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World equity premium based risk aversion estimates
Pozzi, Lorenzo; Vries, Casper G. de; Zenhorst, J. - 2010
Persistent link: https://www.econbiz.de/10003934133
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World equity premium based risk aversion estimates
Pozzi, Lorenzo; Vries, Casper G. de; Zenhorst, J. - 2010
CAPM under power utility is excessively high. Moreover, estimates in the literature vary considerably across countries. We …
Persistent link: https://www.econbiz.de/10011379612
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Booms, busts and behavioural heterogeneity in stock prices
Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015
We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...
Persistent link: https://www.econbiz.de/10011301214
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Behavioral heterogeneity in stock prices
Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005
annual US stock price data from 1871 until 2003. The estimation results support the existence of two expectation regimes. One …
Persistent link: https://www.econbiz.de/10011343265
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The tax treatment of interest expenditures of multinational enterprises
Ossokina, Ioulia V.; Vollebergh, Herman R. J. - 2000
Persistent link: https://www.econbiz.de/10001483861
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A Bayesian analysis of unobserved component models using Ox
Bos, Charles S. - 2011
Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation.In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …
Persistent link: https://www.econbiz.de/10011386121
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Outlier robust GMM estimation of leverage determinants
Lucas, André; Dijk, Ronald van; Kloek, Teun - 1994
Persistent link: https://www.econbiz.de/10000151692
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Changing returns to education in Portugal during the 1980s and early 1990s : OLS and quantile regression estimators
Hartog, Joop; Pereira, Pedro Telhado; Vieira, José … - 1999
Persistent link: https://www.econbiz.de/10000168258
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Nonstationarity in GARCH models : a Bayesian analysis
Kleibergen, Frank; Dijk, Herman K. van - 1993
Persistent link: https://www.econbiz.de/10000122477
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Beating the random walk : a performance assessment of long-term interest rate forecasts
Butter, Frank A. G. den; Jansen, Pieter W. - 2008
Persistent link: https://www.econbiz.de/10003787153