Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Autor: SVETLANA BRYZGALOVA, JIANTAO HUANG, CHRISTIAN JULLIARD

We propose a novel framework for analyzing linear asset pricing models: simple, robust, and applicable to high-dimensional problems. For a (potentially misspecified) stand-alone model, it provides reliable price of risk estimates for both tradable an

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::04317edb414bfccf189cf3898b60b58b

Network risk and key players: a structural analysis of interbank liquidity

Autor: Edward Denbee, Christian Julliard, Ye Li, Kathy Yuan

Using a structural model, we estimate the liquidity multiplier of an interbank network and banks’ contributions to systemic risk. To provide payment services, banks hold reserves. Their equilibrium holdings can be strategic complements or substitut

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c4b39bf88fcaaefc2248ab0788b1146c
http://eprints.lse.ac.uk/106280/

The Spread of COVID-19 in London: Network Effects and Optimal Lockdowns

Autor: Kathy Yuan, Shi R, Christian Julliard

Publikováno v: SSRN Electronic Journal.

We generalise a stochastic version of the workhorse SIR (Susceptible-Infectious- Removed) epidemiological model to account for spatial dynamics generated by network interactions. Using the London metropolitan area as a salient case study, we show tha

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::fe2bb3af28e70489b4eaf45d4614f89f
https://doi.org/10.2139/ssrn.3715047

Online Appendix for Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Autor: Christian Julliard, Svetlana Bryzgalova, Jiantao Huang

Publikováno v: SSRN Electronic Journal.

The Online Appendix presents additional derivations, simulations, and empirical findings that support and extend the results in the main text of the paper.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::516a397d6fb9cac78d63443fb05f621c
https://doi.org/10.2139/ssrn.3627010

What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models

Autor: Anisha Ghosh, Alex P. Taylor, Christian Julliard

Publikováno v: Ghosh, A, Julliard, C & Taylor, A P 2017, ' What is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models ', The Review of Financial Studies, vol. 30, no. 2, pp. 442–504 . https://doi.org/10.1093/rfs/hhw075

We study a broad class of asset pricing models in which the stochastic discount factor (SDF) can be factorized into an observable component (e.g., a parametric function of consumption) and a potentially unobservable one (e.g., habit level or the retu

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::abcbfceea925c56a1940c4c076967e1c
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1786493