Christian Julliard

Commonly used frequentist estimation methods for linear factor models of asset returns are invalidated by weak and spurious factors. The problem is...

Using an equilibrium network model and a large international panel of cross-border trade, we analyse empirically the drivers of foreign currency...

We provide a novel priced Wold representation that, using the pricing restrictions of a large cross-section of asset returns, sharply identifies...

Management Science, 0(0)

We analyze 18 quadrillion models for the joint pricing of corporate bond and stock returns. Strikingly, we find that equity and nontradable factors...

Journal of Financial Econometrics, 23 (1), nbae033