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Pricing TIPS and Treasuries with Linear Regressions
With Michael Abrahams, Tobias Adrian, and Emanuel Moench
Federal Reserve Bank of New York Staff Reports, Number 570, September 2012
Efficient, Regression-Based Estimation of Dynamic Asset Pricing Models
With Tobias Adrian and Emanuel Moench
Federal Reserve Bank of New York Staff Reports, Number 493, May 2011, revised March 2012
Bootstrapping Density-Weighted Average Derivatives
With Matias D. Cattaneo, and Michael Jansson
Optimal Conditional Inference in Nearly-Integrated Autoregressive Processes"
33 pages / 301 kb
June 2006The views expressed in the papers listed on this page are those of the author(s) and do not necessarily reflect the position of the Federal Reserve Bank of New York or the Federal Reserve System.