-
Monetary Policy and Asset Prices: A Markov-Switching DSGE Approach (replicati...
This paper estimates a Markov-switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal... -
State Prices of Conditional Quantiles: New Evidence on Time Variation in the ...
We develop a set of statistics to represent the option-implied stochastic discount factor and we apply them to S&P 500 returns between 1990 and 2012. Our statistics, which... -
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Cho...
We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality...
