Under the setting that stochastic discount factors (SDFs) jointly price a vector of returns, this paper features entropy-based restrictions on SDFs, and its correlated multiplicative components, to evaluate asset pricing models. Specifically, our entropy bound on the square of the SDFs is...

We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by following a maturity randomization approach, we solve the partial integro-differential equation and obtain a tight lower bound for the American option price. Secondly, our...

We develop a multivariate dynamic term structure model, which takes into account the nonlinear (time-varying) relation between interest rates and the state of the economy. In contrast to the classical term structure literature, in which nonlinearities are captured by increasing the number of...

This study presents a first comparative analysis of Lasso-type (Lasso, adaptive Lasso, elastic net) and heuristic subset selection methods. Although the Lasso has shown success in many situations, it has some limitations. In particular, inconsistent results are obtained for pairwise highly...

This paper explores the way technical progress and improvements in energy efficiency are captured when modelling OECD industrial energy demand. The industrial sectors of the developed world involve a number of different practices and processes utilising a range of different technologies....

This paper derives the limiting distributions of least squares averaging estimators for linear regression models in a local asymptotic framework. We show that the averaging estimators with fixed weights are asymptotically normal and then develop a plug-in averaging estimator that minimizes the...

We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...

Recently, there has been increasing interest in model averaging within frequentist paradigm. In the existing literature, for proving consistency of model averaging estimators, local mis-specification is assumed. In this paper, we show that under general fixed parameter setup, the model averaging...

The goal of this paper is to evaluate heterogeneity between the Czech Republic and the Euro area, because different behavior of agents or asymmetric shocks cut benefits from the entering monetary union. For this purpose, we introduce a two-country dynamic stochastic general equilibrium model...