NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Asset Pricing in the Frequency Domain: Theory and Empirics

Ian Dew-Becker, Stefano Giglio

NBER Working Paper No. 19416
Issued in September 2013

---- Acknowledgements -----

We appreciate helpful comments and discussions from Francisco Barillas, Rhys Bidder, Jarda Borovicka, John Campbell, John Cochrane, Lars Hansen, John Heaton, Urban Jermann, Bryan Kelly, Nikola Mirkov, Marius Rodriguez, Eric Swanson, and seminar participants at the San Francisco Fed, University of Bergen, University of Wisconsin, Chicago Booth, UC Santa Cruz, Bank of Canada, Kellogg Junior Finance Conference, SED, ITAM, and the Macro Finance Society. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.

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