Blar i Arbeidsnotater / Working Papers på forfatter "Bianchi, Daniele"
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Dissecting the 2007-2009 Real Estate Market Bust: Systematic Pricing Correction or Just a Housing Fad?
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;22/2013, Working paper, 2013)We use Bayesian methods to estimate a multi-factor linear asset pricing model characterized by structural instability in factor loadings, idiosyncratic variances, and factor risk premia. We use such a framework to investigate ... -
Macroeconomic Factors Strike Back: A Bayesian Change-Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross-Section
Bianchi, Daniele; Guidolin, Massimo; Ravazzolo, Francesco (Working Papers;19/2013, Working paper, 2013)This paper proposes a Bayesian estimation framework for a typical multi-factor model with time-varying risk exposures to macroeconomic risk factors and corresponding premia to price U.S. stocks and bonds. The model assumes ...