Narrow search
Showing 1 - 10 of 635
Cover Image
Implied Volatility and Risk Aversion in A Simple Model with Uncertain Growth
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2006
volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …
Persistent link: https://www.econbiz.de/10005858509
Cover Image
Risky curves: From unobservable utility to observable opportunity sets
Friedman, Daniel; Sunder, Shyam - 2011
useful for out-of-sample prediction. Nor do we find practical applications of Bernoulli functions in major risk …
Persistent link: https://www.econbiz.de/10010288161
Cover Image
General Equilibrium and Risk Neutral Framework forOption Pricing with Mixture of Distributions
Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006
This paper develops a closed form risk-neutral valuation model for pricing Europeanstyle options when the underlying …
Persistent link: https://www.econbiz.de/10005870098
Cover Image
A general equilibrium and preference free model for pricing options under transformed gamma distribution
Vitiello, Luiz; Poon, Ser-Huang - Manchester Business School - 2006
through simple transformations. In this paper,we established the link between the real and the risk neutral distributions …, andprovided a formal proof for the existence of the risk neutral valuation relationshipbetween option price and the gamma …
Persistent link: https://www.econbiz.de/10005870109
Cover Image
Interest Rate Risk Rewards in Stock Returns of Financial Corporations: Evidence from Germany
Czaja, Marc-Gregor; Scholz, Hendrik; Wilkens, Marco - Lehrstuhl für ABWL, Finanzierung und Bankbetriebslehre … - 2007
receives for being exposed to interestrate risk when investing in equity securities. We pursue here a benchmark portfolio … approach,constructing benchmark portfolios with the same interest rate risk exposure as a particularstock. By studying the time … risk benchmarks of Germancorporations have mostly earned a significantly positive reward. ii) Returns of interest raterisk …
Persistent link: https://www.econbiz.de/10005857708
Cover Image
Robust iInference in linear asset pricing models
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2012
We derive new results on the asymptotic behavior of the estimated parameters of a linear asset pricing model and their associated t-statistics in the presence of a factor that is independent of the returns. The inclusion of this useless factor in the model leads to a violation of the full rank...
Persistent link: https://www.econbiz.de/10010292218
Cover Image
Chi-squared tests for evaluation and comparison of asset pricing models
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2011
This paper presents a general statistical framework for estimation, testing, and comparison of asset pricing models using the unconstrained distance measure of Hansen and Jagannathan (1997). The limiting results cover both linear and nonlinear models that could be correctly specified or...
Persistent link: https://www.econbiz.de/10010292301
Cover Image
On the Hansen-Jagannathan distance with a no-arbitrage constraint
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2010
We provide an in-depth analysis of the theoretical and statistical properties of the Hansen-Jagannathan (HJ) distance that incorporates a no-arbitrage constraint. We show that for stochastic discount factors (SDF) that are spanned by the returns on the test assets, testing the equality of HJ...
Persistent link: https://www.econbiz.de/10010292304
Cover Image
Further results on the limiting distribution of GMM sample moment conditions
Gospodinov, Nikolay; Kan, Raymond; Robotti, Cesare - 2010
In this paper, we extend the results in Hansen (1982) regarding the asymptotic distribution of generalized method of moments (GMM) sample moment conditions. In particular, we show that the part of the scaled sample moment conditions that gives rise to degeneracy in the asymptotic normal...
Persistent link: https://www.econbiz.de/10010292306
Cover Image
Too good to be true? Fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10012030261