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Parametric Inference and Dynamic State Recovery from Option Panels
Andersen, Torben G.; Fusari, Nicola; Todorov, Viktor - National Bureau of Economic Research (NBER) - 2012
We develop a new parametric estimation procedure for option panels observed with error which relies on asymptotic approximations assuming an ever increasing set of observed option prices in the moneyness- maturity (cross-sectional) dimension, but with a fixed time span. We develop consistent...
Persistent link: https://www.econbiz.de/10011271459
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How to Advance Theory with Structural VARs: Use the Sims-Cogley-Nason Approach
Kehoe, Patrick J. - National Bureau of Economic Research (NBER) - 2006
The common approach to evaluating a model in the structural VAR literature is to compare the impulse responses from structural VARs run on the data to the theoretical impulse responses from the model. The Sims-Cogley-Nason approach instead compares the structural VARs run on the data to...
Persistent link: https://www.econbiz.de/10005774407
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Construction and Interpretation of Model-Free Implied Volatility
Andersen, Torben G.; Bondarenko, Oleg - National Bureau of Economic Research (NBER) - 2007
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility index, can be hard to measure with accuracy due to the lack of precise prices for options with strikes in the tails of the return distribution. This is reflected in practice as the...
Persistent link: https://www.econbiz.de/10005774581
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Testing Portfolio Efficiency with Conditioning Information
Ferson, Wayne; Siegel, Andrew F. - National Bureau of Economic Research (NBER) - 2006
We develop asset pricing models' implications for portfolio efficiency when there is conditioning information in the form of a set of lagged instruments. A model of expected returns identifies a portfolio that should be minimum variance efficient with respect to the conditioning information. Our...
Persistent link: https://www.econbiz.de/10005034911
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The Empirical Content of Models with Multiple Equilibria in Economies with Social Interactions
Bisin, Alberto; topa, giorgio; Moro, Andrea - National Bureau of Economic Research (NBER) - 2011
We study a general class of models with social interactions that might display multiple equilibria. We propose an estimation procedure for these models and evaluate its efficiency and computational feasibility relative to different approaches taken to the curse of dimensionality implied by the...
Persistent link: https://www.econbiz.de/10009151255
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International Standards and International Trade: Empirical Evidence from ISO 9000 Diffusion
Clougherty, Joseph A.; Grajek, Michal - National Bureau of Economic Research (NBER) - 2012
Empirical scholarship on the standards-trade relationship has been held up due to methodological challenges: measurement, varied effects, and endogeneity. Considering the trade-effects of one particular standard (ISO 9000), we surmount methodological challenges by measuring standardization via...
Persistent link: https://www.econbiz.de/10011193595
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Antidumping and the Death of Trade
Besedes, Tibor; Prusa, Thomas J. - National Bureau of Economic Research (NBER) - 2013
We investigate the extent to which antidumping actions eliminate trade altogether. Using quarterly export data for …
Persistent link: https://www.econbiz.de/10010969282
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Industrial Policy and Downstream Export Performance
Blonigen, Bruce A. - National Bureau of Economic Research (NBER) - 2013
Industrial policies (IPs) include such varying practices as production subsidies, export subsidies, and import … from 1975 through 2000, this paper examines whether steel-sector IPs have a significant impact on the export … find that a one-standard-deviation increase in IP presence leads to a 3.6% decline in export competitiveness for an average …
Persistent link: https://www.econbiz.de/10010950685
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Tariff Incidence: Evidence from U.S. Sugar Duties, 1890-1930
Irwin, Douglas A. - National Bureau of Economic Research (NBER) - 2014
Direct empirical evidence on whether domestic consumers or foreign exporters bear the burden of a country's import duties is scarce. This paper examines the incidence of U.S. sugar duties using a unique set of high-frequency (weekly, and sometimes daily) data on the landed and the duty-inclusive...
Persistent link: https://www.econbiz.de/10010951065
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Firm Heterogeneity and Costly Trade: A New Estimation Strategy and Policy Experiments
Kee, Hiau Looi; Krishna, Kala; Cherkashin, Ivan; … - National Bureau of Economic Research (NBER) - 2010
reducing fixed costs at various levels can be quite effective as export promotion devices, with the exports induced per dollar …
Persistent link: https://www.econbiz.de/10008727852