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An econometric analysis of emission trading allowances

Paolella, Marc S. (contributor); Taschini, Luca (contributor) - 2006

World power and gas markets have a natural relationship with global tradable carbon permits markets, including the U.S. Clean Air Act Amendments and the EU Emissions Trading Scheme, the latter officially launched in January 2005. Electric utilities operate their power plants based in part on the...

Persistent link: https://www.econbiz.de/10003394343

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

-t distribution. A general test for one dependence structure versus another via the profilelikelihood is described and …

Persistent link: https://www.econbiz.de/10009725481

Optimizing time-series forecasts for inflation and interest rates using simulation and model averaging

Jumah, Adusei; Kunst, Robert M. - 2008

Motivated by economic-theory concepts - the Fisher hypothesis and the theory of the term structure - we consider a small set of simple bivariate closed-loop time-series models for the prediction of price inflation and of long- and short-term interest rates. The set includes vector...

Persistent link: https://www.econbiz.de/10009735355

Time-varying risk premium in large cross-sectional equidity datasets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2011

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset...

Persistent link: https://www.econbiz.de/10009313026

Identification and critical time forecasting of real estate bubbles in the USA and Switzerland

Ardila, Diego; Sanadgol, Dorsa; Cauwels, Peter; … - 2014

We present a hybrid model for diagnosis and critical time forecasting of real estate bubbles. The model combines two elements: 1) the Log Periodic Power Law (LPPL) model to describe endogenous price dynamics originated from positive feedback loops between economic agents; and 2) a diffusion...

Persistent link: https://www.econbiz.de/10010411858

Estimating New-Keynesian Phillips curves : a full information maximum likelihood approach

Lindé, Jesper - 2005 - Revised version

The New-Keynesian Phillips curve has recently become an important ingredient in monetary policy models. However, using limited information methods, the empirical support for the New-Keynesian Phillips curve appear to be mixed. This paper argues, by means of Monte Carlo simulations with a simple...

Persistent link: https://www.econbiz.de/10011583620

Testing for the Lucas critique : a quantitative investigation

Lindé, Jesper - 2000

In this paper, I try to shed some new light on the puzzle why the Lucas critique, belived to be important by most economists, seems to have received very little empirical support. I use a real business cycle model to examine the properties of the super exogeneity test, which is used to detect...

Persistent link: https://www.econbiz.de/10011585378

Response speeds of direct and securitized real estate to shocks in the fundamentals

Oikarinen, Elias; Hoesli, Martin; Serrano, Camilo - 2010

We use sector level REIT and transaction-based direct real estate data for the U.S. to provide a clearer understanding of the dynamic relations between public and private real estate returns. We exclude leverage from REIT returns to make the REIT data more comparable with the direct market data....

Persistent link: https://www.econbiz.de/10008797757

Volatility spillovers, asymmetry and extreme events in securitized real estate returns

Hoesli, Martin; Reka, Kustrim - 2010

This paper analyzes the relationships between local and global securitized real estate markets, but also between securitized real estate and common stock markets. First, the volatility transmissions across markets are examined using an asymmetric t-BEKK (Baba-Engle-Kraft-Kroner) specification of...

Persistent link: https://www.econbiz.de/10008797759

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research … performance is much more closely related to the direct real estate market than to the general stock market. Consequently, REITs … relevance regarding the relationship between public and private markets in general, as the duality of the real estate markets …

Persistent link: https://www.econbiz.de/10009558452