Similar Search Results

Asymmetry of Information Flow Between Volatilities Across Time Scales

Gencay, Ramazan; Selcuk, Faruk - Econometric Society - 2004

volatility across different time scales. We call this property asymmetric vertical dependence. It is asymmetric in the sense that … a low volatility state (regime) at a long time horizon is most likely followed by low volatility states at shorter time … horizons. On the other hand, a high volatility state at long time horizons does not necessarily imply a high volatility state …

Persistent link: https://www.econbiz.de/10005329008

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

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

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

Inference of Structural Econometric Models: A Unified Approach

Li, Tong - Econometric Society - 2004

This paper considers the parametric inference of a wide range of structural econometric models. The class of models considered includes those with parameter-dependent support and those derived from game-theoretic models. Inference of those models has raised some important econometric issues....

Persistent link: https://www.econbiz.de/10005328964

Tests of Functional Form and Heteroscedasticity

Tse, Z. L. Yang Y. K. - Econometric Society - 2004

This paper considers tests of misspecification in a heteroscedastic transformation model. We derive Lagrange multiplier (LM) statistics for (i) testing functional form and heteroscedasticity jointly, (ii) testing functional form in the presence of heteroscedasticity, and (iii) testing...

Persistent link: https://www.econbiz.de/10005342139

Unpredictability and the Foundations of Economic Forecasting

Hendry, David F. - Econometric Society - 2004

We revisit the concept of unpredictability to explore its implications for forecasting strategies in a non-stationary world subject to structural breaks, where model and mechanism differ. Six aspects of the role of unpredictability are distinguished, compounding the four additional mistakes most...

Persistent link: https://www.econbiz.de/10005063638

Tests of Functional Form and Heteroscedasticity

Tse, Y. K.; Yang, Z. L. - Econometric Society - 2004

Persistent link: https://www.econbiz.de/10005702706

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

Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?

Zhao, Feng; Jarrow, Robert; Li, Haitao - Econometric Society - 2004

volatility smile in cap prices. We find that Black (1976) implied volatilities exhibit an asymmetric smile (sometimes called a … sneer) with a stronger skew for in-the-money caps than out-of-the-money caps. The volatility smile is time varying and is … volatility or upward jumps. However, this model still has a bias for short- and medium-term caps. In addition, it appears that …

Persistent link: https://www.econbiz.de/10005328999