Concept

Capital asset pricing model

Related publications (87)

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Classical theory asserts that the formation of prices is the result of aggregated decisions ofeconomics agent such as households or corporation. However central banks are very importantagents that have often been neglected in asset pricing models. Central ...

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This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

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