Federico Nardari

发表

Markov chain Monte Carlo methods for stochastic volatility models

N. Shephard, S. Chib, Federico Nardari, 2002 .

Analysis of high dimensional multivariate stochastic volatility models

N. Shephard, S. Chib, Federico Nardari, 2006 .

Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments

Federico Nardari, Xin Gao, 2018 .

Do Investors Trade More When Stocks Have Performed Well? Evidence from 46 Countries

René M. Stulz, John M. Griffin, Federico Nardari, 2005 .

Bayesian Analysis of Linear Factor Models with Latent Factors, Multivariate Stochastic Volatility, and Apt Pricing Restrictions

Federico Nardari, John T. Scruggs, Federico Nardari, 2007 .

Analysis of Linear Factor Models with Multivariate Stochastic Volatility for Stock and Bond Returns

Federico Nardari, John T. Scruggs, 2003 .

Understanding the Non-Linear Relation between Mutual Fund Performance and Flows

Federico Nardari, Sriram V. Villupuram, George D. Cashman, 2008 .

Idiosyncratic Skewness Co-movement and Aggregate Stock Returns

Federico Nardari, Q. Zeng, Bochen Wu, 2022 .

Forecasting variance swap payoffs

Federico Nardari, Jonathan Dark, Xin Gao, 2022, Journal of Futures Markets.

Time-Varying Short-Horizon Return Predictability

Federico Nardari, J. Martin, S. Henkel, 2010 .

Do Market Efficiency Measures Yield Correct Inferences? A Comparison of Developed and Emerging Markets

John M. Griffin, Federico Nardari, J. Griffin, 2010 .

Why does the reaction to news announcements vary across countries

Sheridan Titman, Miguel A. Ferreira, Utpal Bhattacharya, 2008 .

Stock Market Trading and Market Conditions

René M. Stulz, Federico Nardari, J. Griffin, 2004 .

Time-varying short-horizon predictability ☆

Federico Nardari, J. Martin, Federico Nardari, 2011 .

Are Daily Cross-Border Equity Flows Pushed or Pulled?

Federico Nardari, J. Griffin, Renl M. Stulz, 2002, Review of Economics and Statistics.

Why Does Stock Market Volatility Change Over Time? A Time-Varying Variance Decomposition for Stock Returns

Federico Nardari, John T. Scruggs, 2005 .

Investor behavior in the mutual fund industry: evidence from gross flows

Federico Nardari, Sriram V. Villupuram, George D. Cashman, 2007 .

Investors Do Respond to Poor Mutual Fund Performance: Evidence from Inflows and Outflows

Federico Nardari, Sriram V. Villupuram, George D. Cashman, 2006 .

Estimating the Equity Premium

Lisa A. Kramer, Jacob S. Sagi, Thomas H. McCurdy, 2008, Journal of Financial and Quantitative Analysis.

Investor behavior in the mutual fund industry: evidence from gross flows

Federico Nardari, Sriram V. Villupuram, George D. Cashman, 2012, Journal of Economics and Finance.

Does the Choice of Model or Benchmark Affect Inference in Measuring Mutual Fund Performance?

Federico Nardari, Naveen D. Daniel, Jeffrey L. Coles, 2006 .

Do Model and Benchmark Specification Error Affect Inference in Measuring Mutual Fund Performance?

Federico Nardari, Naveen D. Daniel, J. Coles, 2004 .

Are Emerging Markets More Profitable? Implications for Comparing Weak and Semi-Strong Form Efficiency

Federico Nardari, J. Griffin, P. Kelly, 2009 .

Explaining the early years of the euro exchange rate: An episode of learning about a new central bank

Federico Nardari, Michael Melvin, Manuel Gómez, 2007 .