# Arbitrage-free models of stocks and bonds

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##### Citations

44 citations

### Cites methods from "Arbitrage-free models of stocks and..."

...…using equilibrium models or derivatives, see Äit-Sahalia, Karaman, and Mancini (2014), Ang and Ulrich (2012), van Binsbergen et al. (2014), Boguth et al. (2012), Durham (2013), Croce, Lettau, and Ludvigson (2015), Lemke and Werner (2009), Lettau and Wachter (2011), and Muir (2013), among others....

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##### References

5,916 citations

### "Arbitrage-free models of stocks and..." refers background in this paper

...Similar to Gaussian affine term structure models (GATSMs) based on Vasicek (1977), the n factors, denoted by the 1n vector, X, follow a mean-reverting process, as in 11 tt t X a X (1) where a is an 1n vector, is an n n matrix, is an n n matrix, and is an 1n normally distributed vector of…...

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2,732 citations

### "Arbitrage-free models of stocks and..." refers methods in this paper

...In this application, comparatively few models inform the estimates, indeed only four do in the case of the U.S., but other possible modelaveraging techniques include the method described in Sala-i-Martin (1997) in the context of cross-country growth regressions....

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2,175 citations

### "Arbitrage-free models of stocks and..." refers methods in this paper

...…considers alternative specifications of observable variables in X. Similar to the set of “free” variables in an “extreme bound analysis” (EBA) (e.g., Leamer, 1983), each model includes the level of the yield curve, measured by the 5-year yield (and alternatively the first principal component);…...

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1,408 citations

1,348 citations

### "Arbitrage-free models of stocks and..." refers background in this paper

...However, the decomposition of nominal U.S. Treasury yields, but not long-run equity risk premiums, is sensitive to data beyond 2008, which raises some questions about the net effects of unconventional monetary policy measures....

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