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Kolmogorov-Smirnov Tests for Distribution Function Similarity with Applications to Portfolios of Common Stock
Meyer, Jack; Rasche, Robert - 2021
If the elements of the choice set in a decision model involving randomness are not arbitrary, but restricted appropriately, an expected utility ordering of them can be represented by a mean standard deviation ranking function. These restrictions can apply to the form of, or can specify...
Persistent link: https://www.econbiz.de/10013239386
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Complementarity and Aggregate Implications of Assortative Matching : A Nonparametric Analysis
Graham, Bryan S. - 2010
, potentially complementary, input fixed. We introduce a class of such reallocations -- correlated matching rules -- that includes … the status quo allocation, a random allocation, and both the perfect positive and negative assortative matching …
Persistent link: https://www.econbiz.de/10012757581
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Beyond Cobb-Douglas : Flexibly Estimating Matching Functions with Unobserved Matching Efficiency
Lange, Fabian; Papageorgiou, Theodore - 2022
the empirical literature estimating the matching function, commonly used to map unemployment and vacancies into hires …. First, we show how to non-parametrically identify the matching function. Second, we estimate the matching function allowing … for unobserved matching efficacy, without imposing the usual independence assumption between matching efficiency and …
Persistent link: https://www.econbiz.de/10014099839
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Forecasts in a Slightly Misspecified Finite Order VAR
Müller, Ulrich K. - 2011
We propose a Bayesian procedure for exploiting small, possibly long-lag linear predictability in the innovations of a finite order autoregression. We model the innovations as having a log-spectral density that is a continuous mean-zero Gaussian process of order 1/√T. This local embedding makes...
Persistent link: https://www.econbiz.de/10013131235
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Fat Tails, Thin Tails, and Climate Change Policy
Pindyck, Robert S. - 2010
Climate policy is complicated by the considerable compounded uncertainties over the costs and benefits of abatement. We don't even know the probability distributions for future temperatures and impacts, making cost-benefit analysis based on expected values challenging to say the least. There are...
Persistent link: https://www.econbiz.de/10013138396
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A Sharper Ratio : A General Measure for Correctly Ranking Non-Normal Investment Risks
Smetters, Kent A. - 2013
While the Sharpe ratio is still the dominant measure for ranking risky assets, a substantial effort has been made over the past three decades to find a way to account for non-Normally distributed risks. This paper derives a generalized ranking measure which, under a regularity condition,...
Persistent link: https://www.econbiz.de/10013074912
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The Analytics of Investment, Q, and Cash Flow
Abel, Andrew B. - 2015
In this paper I analyze the relationships among investment, q, and cash flow in a tractable stochastic model in which marginal q and average q are identically equal. After analyzing the impact of changes in the distribution of the marginal operating profit of capital, I extend the model to...
Persistent link: https://www.econbiz.de/10013015553
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Skewed Wealth Distributions : Theory and Empirics
Benhabib, Jess - 2016
Invariably across a cross-section of countries and time periods, wealth distributions are skewed to the right displaying thick upper tails, that is, large and slowly declining top wealth shares. In this survey we categorize the theoretical studies on the distribution of wealth in terms of the...
Persistent link: https://www.econbiz.de/10013000515
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Options-Pricing Formula with Disaster Risk
Barro, Robert J. - 2016
A new options-pricing formula applies to far-out-of-the money put options on the overall stock market when disaster risk is the dominant force, the size distribution of disasters follows a power law, and the economy has a representative agent with Epstein-Zin utility. In the applicable region,...
Persistent link: https://www.econbiz.de/10013001208
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Asset Pricing in the Frequency Domain : Theory and Empirics
Dew-Becker, Ian - 2013
In affine asset pricing models, the innovation to the pricing kernel is a function of innovations to current and expected future values of an economic state variable, for example consumption growth, aggregate market returns, or short-term interest rates. The impulse response of this priced...
Persistent link: https://www.econbiz.de/10013076563