Cross-section without factors: a string model for expected returns

DOI10.1080/14697688.2024.2357189MaRDI QIDQ6592278

Walter Distaso, Grigory Vilkov, Antonio Mele

Publication date: 26 August 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• Optimum consumption and portfolio rules in a continuous-time model
• The price of fixed income market volatility
• Factor analysis and arbitrage pricing in large asset economies
• The Network Origins of Aggregate Fluctuations
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
• Common risk factors in the returns on stocks and bonds

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