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Asset Pricing, Habit Memory, and the Labor Market
Jaccard, Ivan - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This study finds that a model with internal habit memory allowsto simultaneously explain a series of business cycle and asset pricing puzzles. Compared to the literature, the equity premium puzzle can be resolved in a model with endogenous labor, without giving rise to excessive risk free rate...
Persistent link: https://www.econbiz.de/10005858035
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Strategic Asset Allocation, Asset Price Dynamics, and the Business Cycle
Jaccard, Ivan - Institut für Schweizerisches Bankwesen <Zürich> - 2007
The main contribution of this work is to provide a dynamic general equilibrium model of asset allocation, allowing to reconcile economic theory with several puzzling contradictions recently pointed out in the literature: (i) the asset allocation puzzle, (ii) the observed time-variation in...
Persistent link: https://www.econbiz.de/10005858061
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Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias
Eric Jondeau - Institut für Schweizerisches Bankwesen <Zürich> - 2008
) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process … when the individual persistence parameters are drawn from the same (unknown) distribution. Assuming heterogeneity across …, based on nonlinear least squares. A simulation study reveals that this aggregation-corrected estimator performs very well …
Persistent link: https://www.econbiz.de/10005857736
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CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation
Broda, Simon A.; Paolella, Marc S. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
The estimation of multivariate GARCH models remains a challenging task, even in modern computer environments. This manuscript shows how Independent Component Analysiscan be used to estimate the Generalized Orthogonal GARCH model in a fraction of the time otherwise required. The proposed method...
Persistent link: https://www.econbiz.de/10005857739
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Nonparametric instrumental variable estimation of quantile structural effects
Chernozhukov, V.; Gagliardini, P.; Scaillet, O. - Institut für Schweizerisches Bankwesen <Zürich> - 2008
We study Tikhonov Regularized estimation of quantile structural effects implied by a nonseparable model. The nonparametric instrumental variable estimator is based on a minimum distance principle. We show that the minimum distance problem without regularization is locally ill-posed, and consider...
Persistent link: https://www.econbiz.de/10005857742
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Using implied probabilities to improve estimation in unconditional moment models: Re-assessing the New Keynesian Phillips Curve
Pelgrin, Florian; Guay, Alain - Institut für Schweizerisches Bankwesen <Zürich> - 2007
In this paper, we investigate the information content of implied probabilities (Back and Brown, 1993) to improve estimation in unconditional moment conditions models. We propose and evaluate two 3-step euclidian empirical likelihood estimators and their bias-correction versions for weakly...
Persistent link: https://www.econbiz.de/10005857757
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Robust Mean-Variance Portfolio Selection
Perret-Gentil, Cédric; Victoria-Freser, Maria-Pia - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial...
Persistent link: https://www.econbiz.de/10005858020
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fficient Importance Sampling For ML Estimation of SCD Models
Bauwens, Luc; Galli, Fausto - Institut für Schweizerisches Bankwesen <Zürich> - 2007
The evaluation of the likelihood function of the stochastic conditional duration model requires to compute an integral that has the dimension of the sample size. We apply the efficient importance sampling method for computing this integral. We compare EIS-based ML estimation with QML estimation...
Persistent link: https://www.econbiz.de/10005858050
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Consistency of Asymmetric Kernel DensityEstimators and Smoothed Histograms withApplication to Income Data
Bouezmarni, T.; Scaillet, O. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
We consider asymmetric kernel density estimators and smoothed histogramswhen the unknown probability density function f is defined on [0, +∞). Uniform weak consistency on each compact set in [0, +∞) is proved for these estimators when "f" is continuous on its support. Weak convergence in L...
Persistent link: https://www.econbiz.de/10005858092
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A general multivariate threshold GARCH model with dynamic conditional correlations
Audrino, Francesco; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich> - 2007
We propose a new multivariate GARCH model with Dynamic Conditional Correlations that extends previous models by admitting multivariate thresholds in conditional volatilitiesand correlations. The model estimation is feasible in large dimensions and the positive definiteness of the conditional...
Persistent link: https://www.econbiz.de/10005858198