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Search: subject:"Method of Moments"
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asset pricing
2
simulated method of moments
2
equity premium
1
intraday (co-)variation risk
1
local method of moments
1
long-run risk
1
rare disaster risk
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smoothing
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spot covariance
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Grammig, Joachim
2
Bibinger, Markus
1
Hautsch, Nikolaus
1
Malec, Peter
1
Reiss, Markus
1
Schaub, Eva-Maria
1
Sönksen, Jantje
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Center for Financial Studies
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
32
National Bureau of Economic Research
28
Cowles Foundation for Research in Economics, Yale University
18
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
9
Centre for Microdata Methods and Practice <London>
7
Industrial Relations Section, Department of Economics
6
HAL
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Tilburg University, Center for Economic Research
5
Agricultural and Applied Economics Association - AAEA
4
Banque de France
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Department of Economics, Boston College
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Department of Economics, Iowa State University
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EconWPA
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London School of Economics (LSE)
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School of Economics and Management, University of Aarhus
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CESifo
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Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE)
3
Department of Economics, Brock University
3
Département de Sciences Économiques, Université de Montréal
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Département des Études Économiques d'Ensemble (D3E), Institut National de la Statistique et des Études Économiques (INSEE)
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Faculty of Economics, Kyushu Sangyo University
3
Faculty of Economics, University of Cambridge
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Federal Reserve Bank of San Francisco
3
Institute for Fiscal Studies (IFS)
3
Institute of Economic Research, Hitotsubashi University
3
Uniwersytet Warszawski / Wydział Nauk Ekonomicznych
3
Bank of Greece
2
C.E.P.R. Discussion Papers
2
Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
2
Centre de Recherche sur l'Emploi et les Fluctuations Économiques (CREFÉ), École des Sciences de la Gestion (ESG)
2
Centre for Dynamic Macroeconomic Analysis, University of St. Andrews
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Centre for Market and Public Organisation (CMPO), University of Bristol
2
Centre for Microdata Methods and Practice (CEMMAP)
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Christian-Albrechts-Universität zu Kiel / Institut für Volkswirtschaftslehre
2
Departament d'Economia i Història Econòmica, Universitat Autònoma de Barcelona
2
Departamento de Economia, Universidade de Évora
2
Departamento de Economía de la Empresa, Universidad Carlos III de Madrid
2
Department of Agricultural and Resource Economics, University of California-Berkeley
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Department of Economics and Finance, La Trobe Business School
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Give me strong moments and time: Combining GMM and SMM to estimate long-run risk asset pricing models
Grammig, Joachim
;
Schaub, Eva-Maria
-
Center for Financial Studies
-
2014
simulated
method
of
moments
(SMM) provides a natural framework to estimate its deep parameters, but caveats concern model …
Persistent link: https://www.econbiz.de/10010958629
Saved in:
2
Estimating the spot covariation of asset prices: Statistical theory and empirical evidence
Bibinger, Markus
;
Hautsch, Nikolaus
;
Malec, Peter
; …
-
Center for Financial Studies
-
2014
average of block-wise parametric spectral covariance estimates. The latter originate from a local
method
of
moments
(LMM …
Persistent link: https://www.econbiz.de/10010958633
Saved in:
3
Consumption-based asset pricing with rare disaster risk
Grammig, Joachim
;
Sönksen, Jantje
-
Center for Financial Studies
-
2014
-based asset pricing model (CBM) using a combination of the simulated
method
of
moments
and bootstrapping. We consider several …
Persistent link: https://www.econbiz.de/10010986365
Saved in:
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