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Michael W. Brandt

Michael W. Brandt

D-Index & Metrics

Economics and Finance

D-Index
39
Citations
12464
World Ranking
2355
National Ranking
1335

Overview

Michael W. Brandt is affiliated with Duke University in the United States. Their research primarily spans the fields of Business, Management and Accounting, with a focus on subfields such as Accounting and Finance.

Their scholarly output addresses topics including Financial Markets and Investment Strategies, Auditing, Earnings Management, and Governance, as well as Corporate Finance and Governance.

Michael W. Brandt has published papers in notable venues such as the Journal of Empirical Finance and the SSRN Electronic Journal.

  • Mutual fund performance: Using bespoke benchmarks to disentangle mandates, constraints and skill (2020, Journal of Empirical Finance)
  • Estimating Historical Volatility (2023, SSRN Electronic Journal)

Their research collaborations have involved co-authors including Alessandro Beber, Jason Cen, Kenneth A. Kavajecz, and J Kinlay.

Best Publications

  • Range-Based Estimation of Stochastic Volatility Models

    Sassan Alizadeh;Michael W. Brandt;Michael W. Brandt;Francis X. Diebold;Francis X. Diebold

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

    Alessandro Beber;Michael W. Brandt;Kenneth A. Kavajecz

  • The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?

    Michael W. Brandt;Alon Brav;John R. Graham;Alok Kumar

  • Variable Selection for Portfolio Choice

    Yacine Ait-Sahalia;Michael W. Brandt

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

    Michael W. Brandt;Qiang Kang

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

    Michael W. Brandt;Pedro Santa-Clara;Rossen Valkanov

  • On the timing and pricing of dividends

    Jules H van Binsbergen;Michael W Brandt;Ralph S.J. Koijen

  • Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach

    Michael W. Brandt

  • Variable Selection for Portfolio Choice

    Yacine Ait-Sahalia;Michael W Brandt

  • 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

  • International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)

    Michael W. Brandt;John H. Cochrane;Pedro Santa-Clara

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

    Michael W. Brandt;Kenneth A. Kavajecz

  • Volatility Forecasting With Range-Based EGARCH Models

    Michael W Brandt;Christopher S Jones

  • Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets

    Michael W. Brandt;Pedro Santa-Clara

  • Time-varying risk aversion and unexpected inflation ☆

    Michael W. Brandt;Michael W. Brandt;Kevin Q. Wang

  • Portfolio Choice Problems

    Michael W. Brandt

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

    Michael W. Brandt;Francis X. Diebold

  • Dynamic Portfolio Selection by Augmenting the Asset Space

    Michael W. Brandt;Pedro Santa-Clara

  • Optimal Decentralized Investment Management

    Jules H. Van Binsbergen;Michael W. Brandt;Ralph S. J. Koijen

  • Stock Market Declines and Liquidity

    Wenjin Kang;Allaudeen Hameed;S. Viswanathan

  • Range-Based Estimation of Stochastic Volatility Models

    Sassan Alizadeh;Sassan Alizadeh;Michael W. Brandt;Michael W. Brandt;Francis X. Diebold;Francis X. Diebold

  • The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?

    Michael W. Brandt;Michael W. Brandt;Alon Brav;Alon Brav;John R. Graham;John R. Graham;Alok Kumar

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

    Michael W. Brandt;Michael W. Brandt;Pedro Santa-Clara;Pedro Santa-Clara;Pedro Santa-Clara;Rossen I. Valkanov

  • A no-arbitrage approach to range-based estimation of return covariances and correlations

    Michael W. Brandt;Francis X. Diebold

Frequent Co-Authors

Pedro Santa-Clara
Pedro Santa-Clara Universidade Nova de Lisboa
Francis X. Diebold
Francis X. Diebold University of Pennsylvania
Ralph S. J. Koijen
Ralph S. J. Koijen University of Chicago
Yacine Aït-Sahalia
Yacine Aït-Sahalia Princeton University
John H. Cochrane
John H. Cochrane Hoover Institution
Lu Zhang
Lu Zhang The Ohio State University
John R. Graham
John R. Graham Duke University
Alon Brav
Alon Brav Duke University
Rossen I. Valkanov
Rossen I. Valkanov University of California, San Diego
Alok Kumar
Alok Kumar University of Miami

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