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Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2014

Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which...

Persistent link: https://www.econbiz.de/10011272590

On the Invertibility of EGARCH(p,q)

Martinet, Guillaume Gaetan; McAleer, Michael - Tinbergen Instituut - 2015

Persistent link: https://www.econbiz.de/10011272596

Costless Delay in Negotiations

Herings, P. Jean-Jacques; Houba, Harold - Tinbergen Instituut - 2015

orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE … conditions for existence of stationary best responses additionally require either an equalizing condition or a minimality …

Persistent link: https://www.econbiz.de/10011255692

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - Tinbergen Instituut - 2014

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also...

Persistent link: https://www.econbiz.de/10011272605

Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

Cakmakli, Cem; Dijk, Dick van - Tinbergen Instituut - 2010

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Persistent link: https://www.econbiz.de/10011256330

Variable Selection and Functional Form Uncertainty in Cross-Country Growth Regressions

Salimans, Tim - Tinbergen Instituut - 2011

suggested by new growth theory, while addressing the variable selection problem by means of Bayesian model averaging …. Controlling for variable selection uncertainty, we confirm the evidence in favor of new growth theory presented in several earlier …

Persistent link: https://www.econbiz.de/10011256334

Valuation of Travel Time and TravelIer Information

Rietveld, Piet - Tinbergen Instituut - 2003

The value of travel time plays an important role in cost benefit analysis of infrastructureprojects. However, the issue of uncertainty on travel times and the implications this has forestimations of travel time values has received much less attention in the literature. In thispaper we compare...

Persistent link: https://www.econbiz.de/10011257109

Expected Utility and Catastrophic Risk

Ikefuji, Masako; Laeven, Roger; Magnus, Jan; Muris, Chris - Tinbergen Instituut - 2014

An expected utility based cost-benefit analysis is in general fragile to its distributional assumptions. We derive … necessary and sufficient conditions on the utility function of the expected utility model to avoid this. The conditions ensure … that expected (marginal) utility remains finite also under heavy-tailed distributional assumptions. Our results are context …

Persistent link: https://www.econbiz.de/10011261938

Adding Risks: Some General Results about Time Diversification

Lam, Kin; Zou, Liang - Tinbergen Instituut - 2000

.Specifically, any investor's maximal expected utility directlyincreases with n, as well as the investor's willingness toallocate more …

Persistent link: https://www.econbiz.de/10011255554

Risk Aversion and the Subjective Time Discount Rate: A Joint Approach

Praag, Bernard M.S. van; Booij, Adam S. - Tinbergen Instituut - 2003

of individual responses to six lottery questions. Wederive a simultaneous estimate of risk aversion γ and the time …

Persistent link: https://www.econbiz.de/10011255702