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Time-varying disaster risk models: An empirical assessment of the Rietz-Barro hypothesis

Irarrazabal, Alfonso; Parra-Alvarez, Juan Carlos - School of Economics and Management, University of Aarhus - 2015

indicates that the overall fit of the model is adequate. However, we find that the amount of aggregate stock market volatility … experiment shows that while a higher elasticity of substitution helps to increase the aggregate stock market volatility and hence … premium and for the volatility of the government bond returns without compromising the ability of the price-dividend ratio to …

Persistent link: https://www.econbiz.de/10011158462

Correlation Dynamics and International Diversification Benefits

Christoffersen, Peter; Errunza, Vihang R.; Jacobs, Kris; … - School of Economics and Management, University of Aarhus - 2013

Forecasting the evolution of security co-movements is critical for asset pricing and portfolio allocation. Hence, we investigate patterns and trends in correlations over time using weekly returns for developed markets (DMs) and emerging markets (EMs) during the period 1973-2012. We show that it...

Persistent link: https://www.econbiz.de/10010851264

Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs

Qin, Zhenjiang - School of Economics and Management, University of Aarhus - 2012

In a framework of heterogeneous beliefs, I investigate a two-date consumption model with continuous trading over the interval [0; T], in which information on the aggregate consumption at time T is revealed by an Ornstein-Uhlenbeck Bridge. This information structure allows investors to speculate...

Persistent link: https://www.econbiz.de/10010851297

Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models

Kristensen, Dennis; Mele, Antonio - School of Economics and Management, University of Aarhus - 2009

methodology in a variety of contexts, including option pricing with stochastic volatility, volatility contracts and the term …

Persistent link: https://www.econbiz.de/10005787546

Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets

Andersen, Torben G.; Bollerslev, Tim; Diebold, Francis X.; … - School of Economics and Management, University of Aarhus - 2007

Using a unique high-frequency futures dataset, we characterize the response of U.S., German and British stock, bond and foreign exchange markets to real-time U.S. macroeconomic news. We find that news produces conditional mean jumps, hence high-frequency stock, bond and exchange rate dynamics...

Persistent link: https://www.econbiz.de/10005440071

Conservatism in Corporate Valuation

Bach, Christian - School of Economics and Management, University of Aarhus - 2011

of a large sample of stocks listed on NYSE, AMEX and NASDAQ. The model is different from the standard CAPM model in the … consumption rather than historical returns. I compare the pricing performance of the model with the standard CAPM based valuation … based on the results of the respective models. The CCAPM model performs substantially better than the CAPM based model when …

Persistent link: https://www.econbiz.de/10009293656

Forward-Looking Betas

Christoffersen, Peter; Jacobs, Kris; Vainberg, Gregory - School of Economics and Management, University of Aarhus - 2007

Few issues are more important for finance practice than the computation of market betas. Existing approaches compute market betas using historical data. While these approaches differ in terms of statistical sophistication and the modeling of the time-variation in the betas, they are all...

Persistent link: https://www.econbiz.de/10005440055

Financial Risk Measurement for Financial Risk Management

Andersen, Torben G.; Bollerslev, Tim; Christoffersen, … - School of Economics and Management, University of Aarhus - 2011

Current practice largely follows restrictive approaches to market risk measurement, such as historical simulation or RiskMetrics. In contrast, we propose exible methods that exploit recent developments in nancial econometrics and are likely to produce more accurate risk assessments, treating...

Persistent link: https://www.econbiz.de/10009371457

Forecasting with Option Implied Information

Christoffersen, Peter; Jacobs, Kris; Chang, Bo Young - School of Economics and Management, University of Aarhus - 2011

volatility, skewness, kurtosis, and density forecasting. More generally, we discuss how any forecasting object which is a twice …

Persistent link: https://www.econbiz.de/10009385753

Assessing Relative Volatility/Intermittency/Energy Dissipation

Barndorff-Nielsen, Ole E.; Pakkanen, Mikko S.; … - School of Economics and Management, University of Aarhus - 2013

We introduce the notion of relative volatility/intermittency and demonstrate how relative volatility statistics can be … used to estimate consistently the temporal variation of volatility/intermittency even when the data of interest are … Ito semimartingales and discuss how it can be used for inference on relative volatility/intermittency. …

Persistent link: https://www.econbiz.de/10010851213