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Linear regression using both temporally aggregated and temporally disaggregated data: Revisited

Qian, Hang - Volkswirtschaftliche Fakultät, … - 2010

This paper discusses regression models with aggregated covariate data. Reparameterized likelihood function is found to be separable when one endogenous variable corresponds to one instrument. In that case, the full-information maximum likelihood estimator has an analytic form, and thus...

Persistent link: https://www.econbiz.de/10009203612

Assessing the Impacts of Non-Ricardian Households in an Estimated New Keynesian DSGE Model

Marto, Ricardo - Volkswirtschaftliche Fakultät, … - 2013

Using Bayesian maximum likelihood and data for Portugal, I estimate a New Keynesian DSGE model allowing for the presence of non-Ricardian households and test the stability of the model's prediction when the fraction of liquidity-constrained households changes. In particular, I assess the impacts...

Persistent link: https://www.econbiz.de/10011111995

Posterior consistency of nonparametric conditional moment restricted models

Liao, Yuan; Jiang, Wenxin - Volkswirtschaftliche Fakultät, … - 2011

This paper addresses the estimation of the nonparametric conditional moment restricted model that involves an infinite-dimensional parameter g0. We estimate it in a quasi-Bayesian way, based on the limited information likelihood, and investigate the impact of three types of priors on the...

Persistent link: https://www.econbiz.de/10011113752

Efficient Bayesian estimation and combination of GARCH-type models

Ardia, David; Hoogerheide, Lennart F. - Volkswirtschaftliche Fakultät, … - 2010

This chapter proposes an up-to-date review of estimation strategies available for the Bayesian inference of GARCH-type models. The emphasis is put on a novel efficient procedure named AdMitIS. The methodology automatically constructs a mixture of Student-t distributions as an approximation to...

Persistent link: https://www.econbiz.de/10008498470

Forecasting economy with Bayesian autoregressive distributed lag model: choosing optimal prior in economic downturn

Bušs, Ginters - Volkswirtschaftliche Fakultät, … - 2009

Bayesian inference requires an analyst to set priors. Setting the right prior is crucial for precise forecasts. This paper analyzes how optimal prior changes when an economy is hit by a recession. For this task, an autoregressive distributed lag (ADL) model is chosen. The results show that a...

Persistent link: https://www.econbiz.de/10005103392

Pension Funds under Investments Constraints: An Assessment of the Opportunity Cost to the Greek Social Security System

Milonas, Nikolaos; T; Papachristou, George; Roupas, Theodor - Volkswirtschaftliche Fakultät, … - 2010

In this paper we study the opportunity loss of the Greek social security system in terms of risk and return, caused by the inflexible investment constraints under which Greek pension funds operated in the period 1958-2000. Using data on pension fund reserves as well as on money and capital...

Persistent link: https://www.econbiz.de/10009647393

A new Model for Stock Price Movements

Venier, Guido - Volkswirtschaftliche Fakultät, … - 2007

A new alternative diffusion model for asset price movements is presented. In contrast to the popular approach of Brownian motion it proposes deterministic diffusion for the modelling of stock price movements. These diffusion processes are a new area of physical research and can be created by the...

Persistent link: https://www.econbiz.de/10005836494

Multiscale Systematic Risk: An Application on ISE-30

Cifter, Atilla; Ozun, Alper - Volkswirtschaftliche Fakultät, … - 2007

In this study, variance changing to the scale and multi-scale Capital Asset Pricing Model (CAPM) is tested by Wavelets … a general risk indicator, and to multi-scale CAPM portfolio theory as a systematic risk indicator. In the study …). In multi-scale CAPM, it is determined that systematic risk of all stocks is changed to frequency (scale) and increased at …

Persistent link: https://www.econbiz.de/10005837029

Herd behavior towards the market index: evidence from Romanian stock exchange

Pop, Raluca Elena - Volkswirtschaftliche Fakultät, … - 2012

This paper uses the cross-sectional variance of the betas from the CAPM model to study herd behavior towards market …

Persistent link: https://www.econbiz.de/10011258101

Algunos conceptos sobre la evaluación de portafolios de inversión

Ayala, Alfonso - Volkswirtschaftliche Fakultät, … - 2011

, we show the fundamentals of conditional evaluation that can provide us additional elements in comparison with CAPM …

Persistent link: https://www.econbiz.de/10011258193