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Microstructure noise, realized volatility, and optimal sampling

Russell, Jeffrey R.; Bandi, Federico M. - Econometric Society - 2004

Recorded prices are known to diverge from their "efficient" values due to the presence of market microstructure contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is theoretically necessary to sum squared returns that are...

Persistent link: https://www.econbiz.de/10005129773

Long-run and Cyclical Dynamics in the US Stock Market

Gil-Alana, L.A.; caporale, G.M. - Econometric Society - 2004

This paper examines the long-run dynamics and the cyclical structure of the US stock market using fractional integration techniques. We implement a version of the tests of Robinson (1994a), which enables one to consider unit (or fractional) roots both at the zero (long-run) and at the cyclical...

Persistent link: https://www.econbiz.de/10005063571

Using Common Features to Construct a Preference-Free Estimator of the Stochastic Discount Factor

Araujo, Fabio; Issler, Marcelo Fernandes e João Victor - Econometric Society - 2004

We propose a novel estimator for the stochastic discount factor (SDF) in a panel-data context. Under general conditions it depends exclusively on appropriate averages of asset returns, and its computation is a direct exercise, as long as one has enough observations to our asymptotic results. We...

Persistent link: https://www.econbiz.de/10005699583

Prognoses for a Non-Predictable Discounted Commodity Price Process

Wright, Brian D.; Bobenrieth; Eugenio S. A. - Econometric Society - 2004

We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero, with any given probability less than 1, beyond a...

Persistent link: https://www.econbiz.de/10005699619

Ignorance, Fixed Costs, and the Stock Market Participation Puzzle

Naudon, Alberto; Tapia, Matías - Econometric Society - 2004

While the existence of fixed costs in entering asset markets is the leading rationalization of the "participation puzzle" -the fact that most households do not hold stocks, despite the diversification gains and the significant risk-premium involved-, most motivations of these fixed costs are as...

Persistent link: https://www.econbiz.de/10005699623

Full vs. Light-Handed Regulation of a Network Industry

Negrin, Joyce Sadka. Jose Luis - Econometric Society - 2004

The access pricing problem emerges when a vertically integrated firm (the incumbent) provides an essential service in … social welfare function. Motivated by the international trend to reduce the number of prices set by regulation, we use a … light handed regulation approach in which the only tool available to the regulator is the access price, and where retail …

Persistent link: https://www.econbiz.de/10005328897

Privatization versus Franchising Public Utilities. Are there any dominant alternative?

Saavedra, Eduardo; Bruna, Ronaldo - Econometric Society - 2004

Este artículo explora a través de un mismo modelo básico las características fundamentales que determinan si es socialmente preferible concesionar versus privatizar un servicio público con características monopólicas. Los principales resultados de este trabajo son que la opción de...

Persistent link: https://www.econbiz.de/10005328909