NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Michael W. Brandt

Contact and additional information for this authorAll publicationsWorking Papers only

Working Papers

November 2013Distilling the Macroeconomic News Flow
with Alessandro Beber, Maurizio Luisi: w19650
November 2010What Does Equity Sector Orderflow Tell Us about the Economy?
with Alessandro Beber, Kenneth A. Kavajecz: w16534
October 2010On the Timing and Pricing of Dividends
with Jules H. van Binsbergen, Ralph S.J. Koijen: w16455
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

Contact and additional information for this authorAll publicationsWorking Papers only

 
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