Narrow search
Showing 1 - 10 of 71
Cover Image
Market Structure and Schumpeterian Growth
Phillips, Kerk; Lambson, Val - Econometric Society - 2004
consider both Bertrand competition and collusion among successful innovators. Surprisingly, the industry demand for R&D inputs … does not depend on the number of firms in the R&D sector if Bertrand competition ensues following ties. In contrast, demand … for R&D inputs is higher if ties are expected to result in collusion. In general equilibrium, Bertrand competition leads …
Persistent link: https://www.econbiz.de/10005702694
Cover Image
Expiration Day Effect in Korean Stock Market: Wag the Dog?
Park, Chang-Gyun; Lim, Kyung-Mook - Econometric Society - 2004
Despite the great success of the derivatives market, several concerns were expressed regarding the additional volatility stemming from program trading during the expiration of derivatives. This paper examines the impact of the expiration of the KOSPI 200 index derivatives on cash market of Korea...
Persistent link: https://www.econbiz.de/10005702728
Cover Image
La demanda de dinero en Uruguay: 1980.1-2002.4
Bucacos, Elizabeth; Licandro, Gerardo - Econometric Society - 2004
The new monetary policy implemented in Uruguay in July 2002, rests on the existence of a stable relationship between the intermediate monetary aggregate and the price level, particularly during rough times, such as financial crises (1982-83; 2001-02). This paper analyzes the stability of...
Persistent link: https://www.econbiz.de/10005328890
Cover Image
Market Price of Risk Specifications for Affine Models: Theory and Evidence
Cheridito, Patrick; Filipovic, Damir - Econometric Society - 2004
We extend the standard specification of the market price of risk for affine yield models of the term structure of interest rates, and estimate several models using the extended specification. For most models, the extended specification fits US data better than standard specifications, often with...
Persistent link: https://www.econbiz.de/10005328948
Cover Image
Properties of Optimal Forecasts
Timmermann, Allan; Patton, Andrew J. - Econometric Society - 2004
Evaluation of forecast optimality in economics and finance has almost exclusively been conducted under the assumption of mean squared error loss. Under this loss function optimal forecasts should be unbiased and forecast errors should be serially uncorrelated at the single period horizon with...
Persistent link: https://www.econbiz.de/10005328966
Cover Image
Testing Asset Pricing Model with Coskweness
Urga, Giovanni; Adesi, Giovanni Barone; Gagliardini, Patrick - Econometric Society - 2004
In this paper we investigate portfolio coskewness using a quadratic market model as return generating process. It is shown that portfolios of small (large) firms have negative (positive) coskewness with market. An asset pricing model including coskewness is tested through the restrictions it...
Persistent link: https://www.econbiz.de/10005328981
Cover Image
An Empirical Investigation of Habit-Based Asset Pricing Models
Ludvigson, Sydney C.; Chen, Xiaohong - Econometric Society - 2004
A leading explanation of aggregate stock market behavior suggests that assets are priced as if there were a representative investor whose utility is a power function of the difference between aggregate consumption and a "habit" level, where the habit is some function of lagged and (possibly)...
Persistent link: https://www.econbiz.de/10005328992
Cover Image
Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions
Lee, Tae-Hwy; Hong, Yongmiao - Econometric Society - 2004
Under the squared error loss, the optimal forecast is the conditional mean, and the one-step forecast error is a martingale difference (MD). The one-step forecast error forms the conditional moment condition obtained from the loss derivative with respect to the forecast. Similarly, under a...
Persistent link: https://www.econbiz.de/10005329017
Cover Image
Sensitivity of OLS estimates against ARFIMA error process as small sample Test for long memory.
Banerjee, Anurag - Econometric Society - 2004
Recently there have been much discussion of the theory and applications of long memory processes. In this paper we consider the standard linear model y=X*b+u and assume that the variance covariance matrix of the errors being generated from an ARFIMA(0,d,0) model. Following Banerjee and Magnus...
Persistent link: https://www.econbiz.de/10005342176
Cover Image
Bagging Time Series Models
Kilian, Lutz; Inoue, Atsushi - Econometric Society - 2004
A common problem in out-of-sample prediction is that there are potentially many relevant predictors that individually have only weak explanatory power. We propose bootstrap aggregation of pre-test predictors (or bagging for short) as a means of constructing forecasts from multiple regression...
Persistent link: https://www.econbiz.de/10005342193