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Asset Return Volatility, High-Frequency Data, and the New Financial Econometrics

Diebold, Francis X. - Econometric Society - 2004

With an eye toward financial asset pricing, asset allocation, and risk management, I review and interpret the rapidly …

Persistent link: https://www.econbiz.de/10005342135

Martin, Vance; Lim, G.C.; Maasoumi, Esfandiar - Econometric Society - 2004

This paper applies recent tests of stochastic dominance of several orders proposed by Linton, Maasoumi and Whang (2003) to reexamine the equity premium puzzle. An advantage of this nonparametric framework is that it provides a means to assess whether the existence of a premium is due to an...

Persistent link: https://www.econbiz.de/10005130156

Beta Risk and Regime Shift in Market Volatility

Galagedera, Don U.A.; Shami, Roland G. - Econometric Society - 2004

In this paper, we relate security returns in the thirty securities in the Dow Jones index to regime shifts in the market portfolio (S&P500) volatility. We model market volatility as a multiple-state Markov switching process of order one and estimate non-diversifiable security risk (beta) in the...

Persistent link: https://www.econbiz.de/10005130158

Normal Log-normal Mixture: Leptokurtosis, Skewness and Applications

Yang, Minxian - Econometric Society - 2004

The properties and applications of the normal log-normal (NLN) mixture are considered. The moment of the NLN mixture is shown to be finite for any positive order. The expectations of exponential functions of a NLN mixture variable are also investigated. The kurtosis and skewness of the NLN...

Persistent link: https://www.econbiz.de/10005063629

Intertemporal Consumption and Consumer Demand

McLaren, Keith R.; Kim, H. Youn; Cooper, Russel J. - Econometric Society - 2004

This paper integrates two strands of studies on consumer demand and consumption and provides a unified framework for analyzing consumer behavior employing an intertemporal two-stage budgeting procedure. We take a modified AIDS framework for the demand system and derive a general Euler equation...

Persistent link: https://www.econbiz.de/10005702544

Alternative Beta Risk Estimators in Emerging Markets: The Latin American Case.

Maldonado, Diana; Fry, Tim; Brooks, Robert; Faff, Robert - Econometric Society - 2004

In this paper, a new alternative beta risk estimator method designed to offer better results when coping with the situation of extreme thin trading is presented for Latin American stocks. The method proposed is applied to a set of data in which the estimator is adjusted for censoring, that is,...

Persistent link: https://www.econbiz.de/10005702548

Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average

Distaso, Walter; Awartani, Basel; Corradi, Valentina - Econometric Society - 2004

It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...

Persistent link: https://www.econbiz.de/10005702555

Modeling Yield-Factor Volatility

Smith, Daniel R.; Parignon, Christophe - Econometric Society - 2004

The term structure of interest rates is often summarized using a handful of yield factors that capture shifts in the yield curve. Despite their wide application in financial economics, very little is known on the time-series properties of the yield-factor volatilities. We examine three common...

Persistent link: https://www.econbiz.de/10005702565

Welfare Properties of Network Bypass

Martin, Richard - Econometric Society - 2004

cases of bypass in the distribution of natural gas, and compare the welfare properties of regulation vs.\ the `laissez … is costly, but it reduces market power and increases the variety of goods available to consumers. Regulation is an … network. Both marginal and average cost price regulation are considered …

Persistent link: https://www.econbiz.de/10005702578