A Bayesian multi-factor model of instability in prices and quantities of risk in U.S. financial markets
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References listed on IDEAS
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- Massimo Guidolin & Francesco Ravazzolo & Andrea Tortora, 2014. "Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate," The Journal of Real Estate Finance and Economics, Springer, vol. 49(4), pages 477-523, November.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011.
"Myths and Facts about the Alleged Over-Pricing of U.S. Real Estate. Evidence from Multi-Factor Asset Pricing Models of REIT Returns,"
Working Papers
416, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011. "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper 2011/19, Norges Bank.
- Salotti, Simone & Trecroci, Carmine, 2014.
"Multifactor risk loadings and abnormal returns under uncertainty and learning,"
The Quarterly Review of Economics and Finance, Elsevier, vol. 54(3), pages 393-404.
- Carmine Trecroci, 2010. "Multifactors risk loadings and abnormal returns under uncertainty and learning," Working Papers 1011, University of Brescia, Department of Economics.
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Keywords
Econometric models; Stochastic analysis; Financial markets;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2011-02-05 (Business Economics)
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