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Commodity derivatives pricing with inventory effects

Bach, Christian; Dziubinski, Matt P. - School of Economics and Management, University of Aarhus - 2012

We introduce tractable models for commodity derivatives pricing with inventory and volatility effects, and illustrate with applications to the oil market. We contribute to the existing literature in several respects. First, whereas the previous literature uses futures data for investigating the...

Persistent link: https://www.econbiz.de/10009652368

Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2008

We extend the VAR based intertemporal asset allocation approach from Campbell et al. (2003) to the case where the VAR parameter estimates are adjusted for small-sample bias. We apply the analytical bias formula from Pope (1990) using both Campbell et al.'s dataset, and an extended dataset with...

Persistent link: https://www.econbiz.de/10005440049

Intertemporal Asset Allocation with Habit Formation in Preferences: An Approximate Analytical Solution

Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2008

an infinitely-lived investor with power utility defined over the difference between consumption and an external habit …. The investor is assumed to have access to two tradable assets: a risk free asset with constant return and a risky asset … in the investor's habit level. In an empirical application, we calibrate the model to U.S. data and show that habit …

Persistent link: https://www.econbiz.de/10005114115

Predictable return distributions

Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2010

predicting future returns varies across the distribution. A portfolio study shows that an investor with power utility can obtain …

Persistent link: https://www.econbiz.de/10008462025

Housing market volatility in the OECD area: Evidence from VAR based return decompositions

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2013

Vector-autoregressive models are used to decompose housing returns in 18 OECD countries into cash ?ow (rent) news and discount rate (return) news. Only for two countries - Germany and Ireland - do changing expectations of future rents play a dominating role in explaining housing return...

Persistent link: https://www.econbiz.de/10010851224

Predicting returns and rent growth in the housing market using the rent-to-price ratio: Evidence from the OECD countries

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2012

We investigate the predictive power of the rent-to-price ratio for future real estate returns and rent growth in 18 OECD countries over the period 1970 to 2011. First, we document that in most countries returns are signi?cantly predictable by the rent-price ratio. An increase (decrease) in the...

Persistent link: https://www.econbiz.de/10010851254

The dividend-price ratio does predict dividend growth: International evidence

Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2009

Unpredictable dividend growth by the dividend-price ratio is considered a 'stylized fact' in post war US data. Using long-term data, covering more than 80 years from the US and three European countries, we revisit this stylized fact, and we also report results on return predictability. We find...

Persistent link: https://www.econbiz.de/10005037431

Pitfalls in VAR based return decompositions: A clarification

Engsted, Tom; Pedersen, Thomas Q.; Tanggaard, Carsten - School of Economics and Management, University of Aarhus - 2010

Based on Chen and Zhao's (2009) criticism of VAR based return decompositions, we explain in detail the various limitations and pitfalls involved in such decompositions. First, we show that Chen and Zhao's interpretation of their excess bond return decomposition is wrong: the residual component...

Persistent link: https://www.econbiz.de/10008602580

Option valuation with the simplified component GARCH model

Dziubinski, Matt P. - School of Economics and Management, University of Aarhus - 2011

We introduce the Simplified Component GARCH (SC-GARCH) option pricing model, show and discuss sufficient conditions for non-negativity of the conditional variance, apply it to low-frequency and high-frequency financial data, and consider the option valuation, comparing the model performance with...

Persistent link: https://www.econbiz.de/10008854105

Explosive bubbles in house prices? Evidence from the OECD countries

Engsted, Tom; Hviid, Simon J.; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2015

We conduct an econometric analysis of bubbles in housing markets in the OECD area, using quarterly OECD data for 18 countries from 1970 to 2013. We pay special attention to the explosive nature of bubbles and use econometric methods that explicitly allow for explosiveness. First, we apply the...

Persistent link: https://www.econbiz.de/10011118616