Michael W. Brandt

Overview

Michael W. Brandt is a financial economist at Duke University's Fuqua School of Business and a Research Associate at NBER. His research spans empirical asset pricing, portfolio choice, return predictability, and volatility modeling.

Key Contributions

• Latent VAR for mean-volatility dynamics (Brandt-Kang 2004): Modeled the conditional mean and volatility of stock returns as jointly evolving latent states following a bivariate VAR(1); found a strongly negative contemporaneous correlation between mean and volatility innovations ($\rho \approx -0.56$) while the lag risk-return tradeoff is insignificant. See Risk-Return Tradeoff.

Related

• Risk-Return Tradeoff
• Stochastic Volatility
• Qiang Kang