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Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes.

Rindisbacher, Marcel; Detemple, Jérôme; Garcia, René - Econometric Society - 2004

This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. Two types of estimators are examined. The first one is based on the Euler scheme applied to the original processes; the second applies the Euler scheme to a variance-stabilizing transformation of the...

Persistent link: https://www.econbiz.de/10005329028

Regime Switching for Dynamic Correlations

Pelletier, Denis - Econometric Society - 2004

We propose a new model for the variance between multiple time series, the Regime Switching Dynamic Correlation. We decompose the covariances into correlations and standard deviations and the correlation matrix follow a regime switching model; it is constant within a regime but different across...

Persistent link: https://www.econbiz.de/10005342253

Optimal Rules under Adjustment Cost and Infrequent Information

Garcia, Rene; Bonomo, Marco - Econometric Society - 2004

A large number of microeconomic decision variables such as investments, prices, inventories or employment are characterized by intermittent large adjustments. The behavior of those variables has been often modeled as following state-dependent rules. The optimality of such state-dependent rules...

Persistent link: https://www.econbiz.de/10005699605

COINTEGRATION AND WAVELETS: AN EMPIRICAL ANALYSIS OF THE RELATIONSHIP BETWEEN MONEY AND OUTPUT IN PERU

Lahura, Erick - Econometric Society - 2004

of series by timescales obtained using wavelets, following Ramsey and Lampart (1998). Specifically, we propose the … includes different timescale details obtained using wavelets; this result could be considered as an alternative way to …

Persistent link: https://www.econbiz.de/10005328904

How Can We Define the Long Memory Concept? An Econometric Survey

Guegan, Dominique - Econometric Society - 2004

The possibility of confusing long memory behavior with structural changes need to specify what kind of long memory behavior is concerned in literature and applications. One attraction of long memory models is that they imply different long run predictions and effects of shocks to conventional...

Persistent link: https://www.econbiz.de/10005063626

Bagging Binary Predictors for Time Series

Yang, Yang; Lee, Tae-Hwy - Econometric Society - 2004

Bootstrap aggregating or Bagging, introduced by Breiman (1996a), has been proved to be effective to improve on unstable forecast. Theoretical and empirical works using classification, regression trees, variable selection in linear and non-linear regression have shown that bagging can generate...

Persistent link: https://www.econbiz.de/10005342326

Homeownership as a Constraint on Asset Allocation

Cauley, Stephen; Pavlov, Andrey - Econometric Society - 2004

While home ownershipt provides a great deal of personal and social benefits, it poses a substantial constraint on individuals' asset allocation.

Persistent link: https://www.econbiz.de/10005328930

Jumps in Rank and Expected Returns. Introducing Varying Cross-sectional Risk

Mishra, Santosh; Gonzalez-Rivera, Gloria; Lee, Tae-Hwy - Econometric Society - 2004

Decision theorists claim that an ordinal measure of risk may be sufficient for an agent to make a rational choice under uncertainty. We propose a measure of financial risk, namely the Varying Cross-sectional Risk (VCR), that is based on a ranking of returns. VCR is defined as the probability of...

Persistent link: https://www.econbiz.de/10005328940

Are the directions of stock price changes predictable? A generalized cross-spectral approach

Chung, Jaehun; Hong, Yongmiao - Econometric Society - 2004

direction of future changes is predictable using the direction, level, volatility, skewness, and kurtosis of past changes. An … excess stock returns with any threshold, and the volatility, skewness and kurtosis of past excess stock returns can be used …-known strong volatility clustering together with weak serial dependence in mean cannot completely explain all documented …

Persistent link: https://www.econbiz.de/10005328959

Homeownership as a Constraint on Asset Allocation

Cauley, Stephen; Pavlov, Andrey - Econometric Society - 2004

While home ownership provides a great deal of personal and social benefits, it poses a substantial constraint on individuals' asset allocation.

Persistent link: https://www.econbiz.de/10005063587