D-Index & Metrics Best Publications

D-Index & Metrics

Discipline name D-index D-index (Discipline H-index) only includes papers and citation values for an examined discipline in contrast to General H-index which accounts for publications across all disciplines. Citations Publications World Ranking National Ranking
Economics and Finance D-index 34 Citations 12,724 66 World Ranking 1597 National Ranking 964

Overview

What is he best known for?

The fields of study he is best known for:

  • Finance
  • Statistics
  • Financial economics

His primary areas of investigation include Econometrics, Portfolio, Volatility, Capital asset pricing model and Monetary economics. He has included themes like Estimator and Sharpe ratio in his Econometrics study. His research in Portfolio intersects with topics in Dividend yield, Asset and Predictability.

He works mostly in the field of Volatility, limiting it down to topics relating to Range and, in certain cases, Black–Scholes model, as a part of the same area of interest. As part of the same scientific family, Michael W. Brandt usually focuses on Capital asset pricing model, concentrating on Yield curve and intersecting with Price discovery and Market liquidity. He focuses mostly in the field of Monetary economics, narrowing it down to matters related to Financial economics and, in some cases, Capital market and Discounting.

His most cited work include:

  • Range-Based Estimation of Stochastic Volatility Models (836 citations)
  • Range-Based Estimation of Stochastic Volatility Models (836 citations)
  • Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market (447 citations)

What are the main themes of his work throughout his whole career to date?

Michael W. Brandt mainly investigates Econometrics, Portfolio, Volatility, Financial economics and Monetary economics. His study involves Capital asset pricing model and Stochastic volatility, a branch of Econometrics. Within one scientific family, he focuses on topics pertaining to Dividend yield under Portfolio, and may sometimes address concerns connected to Stock market index.

In general Volatility study, his work on Implied volatility often relates to the realm of Trend estimation, thereby connecting several areas of interest. His Futures contract study, which is part of a larger body of work in Financial economics, is frequently linked to Business cycle, bridging the gap between disciplines. In the subject of general Monetary economics, his work in Market liquidity is often linked to Treasury and Risk sharing, thereby combining diverse domains of study.

He most often published in these fields:

  • Econometrics (81.25%)
  • Portfolio (40.62%)
  • Volatility (38.75%)

What were the highlights of his more recent work (between 2011-2021)?

  • Econometrics (81.25%)
  • Predictability (21.88%)
  • Monetary economics (27.50%)

In recent papers he was focusing on the following fields of study:

The scientist’s investigation covers issues in Econometrics, Predictability, Monetary economics, Financial economics and Risk premium. His Econometrics research incorporates elements of Fixed income, Inflation and Stock market. As part of one scientific family, Michael W. Brandt deals mainly with the area of Predictability, narrowing it down to issues related to the Sample, and often Statistical dispersion.

In his research, Bond, Banking sector and Affine term structure model is intimately related to Yield, which falls under the overarching field of Monetary economics. His work on Asset return and Portfolio as part of his general Financial economics study is frequently connected to Business cycle and Risk adjusted, thereby bridging the divide between different branches of science. The various areas that Michael W. Brandt examines in his Risk premium study include Futures contract, Price pressure, Trading strategy, Volatility and Asset allocation.

Between 2011 and 2021, his most popular works were:

  • On the timing and pricing of dividends (172 citations)
  • Macro fundamentals or geopolitical events? A textual analysis of news events for crude oil (18 citations)
  • Distilling the macroeconomic news flow (16 citations)

In his most recent research, the most cited papers focused on:

  • Statistics
  • Finance
  • Financial economics

Econometrics, Inflation, Flow, Financial economics and Risk premium are his primary areas of study. His primary area of study in Econometrics is in the field of Capital asset pricing model. His Inflation investigation overlaps with other areas such as Nowcasting, Current, Computer science, Simple and Tracking.

His is involved in several facets of Financial economics study, as is seen by his studies on Volatility, Futures contract, Trading strategy and Portfolio. His study in Risk premium is interdisciplinary in nature, drawing from both Equity, Rate of return, Dividend, Asset return and Asset allocation.

This overview was generated by a machine learning system which analysed the scientist’s body of work. If you have any feedback, you can contact us here.

Best Publications

Range-Based Estimation of Stochastic Volatility Models

Sassan Alizadeh;Michael W. Brandt;Michael W. Brandt;Francis X. Diebold;Francis X. Diebold.
Journal of Finance (2002)

1317 Citations

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

Alessandro Beber;Michael W. Brandt;Kenneth A. Kavajecz.
Review of Financial Studies (2009)

701 Citations

The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?

Michael W. Brandt;Alon Brav;John R. Graham;Alok Kumar.
Review of Financial Studies (2010)

566 Citations

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

Michael W. Brandt;Qiang Kang.
Journal of Financial Economics (2004)

546 Citations

Variable Selection for Portfolio Choice

Yacine Ait-Sahalia;Michael W. Brandt.
Journal of Finance (2001)

517 Citations

Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

Michael W. Brandt.
Journal of Finance (1999)

488 Citations

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

Michael W. Brandt;Pedro Santa-Clara;Rossen Valkanov.
Review of Financial Studies (2009)

425 Citations

On the timing and pricing of dividends

Jules H van Binsbergen;Michael W Brandt;Ralph S.J. Koijen.
The American Economic Review (2012)

402 Citations

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

Michael W. Brandt;Kenneth A. Kavajecz.
Journal of Finance (2004)

402 Citations

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

Michael W. Brandt;Amit Goyal;Pedro Santa-Clara;Jonathan R. Stroud.
Review of Financial Studies (2005)

398 Citations

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Best Scientists Citing Michael W. Brandt

Peter Christoffersen

Peter Christoffersen

University of Toronto

Publications: 55

Eric Ghysels

Eric Ghysels

University of North Carolina at Chapel Hill

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Allan Timmermann

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Francis X. Diebold

Francis X. Diebold

University of Pennsylvania

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Bocconi University

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