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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
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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
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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
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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
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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
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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
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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
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Bridging Centrality and Extremity : Refining Empirical Data Depth using Extreme Value Statistics
Einmahl, John; Li, Jun; Liu, Regina - Tilburg University, Center for Economic Research - 2015
Abstract: Data depth measures the centrality of a point with respect to a given distribution or data cloud. It provides a natural center-outward ordering of multivariate data points and yields a systematic nonparametric multivariate analysis scheme. In particular, the halfspace depth is shown to...
Persistent link: https://www.econbiz.de/10011245988
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Mobile Money, Trade Deficit and Economic Development : Theory and Evidence
Beck, Thorsten; Uras, Burak R.; Pamuk, H.; Ramrattan, R. - Tilburg University, Center for Economic Research - 2015
Data depth measures the centrality of a point with respect to a given distribution or data cloud. It provides a natural center-outward ordering of multivariate data points and yields a systematic nonparametric multivariate analysis scheme. In particular, the halfspace depth is shown to have...
Persistent link: https://www.econbiz.de/10011245991
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A Future Market Reduces Bubbles but Allows Greater Profit for More Sophisticated Traders
Noussair, Charles; Tucker, S.; Xu, Yilong - Tilburg University, Center for Economic Research - 2014
We study the effect of the addition of a futures market, in which contracts maturing in the last period of the life of the asset can be traded. Our experiment has two treatments, one in which a spot market operates on its own, and a second treatment in which a spot and futures market are active...
Persistent link: https://www.econbiz.de/10011144459