J
James V. Marrone
Researcher at RAND Corporation
Publications - 22
Citations - 537
James V. Marrone is an academic researcher from RAND Corporation. The author has contributed to research in topics: Risk premium & Variance risk premium. The author has an hindex of 7, co-authored 22 publications receiving 438 citations. Previous affiliations of James V. Marrone include University of Chicago.
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Journal ArticleDOI
Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence
TL;DR: In this article, the authors show that the variance risk premium predicts aggregate stock market returns and demonstrate that statistical finite sample biases cannot explain the apparent predictability of stock market return in the U.S. They also show that country specific regressions for France, Germany, Japan, Switzerland, and U.K result in quite similar patterns.
Journal ArticleDOI
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
TL;DR: In this article, the variance risk premium, or the difference between risk-neutral and statistical expectations of the future return variation, predicts aggregate stock market returns, with the predictability especially strong at the 2-4 month horizons.
Journal ArticleDOI
Granularity adjustment for mark-to-market credit risk models
TL;DR: In this article, the impact of undiversified idiosyncratic risk on value-at-risk and expected shortfall can be approximated analytically via a methodology known as granularity adjustment (GA).
Journal ArticleDOI
A Site-Level Market Model of the Antiquities Trade
TL;DR: In this article, the authors estimate the market value of archaeological sites where artifacts have been previously excavated and documented, using a machine-learning approach, and make an out-of-sample prediction on two Syrian sites, Tell Bi'a and Dura Europos.
BookDOI
Tracking and Disrupting the Illicit Antiquities Trade with Open Source Data
Matthew Sargent,James V. Marrone,Alexandra T. Evans,Bilyana Lilly,Erik Nemeth,Stephen Dalzell +5 more
TL;DR: The illicit antiquities market is fueled by a well-documented rise in looting at archaeological sites and a fear that the proceeds of such looting may be financing terrorism or rogue states as mentioned in this paper.