NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Michael W. Brandt

Working Papers and Chapters

March 2008Consumption and Portfolio Choice with Option-Implied State Prices
with Yacine Aït-Sahalia: w13854
March 2007Optimal Asset Allocation in Asset Liability Management
with Jules H. van Binsbergen: w12970
September 2006Linear Approximations and Tests of Conditional Pricing Models
with David A. Chapman: w12513
July 2006Flight-to-Quality or Flight-to-Liquidity? Evidence From the Euro-Area Bond Market
with Alessandro Beber, Kenneth A. Kavajecz: w12376
June 2006Resolving Macroeconomic Uncertainty in Stock and Bond Markets
with Alessandro Beber: w12270
April 2006Optimal Decentralized Investment Management
with Jules H. van Binsbergen, Ralph S.J. Koijen: w12144
December 2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
with Pedro Santa-Clara, Rossen Valkanov: w10996
November 2004A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
with Amit Goyal, Pedro Santa-Clara, Jonathan Storud: w10934
March 2004Dynamic Portfolio Selection by Augmenting the Asset Space
with Pedro Santa-Clara: w10372
August 2003The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market
with Alessandro Beber: w9914
May 2003A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations
with Francis X. Diebold: w9664
March 2003Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
with Kenneth A. Kavajecz: w9529
January 2003Time-Consistent No-Arbitrage Models of the Term Structure
with Amir Yaron: w9458
July 2002On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach
with Qiang Kang: w9056
August 2001Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
with Pedro Santa-Clara: t0274
July 2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
with John H. Cochrane, Pedro Santa-Clara: w8404
March 2001High- and Low-Frequency Exchange Rate Volatility Dynamics: Range-Based Estimation of Stochastic Volatility Models
with Sassan Alizadeh, Francis X. Diebold: w8162
February 2001Variable Selection for Portfolio Choice
with Yacine Ait-Sahalia: w8127

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