Returns Using Gaussian Mixture Models. [PDF]
Entropy (Basel)Scrucca L.
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SSRN Electronic Journal, 2018
We study asset pricing implications of return extrapolation in a Lucas economy. We find that the effect of extrapolation is mainly on short rates rather than risk premia, time variation in expected returns is mainly driven by time-varying short rates, and return volatility can be lower than consumption volatility.
Kai Li, Jun Liu
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We study asset pricing implications of return extrapolation in a Lucas economy. We find that the effect of extrapolation is mainly on short rates rather than risk premia, time variation in expected returns is mainly driven by time-varying short rates, and return volatility can be lower than consumption volatility.
Kai Li, Jun Liu
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SSRN Electronic Journal, 2010 As an asset is traded, its varying prices trace out an interesting time series. The price, at least in a general way, reflects some underlying value of the asset. For most basic assets, realistic models of value must involve many variables relating not only to the individual asset, but also to the asset class, the industrial sector(s) of the asset, and
James E. Gentle +2 more
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Factor Models, Machine Learning, and Asset Pricing
Social Science Research Network, 2021We survey recent methodological contributions in asset pricing using factor models and machine learning. We organize these results based on their primary objectives: estimating expected returns, factors, risk exposures, risk premia, and the stochastic ...
B. Kelly, D. Xiu
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Open Source Cross-Sectional Asset Pricing
Finance and Economics Discussion Series, 2021We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by comparing our t-stats to the original papers' results.
Andrew Y. Chen, Tom Zimmermann
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SSRN Electronic Journal, 2020
Climate change is one of the greatest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly-debated in policy circles. This paper studies the design of a carbon tax when environmental factors, such as air carbon-dioxide emissions (CO2), directly affect agents’ marginal ...
Jaccard, Ivan +2 more
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Climate change is one of the greatest economic challenges of our time. Given the scale of the problem, the question of whether a carbon tax should be introduced is hotly-debated in policy circles. This paper studies the design of a carbon tax when environmental factors, such as air carbon-dioxide emissions (CO2), directly affect agents’ marginal ...
Jaccard, Ivan +2 more
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AN INTERTEMPORAL CAPITAL ASSET PRICING MODEL
, 1973An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so as to maximize the expected utility of lifetime consumption and who can trade continuously in time.
R. C. Merton
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Autoencoder Asset Pricing Models
Journal of Econometrics, 2019We propose a new latent factor conditional asset pricing model. Like Kelly, Pruitt, and Su (KPS, 2019), our model allows for latent factors and factor exposures that depend on covariates such as asset characteristics. But, unlike the linearity assumption
Shihao Gu, B. Kelly, D. Xiu
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Asset Pricing with Omitted Factors
Journal of Political Economy, 2019Standard estimators of risk premia in linear asset pricing models are biased if some priced factors are omitted. We propose a three-pass method to estimate the risk premium of an observable factor, which is valid even when not all factors in the model ...
Stefano Giglio, D. Xiu
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