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Predicting Insurance Demand from Risk Attitudes
Jaspersen, Johannes G. - 2019
Can measured risk attitudes and associated structural models predict insurance demand? In an experiment (n = 1,730), we …
Persistent link: https://www.econbiz.de/10012480452
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The Subprime Crisis and House Price Appreciation
Goetzmann, William N. - 2009
substantiates both supply and demand effects of past price trends in housing markets, particularly with respect to subprime mortgage …-loan collateral values may have affected both the demand and the supply of mortgages. Standard time series models using repeat …
Persistent link: https://www.econbiz.de/10012463316
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Demand Modeling, Forecasting, and Counterfactuals, Part I
Pathak, Parag A. - 2014
discrete choice models of demand compared to simpler alternatives. In 2013, Boston Public Schools (BPS) proposed alternative …. Pathak and Shi (2013) estimated discrete choice models of demand using families' historical choices and these demand models … of discrete choice models of demand in our context …
Persistent link: https://www.econbiz.de/10012458802
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Real-Time Forecast Evaluation of DSGE Models with Stochastic Volatility
Diebold, Francis X. - 2016
Recent work has analyzed the forecasting performance of standard dynamic stochastic general equilibrium (DSGE) models, but little attention has been given to DSGE models that incorporate nonlinearities in exogenous driving processes. Against that background, we explore whether incorporating...
Persistent link: https://www.econbiz.de/10012456064
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DSGE Model-Based Forecasting of Non-modelled Variables
Schorfheide, Frank - 2009
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to link the non-core variables to...
Persistent link: https://www.econbiz.de/10012463776
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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
Trolle, Anders B. - 2006
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...
Persistent link: https://www.econbiz.de/10012466328
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The Effects of Website Provision on the Demand for German Women's Magazines
Kaiser, Ulrich - 2002
The effect of website provision on the demand for German women's magazines is analyzed using differentiated product … demand models estimated on panel data that cover the period 1990 2000. Descriptive evidence on the magazines' website … alternative econometric approaches to identify the demand model. A counter-factual analysis shows, however, that online magazines …
Persistent link: https://www.econbiz.de/10012469909
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The Sources and Nature of Long-term Memory in the Business Cycle
Haubrich, Joseph G. - 1989
This paper examines the stochastic properties of aggregate macroeconomic time series from the standpoint of fractionally integrated models, and focuses on the persistence of economic shocks. We develop a simple macroeconomic model that exhibits long-term dependence, a consequence of aggregation...
Persistent link: https://www.econbiz.de/10012476102
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Stock Return Predictability : Is it There?
Ang, Andrew - 2001
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012470517
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Modeling and Forecasting Realized Volatility
Andersen, Torben G. - 2001
This paper provides a general framework for integration of high-frequency intraday data into the measurement forecasting of daily and lower frequency volatility and return distributions. Most procedures for modeling and forecasting financial asset return volatilities, correlations, and...
Persistent link: https://www.econbiz.de/10012470566