Michael W. Brandt

On the Relationship Between the Conditional Mean and Volatility of Stock Returns: A Latent VAR Approach

Year: 2002
Journal: Journal of Financial Economics
Authors: Michael W. Brandt; Qiang Kang

Time-Consistent No-Arbitrage Models of the Term Structure

Year: 2003
Journal: No Journal Matched
Authors: Michael W. Brandt; Amir Yaron

Price Discovery in the US Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve

Year: 2003
Journal: Journal of Finance
Authors: Michael W. Brandt; Kenneth A. Kavajecz

A No-Arbitrage Approach to Range-Based Estimation of Return Covariances and Correlations

Year: 2003
Journal: No Journal Matched
Authors: Michael W. Brandt; Francis X. Diebold

The Effect of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market

Year: 2003
Journal: Journal of Monetary Economics
Authors: Alessandro Beber; Michael W. Brandt

Dynamic Portfolio Selection by Augmenting the Asset Space

Year: 2004
Journal: Journal of Finance
Authors: Michael W. Brandt; Pedro Santa-Clara

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning about Return Predictability

Year: 2004
Journal: Review of Financial Studies
Authors: Michael W. Brandt; Amit Goyal; Pedro Santaclara; Jonathan R. Stroud

Parametric Portfolio Policies Exploiting Characteristics in the Cross-Section of Equity Returns

Year: 2004
Journal: Review of Financial Studies
Authors: Michael W. Brandt; Pedro Santa-Clara; Rossen Valkanov

Flight to Quality or Flight to Liquidity: Evidence from the Euro Area Bond Market

Year: 2006
Journal: Review of Financial Studies
Authors: Alessandro Beber; Michael W. Brandt; Kenneth A. Kavajecz

Linear Approximations and Tests of Conditional Pricing Models

Year: 2006
Journal: No Journal Matched
Authors: Michael W. Brandt; David A. Chapman

Optimal Decentralized Investment Management

Year: 2006
Journal: Journal of Finance
Authors: Jules H. Van Binsbergen; Michael W. Brandt; Ralph S.J. Koijen

Resolving Macroeconomic Uncertainty in Stock and Bond Markets

Year: 2006
Journal: Review of Finance
Authors: Alessandro Beber; Michael W. Brandt

Optimal Asset Allocation in Asset Liability Management

Year: 2007
Journal: No Journal Matched
Authors: Jules H. Van Binsbergen; Michael W. Brandt

Consumption and Portfolio Choice with Option-Implied State Prices

Year: 2008
Journal: No Journal Matched
Authors: Yacine Atsahalia; Michael W. Brandt

On the Timing and Pricing of Dividends

Year: 2010
Journal: American Economic Review
Authors: Jules H. Van Binsbergen; Michael W. Brandt; Ralph S.J. Koijen

What Does Equity Sector Orderflow Tell Us About the Economy?

Year: 2010
Journal: Review of Financial Studies
Authors: Alessandro Beber; Michael W. Brandt; Kenneth A. Kavajecz

Distilling the Macroeconomic News Flow

Year: 2013
Journal: Journal of Financial Economics
Authors: Alessandro Beber; Michael W. Brandt; Maurizio Luisi

Switching Risk Off: FX Correlations and Risk Premia

Year: 2014
Journal: No Journal Matched
Authors: Alessandro Beber; Michael W. Brandt; Jason Cen