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Maximum likelihood estimation of the equity premium
Wachter, Jessica A.; Avdis, Efstathios - National Bureau of Economic Research (NBER) - 2013
The equity premium, namely the expected return on the aggregate stock market less the government bill rate, is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the...
Persistent link: https://www.econbiz.de/10010796711
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The Joint Cross Section of Stocks and Options
Ang, Andrew; An, Byeong-Je; Bali, Turan G.; Cakici, Nusret - National Bureau of Economic Research (NBER) - 2013
volatility over the next month, but with decreasing realized volatility. These predictability patterns are consistent with …
Persistent link: https://www.econbiz.de/10010951430
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Hybrid Tail Risk and Expected Stock Returns: When Does the Tail Wag the Dog?
Bali, Turan G.; Cakici, Nusret; Whitelaw, Robert F. - National Bureau of Economic Research (NBER) - 2013
We introduce a new, hybrid measure of stock return tail covariance risk, motivated by the under-diversified portfolio holdings of individual investors, and investigate its cross-sectional predictive power. Our key innovation is that this covariance is measured across the left tail states of the...
Persistent link: https://www.econbiz.de/10010692203
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. . . and the Cross-Section of Expected Returns
Harvey, Campbell; Liu, Yan; Zhu, Heqing - National Bureau of Economic Research (NBER) - 2014
tests in 1967 to today. Our new method allows for correlation among the tests as well as missing data. We also project …
Persistent link: https://www.econbiz.de/10010950737
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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012
the spot volatility extracted from the options and the one obtained nonparametrically from high-frequency data on the … underlying asset. We further construct new formal tests of the model fit for specific regions of the volatility surface and for … index options we extend the popular double-jump stochastic volatility model to allow for time-varying jump risk premia and a …
Persistent link: https://www.econbiz.de/10011271459
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Identifying Long-Run Risks: A Bayesian Mixed-Frequency Approach
Schorfheide, Frank; Yaron, Amir; Song, Dongho - National Bureau of Economic Research (NBER) - 2014
multiple stochastic volatility processes. The estimation is based on annual consumption data from 1929 to 1959, monthly … predictable component and use high-frequency data, whenever available, to efficiently identify the volatility processes. Our … are omitted from the estimation). Three independent volatility processes capture different frequency dynamics; our …
Persistent link: https://www.econbiz.de/10010821674
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Wall Street vs. Main Street: An Evaluation of Probabilities
Lumsdaine, Robin L.; Loon, Rogier J.D. Potter van - National Bureau of Economic Research (NBER) - 2013
This paper challenges recent conventional wisdom of a divide between Main Street (the average American consumer) and Wall Street (financial market participants). The views of survey respondents regarding the likelihood of stock index returns exceeding specific thresholds are compared to market...
Persistent link: https://www.econbiz.de/10010821972
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Systemic Risk and the Macroeconomy: An Empirical Evaluation
Giglio, Stefano; Kelly, Bryan T.; Pruitt, Seth - National Bureau of Economic Research (NBER) - 2015
This article evaluates a large collection of systemic risk measures based on their ability to predict macroeconomic downturns. We evaluate 19 measures of systemic risk in the US and Europe spanning several decades. We propose dimension reduction estimators for constructing systemic risk indexes...
Persistent link: https://www.econbiz.de/10011185009
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Factor Model Forecasts of Exchange Rates
Engel, Charles; Mark, Nelson; West, Kenneth D. - National Bureau of Economic Research (NBER) - 2012
serial correlation in the univariate exchange rate processes. We apply the technique to a panel of bilateral U.S. dollar …
Persistent link: https://www.econbiz.de/10011103524
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Fiscal Stability of High-Debt Nations under Volatile Economic Conditions
Hall, Robert E. - National Bureau of Economic Research (NBER) - 2013
Using a recursive empirical model of the real interest rate, GDP growth, and the primary government deficit in the U.S., I solve for the ergodic distribution of the debt/GDP ratio. If such a distribution exists, the government is satisfying its intertemporal budget constraint. One key finding is...
Persistent link: https://www.econbiz.de/10011240576