Narrow search
Showing 1 - 10 of 1,544
Cover Image
Stochastic Capital Depreciation and the Comovement of Hours and Productivity
Dueker, Michael; Fischer, Andreas; Dittmar, Robert D. - 2002
In this article, we demonstrate that a small degree of stochastic variation in the depreciation rate of capital can greatly reduce the comovement between hours worked and labor productivity in a neoclassical growth model. The depreciation rate is modeled as a Markov process to place a strict...
Persistent link: https://www.econbiz.de/10011430038
Cover Image
The intertemporal relation between expected return and risk on currency
Bali, Turan G.; Yilmaz, Kamil - 2009
The literature has so far focused on the risk-return tradeoff in equity markets and ignored alternative risky assets. This paper is the first to examine the presence and significance of an intertemporal relation between expected return and risk in the foreign exchange market. The paper provides...
Persistent link: https://www.econbiz.de/10010277261
Cover Image
Robust Efficient Method of Moments
Ortelli, Claudio; Trojani, Fabio - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
This paper focuses on the robust Effcient Method of Moments (EMM) estimation of a general parametric stationary process and proposes a broad framework for constructing robust EMM statistics in this context. This extends the application field of robust statistics to very general time series...
Persistent link: https://www.econbiz.de/10005858309
Cover Image
Predictive inference for integrated volatility
Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - 2011
In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...
Persistent link: https://www.econbiz.de/10010282869
Cover Image
When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …
Persistent link: https://www.econbiz.de/10009305103
Cover Image
Why a diversified portfolio should include African assets
Alagidede, Paul; Panagiotidis, Theodore; Zhang, Xu - 2010
markets and the rest of the world. Long-run correlation estimates imply very low association between the two. The two distinct …
Persistent link: https://www.econbiz.de/10010273679
Cover Image
Cross-country co-movement in long-term interest rates: A DSGE approach
Chin, Michael; Filippeli, Thomai; Theodoridis, Konstantinos - 2015
Long-term interest rates in a number of small-open inflation targeting economies co-move more strongly with US long-term rates than with short-term rates in those economies. We augment a standard small open-economy model with imperfectly substitutable government bonds and time-varying term...
Persistent link: https://www.econbiz.de/10011380979
Cover Image
Asset prices and macroeconomic outcomes: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the literature on the linkages between asset prices and macroeconomic outcomes. It focuses on three major questions. First, what are the basic theoretical linkages between asset prices and macroeconomic outcomes? Second, what is the empirical evidence supporting these...
Persistent link: https://www.econbiz.de/10012060200
Cover Image
Macroeconomic implications of financial imperfections: A survey
Claessens, Stijn; Kose, M. Ayhan - 2017
This paper surveys the theoretical and empirical literature on the macroeconomic implications of financial imperfections. It focuses on two major channels through which financial imperfections can affect macroeconomic outcomes. The first channel, which operates through the demand side of finance...
Persistent link: https://www.econbiz.de/10012060201
Cover Image
Financialization in emerging Europe
Kazandziska, Milka - 2022
This paper contributes to the financialization literature exploring the dynamics of financialization in eight emerging European economies (EEEs) compared to the Anglo-Saxon countries. Our analysis encompasses the decade before and the years following the financial crisis in 2008, including the...
Persistent link: https://www.econbiz.de/10013261389