On the public citation graph

Time-Varying Factor Risk Premia: A GMM-Based Filtering Approach

https://doi.org/10.2139/ssrn.4736807
0 signed · 44 inferred · view as graph

Inferred edges come from two machine sources: sweeps of open repository metadata (mostly SSRN and Zenodo), and a bulk OpenAlex citation snapshot. Every row below is labelled with the one it came from. Neither is a complete citation index — absence here is not evidence of absence.

Is this your work? Sign in with ORCID and put your name on the claims that are yours.
Claim with ORCID
Reference health. See whether every reference in this work resolves to a known work and none has been retracted — and get a dated CiteStamped badge you can embed.
See reference health

What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/jae.1279openalex-extracted
GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS
inferredcites →https://doi.org/10.1016/0304-405x(86)90070-xopenalex-extracted
Predicting returns in the stock and bond markets
inferredcites →https://doi.org/10.1016/0304-405x(87)90045-6openalex-extracted
Stock Returns and the Term Structure
inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-extracted
Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jeconom.2019.08.012openalex-extracted
Estimating latent asset-pricing factors
inferredcites →https://doi.org/10.1016/j.jeconom.2023.05.007openalex-extracted
Score-driven asset pricing: Predicting time-varying risk premia based on cross-sectional model performance
inferredcites →https://doi.org/10.1016/j.jeconom.2023.105635openalex-extracted
Observation-driven filtering of time-varying parameters using moment conditions
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.008openalex-extracted
Efficient tests of stock return predictability☆
inferredcites →https://doi.org/10.1016/j.jfineco.2012.04.008openalex-extracted
Testing conditional factor models
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-extracted
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2014.11.010openalex-extracted
Momentum has its moments
inferredcites →https://doi.org/10.1016/j.jfineco.2015.07.004openalex-extracted
Regression-based estimation of dynamic asset pricing models
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-extracted
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2021.04.007openalex-extracted
Factors and risk premia in individual international stock returns
inferredcites →https://doi.org/10.1016/j.jmoneco.2012.11.003openalex-extracted
Business Cycle Variation in the Risk-Return Trade-Off
inferredcites →https://doi.org/10.1016/s0304-4076(00)00073-7openalex-extracted
Robust inference with GMM estimators
inferredcites →https://doi.org/10.1017/cbo9781139540933openalex-extracted
Dynamic Models for Volatility and Heavy Tails
inferredcites →https://doi.org/10.1017/s0266466600009063openalex-extracted
Multivariate Simultaneous Generalized ARCH
inferredcites →https://doi.org/10.1080/00401706.1987.10488218openalex-extracted
Robust Statistics: The Approach Based on Influence Functions
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1086/261527openalex-extracted
A Capital Asset Pricing Model with Time-Varying Covariances
inferredcites →https://doi.org/10.1086/261755openalex-extracted
The Variation of Economic Risk Premiums
inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-extracted
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-extracted
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhad006openalex-extracted
Factor Momentum
inferredcites →https://doi.org/10.1093/rfs/hhm046openalex-extracted
The Dog That Did Not Bark: A Defense of Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-extracted
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhz064openalex-extracted
Testing Beta-Pricing Models Using Large Cross-Sections
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-extracted
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/jofi.12513openalex-extracted
Volatility‐Managed Portfolios
inferredcites →https://doi.org/10.1111/jofi.12776openalex-extracted
Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds
inferredcites →https://doi.org/10.1111/jofi.13100openalex-extracted
Late to Recessions: Stocks and the Business Cycle
inferredcites →https://doi.org/10.1111/jofi.13131openalex-extracted
Factor Momentum and the Momentum Factor
inferredcites →https://doi.org/10.2139/ssrn.2594033openalex-extracted
Nonlinearity and Flight to Safety in the Risk-Return Trade-Off for Stocks and Bonds
inferredcites →https://doi.org/10.2139/ssrn.3777215openalex-extracted
A Penalized Two-Pass Regression to Predict Stock Returns with Time-Varying Risk Premia
inferredcites →https://doi.org/10.2139/ssrn.4368247openalex-extracted
Empirical Asset Pricing with Score-Driven Conditional Betas
inferredcites →https://doi.org/10.2139/ssrn.879793openalex-extracted
The Dog that Did Not Bark: A Defense of Return Predictability
inferredcites →https://doi.org/10.2307/1912775openalex-extracted
Large Sample Properties of Generalized Method of Moments Estimators
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/2938229openalex-extracted
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
inferredcites →https://doi.org/10.3982/ecta11069openalex-extracted
Time-Varying Risk Premium in Large Cross-Sectional Equity Data Sets
inferredcites →https://doi.org/10.2307/1269782openalex-snapshot
Robust Statistics: The Approach Based on Influence Functions
Editorial review for independent work. ICSAC — the Institute for Complexity Science and Advanced Computing — runs a structured editorial panel for researchers publishing outside journals, and publishes on CiteStamp rails. Submission is free and goes through ORCID: icsacinstitute.org/submit.