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Land Investment by Japanese Firms during and after the Bubble Period
Tachibana, Towa; Sekine; Toshitaka - Econometric Society - 2004
This paper investigates (i) what has determined the land investment behavior of Japanese firms since the latter half of the 1980s; and (ii) how the current market prices of their land assets diverge from their shadow prices (marginal values of land investment). To do so, we estimate nonlinear...
Persistent link: https://www.econbiz.de/10005342302
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A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns
Saikkonen, Pentti; Lanne, Markku - Econometric Society - 2004
In this paper we consider a GARCH-in-Mean (GARCH-M) model based on the so-called z distribution. This distribution is capable of modeling moderate skewness and kurtosis typically encountered in financial return series, and the need to allow for skewness can be readily tested. We apply the new...
Persistent link: https://www.econbiz.de/10005342207
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Estimation of Credit and Default Spreads: An Application to CDO Valuation
Noh, Jaesun - Econometric Society - 2004
Many securities are, to a certain extent, subject to credit risk in one way or another. Both the financial institutions and regulators are keen to have their credit risk exposures well managed. In order to fulfill their needs, the market for credit derivatives has become one of the fast growing...
Persistent link: https://www.econbiz.de/10005342295
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Microstructure noise, realized volatility, and optimal sampling
Russell, Jeffrey R.; Bandi, Federico M. - Econometric Society - 2004
Recorded prices are known to diverge from their "efficient" values due to the presence of market microstructure contaminations. The microstructure noise creates a dichotomy in the model-free estimation of integrated volatility. While it is theoretically necessary to sum squared returns that are...
Persistent link: https://www.econbiz.de/10005129773
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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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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
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Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)
Ait-Sahalia, Yacine - Econometric Society - 2004
This paper examines the estimation of parameters of a discretely sampled Markov process whose continuous-time sample paths are generated by a continuous Brownian term and a stochastic jump term, a realistic setting for many financial asset prices. In discretely sampled data, every change in the...
Persistent link: https://www.econbiz.de/10005699685
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Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
Distaso, Walter; Awartani, Basel; Corradi, Valentina - Econometric Society - 2004
It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...
Persistent link: https://www.econbiz.de/10005702555
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Testing and Modelling Market Microstructure Effects with an Application to the Dow Jones Industrial Average
Awartani, Basel; Corradi, Valentina - Econometric Society - 2004
It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...
Persistent link: https://www.econbiz.de/10005702617
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Learning the CAPM through Bubbles
Kedar-Levy, Haim - Econometric Society - 2004
Bubbles are generally considered the outcome of investor irrationality or informational asymmetry, both objectionable … prices make a lognormal price process that nests the classic CAPM with a potential for endogenous bubbles through learning … might burst to bubbles or decline to near-zero, “pink-sheet†valuations. When the technology shifts phase to generate …
Persistent link: https://www.econbiz.de/10005702759