Frequency dependent risk
نویسندگان
چکیده
We provide a model-free framework for studying the dynamics of state vector and its risk prices. Specifically, we derive frequency domain decomposition unconditional asset return premium in general setting with log-affine stochastic discount factor (SDF). Importantly, show that cospectrum between returns SDF only displays dependencies through prices can be inferred from covariances (portfolio) returns, is, cross-section. Empirically, find low high-frequency to differentially priced US equities.
منابع مشابه
Frequency of Obsessive-compulsive Disorder in Methamphetamine-Dependent Subjects
Background and Objectives: Obsessive-compulsive disorder (OCD) is a type of anxiety disorder, which can be manifested as comorbidity with other psychological disorders. Prompt diagnosis and treatment of this comorbidity plays an important role in treatment of the main disorder. This study aimed to assess the frequency of OCD in methamphetamine-dependent individuals. <stro...
متن کاملUnderstanding Frequency-dependent Causation
Causal effects often vary with the relative frequency of the causal property in the population of interest. (For example, "being a female candidate for high office causes a stir" only because such events are rare.) Such causal effects are called frequency-dependent, and they pose interesting problems for both philosophy of causality and philosophy of biology. 1 Elliot Sober 2 argues that certai...
متن کاملFrequency-Dependent Streaming Potentials.
An experimental apparatus and data acquisition system was constructed to measure the streaming potential coupling coefficients as a function of frequency. The purpose of the experiments was to measure, for the first time, the real and imaginary portion of streaming potentials. In addition, the measured frequency range was extended beyond any previous measurements. Frequency-dependent streaming ...
متن کاملFrequency-dependent Chemotactic Target Selection
Chemotaxis usually involves cellular motion towards an exogenous, often static, source of chemoattractant. We demonstrate an enhanced mechanism in which a single particle (the cell) releases a chemical that diffuses to fixed particles (targets) and signals the production of another chemical by the targets. This secondary chemical acts as the cell’s chemoattractant. To reach a single target, we ...
متن کاملSpeaker Dependent Frequency Cepstrum Coefficients
This paper aims at speaker recognition based upon a novel set of features. Feature extraction is a crucial phase of the speaker recognition process and a proper feature set can influence it dramatically. Many well-known features are not suitable for the speaker recognition as those merge the specifics of the individual voices to make them universal. Therefore, we need features accentuating the ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2021
ISSN: ['1879-2774', '0304-405X']
DOI: https://doi.org/10.1016/j.jfineco.2021.01.007