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Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership
Ehling, Paul - Econometric Society - 2004
In this article we construct a model in which agents exhibit preference for ownership with respect to a durable (house). Ownership is modeled as a continuous function of debt service normalized by the price of the house. We study the utility optimization problem of an investor not endowed with...
Persistent link: https://www.econbiz.de/10005328956
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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
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A Bayesian semiparametric approach to pricing the S&P 500 index options
Kacperczyk, Marcin; Damien, Paul; Walker, Stephen - Econometric Society - 2004
Several studies incorporating estimated volatilities into option pricing formulas have appeared in the literature … observed asset prices are allowed, leading to lower pricing errors in out-of-sample predictions; that is, significant … maturity does not exceed 40 days; it is for this subset of options that the pricing errors from other approaches are …
Persistent link: https://www.econbiz.de/10005063606