Similar Search Results

The Robustness of the CAPM - A Computational Approach

Herings, P.J.J.; Kubler, F. - Tilburg University, Center for Economic Research - 1999

In this paper we argue that in realistically calibrated two period general equilibrium models with incomplete markets CAPM-pricing provides a good benchmark for equilibrium prices even when agents are not mean-variance optimizers and returns are not normally distributed. We numerically...

Persistent link: https://www.econbiz.de/10011092773

Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, B. - Tilburg University, Center for Economic Research - 2011

consumption growth process. The hidden states di¤er both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …

Persistent link: https://www.econbiz.de/10011090768

Volatility Spillover Effects in European Equity Markets

Baele, Lieven - Tilburg University, Center for Economic Research - 2003

This paper quantifies the magnitude and time-varying nature of volatility spillovers from the aggregate European (EU … volatility. …

Persistent link: https://www.econbiz.de/10011091647

Do Macroeconomic Announcements Cause Asymmetric Volatility

de Goeij, Peter; Marquering, W. - Tilburg University, Center for Economic Research - 2003

Persistent link: https://www.econbiz.de/10011091651

Experimental Research On Asset Pricing

Noussair, Charles; Tucker, S. - Tilburg University, Center for Economic Research - 2013

Abstract This paper selectively surveys some of the more prominent laboratory experimental studies on asset market behavior. The strands of literature considered are market microstructure, pari-mutuel betting markets, characteristics of participants, the effect of information release, and...

Persistent link: https://www.econbiz.de/10011090526

Grazing the Commons : Global Carbon Emissions Forever?

Melenberg, Bertrand; Vollebergh, H.R.J.; Dijkgraaf, E. - Tilburg University, Center for Economic Research - 2011

This paper presents the results from our investigation of the per-capita, long- term relation between carbon dioxide emissions and gross domestic product (GDP) for the world, obtained with the use of a new, exible estimator. Consistent with simple economic growth models, we find that regional,...

Persistent link: https://www.econbiz.de/10011092006

Climate Policy and the Optimal Extraction of High- and Low-Carbon Fossil Fuels

Smulders, Sjak; van der Werf, E.H. - Tilburg University, Center for Economic Research - 2005

We study how restricting CO2 emissions affcts resource prices and depletion over time.We use a Hotelling-style model with two nonrenewable fossil fuels that differ in their carbon content (e.g. coal and natural gas) and that are imperfect substitutes in final good production.We study both an...

Persistent link: https://www.econbiz.de/10011091605

Local Asymptotic Normality and Efficient Estimation for inar (P) Models

Drost, Feike C.; Werker, Bas J.M.; van den Akker, R. - Tilburg University, Center for Economic Research - 2006

Integer-valued autoregressive (INAR) processes have been introduced to model nonnegative integervalued phenomena that evolve in time.The distribution of an INAR(p) process is determined by two parameters: a vector of survival probabilities and a probability distribution on the nonnegative...

Persistent link: https://www.econbiz.de/10011090285

Inverse Probability Weighted Generalised Empirical Likelihood Estimators : Firm Size and R&D Revisited

Inkmann, J. - Tilburg University, Center for Economic Research - 2005

The inverse probability weighted Generalised Empirical Likelihood (IPW-GEL) estimator is proposed for the estimation of the parameters of a vector of possibly non-linear unconditional moment functions in the presence of conditionally independent sample selection or attrition.The estimator is...

Persistent link: https://www.econbiz.de/10011090314

Estimation of Extreme Depth-Based Quantile Regions

Einmahl, John; He, Y. - Tilburg University, Center for Economic Research - 2014

Consider the extreme quantile region, induced by the halfspace depth function HD, of the form Q = fx 2 Rd : HD(x; P) g, such that PQ = p for a given, very small p 0. This region can hardly be estimated through a fully nonparametric procedure since the sample halfspace depth is 0 outside the...

Persistent link: https://www.econbiz.de/10011090341