Similar Search Results

Prognoses for a Non-Predictable Discounted Commodity Price Process

Wright, Brian D.; Bobenrieth; Eugenio S. A. - Econometric Society - 2004

We consider the behavior of the price of a continuously stored commodity, for which discounted price is a non-constant martingale, and thus not-predictable. We prove that the discounted price realization is within any given neighborhood of zero, with any given probability less than 1, beyond a...

Persistent link: https://www.econbiz.de/10005699619

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 … models that are affine under both objective and risk-neutral probability measures, but is never used in financial … on affine yield models, our extended market price of risk specification also applies to any model in which Feller …

Persistent link: https://www.econbiz.de/10005328948

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

An Empirical Investigation of Habit-Based Asset Pricing Models

Ludvigson, Sydney C.; Chen, Xiaohong - Econometric Society - 2004

guidelines about the parametric functional relationship between the habit and aggregate consumption. This makes formal estimation …

Persistent link: https://www.econbiz.de/10005328992

Option pricing under NIG distribution: --- The empirical analysis of Nikkei 225 option ----

Maekawa, Koichi; Kawai, Ken-ichi - Econometric Society - 2004

It is well known that the distributions of assets returns have heavier tails than the Gaussian's. To capture such a distributional characteristic, the Generalized Hyperbolic(GH) distribution and its subclasses have been applied to assets returns as the distribution with heavier tails. GH...

Persistent link: https://www.econbiz.de/10005063756

Adaptive Learning and Inflation Dynamics in a Flexible Price Model

Santoro, Sergio - Econometric Society - 2004

In most of the recent macroeconomics literature, the sticky reaction of prices in response to changes in aggregate conditions has been modelled following the highly influential contribution of Calvo (1983). However, this approach has difficulties in accounting for some well-established stylized...

Persistent link: https://www.econbiz.de/10005342220

Persistence in Monetary Policy Models: Indexation, Habits and Learning with Long-Horizon Expectations

Milani, Fabio - Econometric Society - 2004

What brings persistence into the macroeconomy? This is one of the big unresolved issues in current macroeconomic theory. Economic models, in fact, typically struggle to imply levels of persistence comparable to those observed in the data. Most of the persistence is therefore introduced by highly...

Persistent link: https://www.econbiz.de/10005342244

Contracting with Risk Aversion and Subjective Beliefs Under Costly State Verification

Nielsen, Carsten Krabbe; Kurz, Mordecai - Econometric Society - 2004

We study the loan contracing problem of Gale and Hellwig (1985) under general assumptions of risk aversion and possibly … and show that (i) the contractual payoff in verification states varies by states in accord with risk aversion and …

Persistent link: https://www.econbiz.de/10005342338

The No Trade Principle in General Environments

Wong, Ngai-Ching; Ng, Man-Chung - Econometric Society - 2004

The no trade principle asserts that risk-neutral agents are not prepared to trade if and only if a common prior exists …

Persistent link: https://www.econbiz.de/10005342381

The Relation Between Macroeconomic Uncertainty And The Expected Performance Of the Economy

Sepulveda-Umanzor, Jean - Econometric Society - 2004

By using data from surveys of expectations, it is shown that macroeconomic uncertainty, measured by the standard deviation of the expected output growth, the expected unemployment rate, and the expected inflation rate, is negatively related to the expected performance of the economy, proxied by...

Persistent link: https://www.econbiz.de/10005328865

1
2
3
4
5
6
7
8
9
10
Next
Last