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A Quantilogram Approach to Evaluating Directional Predictability
Linton, Oliver; Whang, Yoon-Jae - Cowles Foundation for Research in Economics, Yale University - 2004
given time series has no directional predictability. The test is based on the correlogram of quantile hits. We provide the …In this note we propose a simple method of measuring directional predictability and testing for the hypothesis that a … stock index return data. The empirical results suggests some directional predictability in returns especially in mid range …
Persistent link: https://www.econbiz.de/10005593651
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Quantile Regression with Censoring and Endogeneity
Chernozhukov, Victor; Fernandez-Val, Ivan; Kowalski, Amanda - Cowles Foundation for Research in Economics, Yale University - 2011
In this paper, we develop a new censored quantile instrumental variable (CQIV) estimator and describe its properties … and computation. The CQIV estimator combines Powell (1986) censored quantile regression (CQR) to deal semiparametrically … dimensional parameters for the control variable, such as a quantile or distribution regression model. The second stage estimates a …
Persistent link: https://www.econbiz.de/10009001018
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On the Number of Bootstrap Repetitions for Bootstrap Standard Errors, Confidence Intervals, and Tests
Andrews, Donald W.K.; Buchinsky, Moshe - Cowles Foundation for Research in Economics, Yale University - 1997
This paper considers the problem of choosing the number of bootstrap repetitions B for bootstrap standard errors, confidence intervals, and tests. For each of these problems, the paper provides a three-step method for choosing B to achieve a desired level of accuracy. Accuracy is measured by the...
Persistent link: https://www.econbiz.de/10004990816
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Cross-section Regression with Common Shocks
Andrews, Donald W.K. - Cowles Foundation for Research in Economics, Yale University - 2003
This paper considers regression models for cross-section data that exhibit cross-section dependence due to common …) estimators in this context. The results of the paper allow for any form of cross-section dependence and heterogeneity across …
Persistent link: https://www.econbiz.de/10005762510
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Sign Tests for Dependent Observations and Bounds for Path-Dependent Options
Brown, Donald J.; Ibragimov, Rustam - Cowles Foundation for Research in Economics, Yale University - 2005
dependence to the i.i.d. binomial case. Furthermore, we show that the expected payoff of a European call option in the …
Persistent link: https://www.econbiz.de/10005593290
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Getting at Systemic Risk via an Agent-Based Model of the Housing Market
Geanakoplos, John; Axtell, Robert; Farmer, Doyne J.; … - Cowles Foundation for Research in Economics, Yale University - 2012
Systemic risk must include the housing market, though economists have not generally focused on it. We begin construction of an agent-based model of the housing market with individual data from Washington, DC. Twenty years of success with agent-based models of mortgage prepayments give us hope...
Persistent link: https://www.econbiz.de/10009653366
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Leverage Causes Fat Tails and Clustered Volatility
Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2010
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing," i.e., systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are...
Persistent link: https://www.econbiz.de/10009645229
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Leverage Causes Fat Tails and Clustered Volatility
Thurner, Stefan; Farmer, J. Doyne; Geanakoplos, John - Cowles Foundation for Research in Economics, Yale University - 2010
We build a simple model of leveraged asset purchases with margin calls. Investment funds use what is perhaps the most basic financial strategy, called "value investing," i.e. systematically attempting to buy underpriced assets. When funds do not borrow, the price fluctuations of the asset are...
Persistent link: https://www.econbiz.de/10008546787