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Yang, J-H Steffi - Econometric Society - 2004

I develop a Markov model of samrt money chasing past winning funds while taking into account associated costs. The model also allows market capital entry and exit. The steady-state capital allocations re derived using constant transition probabilities. The results sugget that down side risk is...

Persistent link: https://www.econbiz.de/10005086415

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

Liquidity Premia in Dynamic Bargaining Markets

Weill, Pierre-Olivier - Econometric Society - 2004

risk premia and focuses exclusively on liquidity. A float-adjusted return model (FARM) is derived, explaining the pricing …

Persistent link: https://www.econbiz.de/10005063574

Stochastic Volatility, Mean Drift, and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvature

Lund, Jesper; Andersen, Torben G.; Benzoni, Luca - Econometric Society - 2004

tractable for asset pricing applications. We extend classical specifications within and outside of the affine class to multi … dynamics that explain the inadequate performance of nested models. Finally, we explore the bond pricing implications and …

Persistent link: https://www.econbiz.de/10005063579

Media Frenzies in Markets for Financial Information

Veldkamp, Laura - Econometric Society - 2004

Promising emerging equity markets often witness investment herds and frenzies, accompanied by an abundance of media coverage. Complementarity in information acquisition can explain these anomalies. Because information has a high fixed cost of production, its equilibrium price is low when...

Persistent link: https://www.econbiz.de/10005063589

Consistency conditions for affine term structure models

Levendorskii, Sergei - Econometric Society - 2004

Affine term structure models are widely applied for pricing of bonds and interest rate derivatives but the consistency … bounded from below, which excludes many classes used in applications. Second, the solution to the bond pricing problem must be …

Persistent link: https://www.econbiz.de/10005063599

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

Search and Endogenous Concentration of Liquidity in Asset Markets

Vayanos, Dmitrios - Econometric Society - 2004

In this paper, we develop a search-based model of asset trading. We assume that investors differ in their horizons, and can invest in two identical assets. The asset markets are partially segmented: investors can search in only one market, but can decide which one. We show that there exist a...

Persistent link: https://www.econbiz.de/10005063610

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

On Leverage in a Stochastic Volatility Model

Yu, Jun - Econometric Society - 2004

This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...

Persistent link: https://www.econbiz.de/10005063753