Similar Search Results

Arbitrage-free models of stocks and bonds

Durham, J. Benson - 2013

A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...

Persistent link: https://www.econbiz.de/10010222892

Performance maximization of actively managed funds

Guasoni, Paolo; Huberman, Gur; Wang, Zhenyu - 2010

literature suggests that even in the absence of any ability to predict returns, holding options positions on the benchmark assets …. The enhancement from holding options can be substantial if the implied volatilities of the options are higher than the … volatilities of the benchmark returns. -- Alpha ; hedge funds ; mutual funds ; portfolio management ; options …

Persistent link: https://www.econbiz.de/10003948797

Risk-neutral systemic risk indicators

Malz, Allan Martin - 2013

index options. It displays results from a prototype version, computed daily from January 2006 to January 2013. The …

Persistent link: https://www.econbiz.de/10009725591

Term structures of asset prices and returns

Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016

We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...

Persistent link: https://www.econbiz.de/10011457568

No good deals - no bad models

Boyarchenko, Nina; Cerrato, Mario; Crosby, John; … - 2012

Faced with the problem of pricing complex contingent claims, investors seek to make their valuations robust to model uncertainty. We construct a notion of a modeluncertainty-induced utility function and show that model uncertainty increases investors' effective risk aversion. Using this utility...

Persistent link: https://www.econbiz.de/10009679505

The overnight drift

Boyarchenko, Nina; Larsen, Lars C.; Whelan, Paul - 2021 - Revised September 2021

We show that nearly 100 percent of the U.S. equity premium is earned over a window around the opening hours of European markets when U.S. cash markets are closed. We explore two potential complementary explanations. First, consistent with predictions from dealer inventory risk models, we find...

Persistent link: https://www.econbiz.de/10012170744

A Bayesian approach for inference on probabilistic surveys

Del Negro, Marco; Casarin, Roberto; Bassetti, Federico - 2022

We propose a nonparametric Bayesian approach for conducting inference on probabilistic surveys. We use this approach to study whether U.S. Survey of Professional Forecasters density projections for output growth and inflation are consistent with the noisy rational expectations hypothesis. We...

Persistent link: https://www.econbiz.de/10013336345

Pricing the term structure with linear regressions

Adrian, Tobias (contributor); Mönch, Emanuel (contributor) - 2008

We show how to price the time series and cross section of zero coupon bonds via ordinary least squares regressions. Our approach allows computationally fast estimation of term structure models with a large number of pricing factors. Even though we do not impose cross-equation restrictions in the...

Persistent link: https://www.econbiz.de/10003781680

CoVaR

Adrian, Tobias (contributor); … - 2008

We propose a measure for systemic risk: CoVaR, the value at risk (VaR) of financial institutions conditional on other institutions being in distress. We define an institution’s (marginal) contribution to systemic risk as the difference between CoVaR and the financial system’s VaR. From our...

Persistent link: https://www.econbiz.de/10003781783

The term structure of inflation expectations

Adrian, Tobias (contributor); Wu, Hao (contributor) - 2009

We present estimates of the term structure of inflation expectations, derived from an affine model of real and nominal yield curves. The model features stochastic covariation of inflation with the real pricing kernel, enabling us to extract a time-varying inflation risk premium. We fit the model...

Persistent link: https://www.econbiz.de/10003812556