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.
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.
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.
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.
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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)
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)
The Idiosyncratic Volatility Puzzle: Time Trend or Speculative Episodes?
Michael W. Brandt;Alon Brav;John R. Graham;Alok Kumar.
Review of Financial Studies (2010)
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)
Variable Selection for Portfolio Choice
Yacine Ait-Sahalia;Michael W. Brandt.
Journal of Finance (2001)
Estimating Portfolio and Consumption Choice: A Conditional Euler Equations Approach
Michael W. Brandt.
Journal of Finance (1999)
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)
On the timing and pricing of dividends
Jules H van Binsbergen;Michael W Brandt;Ralph S.J. Koijen.
The American Economic Review (2012)
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)
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)
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