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Alternative GMM methods for nonlinear panel data models
Breitung, Jörg; Lechner, Michael - 1998
Persistent link: https://www.econbiz.de/10009578574
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Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
In this paper we motivate, specify and estimate a model in which the intra-day volatilty process affects the inter-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first propose a GMM estimation procedure for...
Persistent link: https://www.econbiz.de/10009579173
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Should smart investors buy funds with high returns in the past?
Palomino, Frédéric; Uhlig, Harald - 2002
Newspapers and weekly magazines catering to the investing crowd often rank funds according to the returns generated in the past. Aside from satisfying sheer curiosity, these numbers are probably also the basis on which investors pick a fund to invest in. In this article, we fully characterize...
Persistent link: https://www.econbiz.de/10009621416
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Hedging the standard of living via cost of living index futures
Schulz, Rainer - 2000
People dislike inflation because inflation erodes the real value of future nominal income and wealth. Adjustment of future nominal values via a cost of living index is an appropriate way to handle the problem of real income risk. Nonetheless an important aspect needs more discussion: If markets...
Persistent link: https://www.econbiz.de/10009612030
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Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - 2001
We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...
Persistent link: https://www.econbiz.de/10009613599
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Simultaneous over- and underconfidence : evidence from experimental asset markets
Maciejovsky, Boris; Kirchler, Erich - 2001
In this paper individual overconfidence within the context of an experimental asset market is investigated. Overall, 72 participants traded one risky asset on six markets of 12 participants each. The results indicate that individuals were not generally overconfident. Moreover, overconfidence was...
Persistent link: https://www.econbiz.de/10009614297
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An equality test across nonparametric regressions
Lavergne, Pascal - 1998 - Rev.
A procedure for testing equality across nonparametric regressions is proposed. The procedure allows for any dimension of the explanatory variables and for any number of subsamples. We consider the case of random explanatory variables and allow the designs of the regressors and the number of...
Persistent link: https://www.econbiz.de/10009578576
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Higher order forward rate agreements and the smoothness of the term structure
Jaschke, Stefan R. - 1998
This paper proposes linear higher order conditions on the term structure that allow to compute valuation bounds for any deterministic cash stream. Starting from bounds on the forward rate curve and its derivatives, which are nonlinear in the discount factors, we derive linear conditions that are...
Persistent link: https://www.econbiz.de/10009579185
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Worry and the illusion of safety : evidence from a real-objects experiment
Schade, Christian D.; Kunreuther, Howard - 2002
We analyze the impact of an individual's tendency to worry on willingness to pay (WTP) for a protective measure. We report on the results of a controlled experiment with real objects at stake. Worry was measured with the Worry Domains Questionnaire, an instrument determining an individual's...
Persistent link: https://www.econbiz.de/10009621419
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Framing effects on asset markets : an experimental analysis
Kirchler, Erich; Maciejovsky, Boris; Weber, Martin - 2001
In this paper we investigate four hypotheses which are inconsistent with expected utility theory, but may well be … explained by prospect theory. It deals with framing, the non-linearity of subjective probabilities, the disposition effect, and …) found little correspondence between different experimental risk elicitation methods. -- Prospect Theory ; Framing …
Persistent link: https://www.econbiz.de/10009613618