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Boom In, Bust Out: Young Households and the Housing Price Cycle

Ortalo-Magne, Francois; Rady, Sven - EconWPA - 1998

The UK experienced a major residential real estate boom-bust cycle from the mid-Eighties to the mid-Nineties, accompanied by unprecedented shifts in the owner occupancy rate of young households. Previous empirical analyses have pointed toward income changes and financial deregulation as the...

Persistent link: https://www.econbiz.de/10005076946

Booms, Busts, and Fraud

Povel, Paul; Singh, Rajdeep; Winton, Andrew - EconWPA - 2003

We examine firm managers' incentives to commit fraud in a model where firms seek funding from investors and investors can monitor firms at a cost in order to get more precise information about firm prospects. We show that fraud incentives are highest when business conditions are good, but not...

Persistent link: https://www.econbiz.de/10005134707

Stock Market Valuation : the Role of the Macroeconomic Risk Premium

Boucher, Christophe - EconWPA - 2003

risk premium with cointegration test in an error correction model. This equity risk premium is determined by GDP volatility …

Persistent link: https://www.econbiz.de/10005134780

Herd behavior and aggregate fluctuations in financial markets

CONT, Rama; BOUCHAUD, Jean-Philippe - EconWPA - 1997

We present a simple model of a stock market where a random communication structure between agents gives rise to a heavy tails in the distribution of stock price variations in the form of an exponentially truncated power-law, similar to distributions observed in recent empirical studies of high...

Persistent link: https://www.econbiz.de/10005134800

Housing Market Fluctuations in a Life-Cycle Economy with Credit Constraints

Ortalo-Magne, Francois; Rady, Sven - EconWPA - 1998

This paper presents a first step towards a new theory of housing market fluctuations. We develop a life-cycle model where agents face credit constraints and their housing consumption is restricted to a discrete set of possibilities. The market interaction of young credit constrained agents...

Persistent link: https://www.econbiz.de/10005134801

A Parsimonious Macroeconomic Model for Asset Pricing: Habit Formation of Cross-sectional Heterogeneity?

Guvenen, Fatih - EconWPA - 2005

equity premium, in its volatility, and in the Sharpe ratio; and long- horizon predictability of returns with high R2 values …

Persistent link: https://www.econbiz.de/10005561641

Introducing a scale of market shocks

Zumbach, Gilles O.; Dacorogna, Michel M.; Olsen, Jorgen L. - EconWPA - 2004

importance of the market movements. These indices are based on the price volatility and are computed by integrating mapped asset …

Persistent link: https://www.econbiz.de/10005076995

APPLICATION OF GARCH MODELS IN FORECASTING THE VOLATILITY OF AGRICULTURAL COMMODITIES

Guida, Tony; Matringe, Olivier - EconWPA - 2005

This paper examines the forecasting performance of GARCH’s models used with agricultural commodities data. We compare different possible sources of forecasting improvement, using various statistical distributions and models. We have chosen to confine our analysis on four indices which are the...

Persistent link: https://www.econbiz.de/10005134650

Consistent high-precision volatility from high-frequency data

Corsi, Fulvio; Zumbach, Gilles; Müller, Ulrich; … - EconWPA - 2004

Estimates of daily volatility are investigated. Realized volatility can be computed from returns observed over time … intervals of different sizes. For simple statistical reasons, volatility estimators based on high-frequency returns have been … volatility bias. On the basis of a simple theoretical model for foreign exchange data, the incoherent term can be filtered away …

Persistent link: https://www.econbiz.de/10005134661

Introduction to Market Microstructure

EKINCI, Cumhur - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005134945