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Measuring Asset Values for Cash Settlement in Derivative Markets : Hedonic Repeated Measures indices and Perpetual Futures

Shiller, Robert J. - 1993

, cash-settled based on economic indices. The first proposal concerns index number construction: indices based on infrequent … measurements of nonstandardized items may control for quality change by using a hedonic repeated measures method, an index number … settle every day in terms of both the change in the futures price and the dividend or rent index for that day …

Persistent link: https://www.econbiz.de/10012474332

Small Sample Properties of GMM for Business Cycle Analysis

Christiano, Lawrence J. - 1995

We investigate, by Monte Carlo methods, the finite sample properties of GMM procedures for conducting inference about statistics that are of interest in the business cycle literature. These statistics include the second moments of data filtered using the first difference and Hodrick-Prescott...

Persistent link: https://www.econbiz.de/10012473843

Spurious Trend and Cycle in the State Space Decomposition of a Time Series with a Unit Root

Nelson, Charles R. - 1987

Recent research has proposed the state space (88) framework for decomposition of GNP and other economic time series into trend and cycle components, using the Kalman filter. This paper reviews the empirical evidence and suggests that the resulting decomposition may be spurious, just as...

Persistent link: https://www.econbiz.de/10012476643

Implications of Security Market Data for Models of Dynamic Economies

Hansen, Lars Peter - 1990

We show how to use security market data to restrict the admissible region for means and standard deviations of intertemporal marginal rates of substitution (IMRS's) of consumers. Our approach is (i) nonparametric and applies to a rich class of models of dynamic economies; (ii) characterizes the...

Persistent link: https://www.econbiz.de/10012475688

Arbitrage and Mean-Variance Analysis on Large Asset Markets

Chamberlain, Gary - 1981

We examine the implications of arbitrage in a market with many assets. The absence of arbitrage opportunities implies that the linear functionals that give the mean and cost of a portfolio are continuous; hence there exist unique portfolios that represent these functionals. The mean variance...

Persistent link: https://www.econbiz.de/10012478411