Narrow search
Showing 1 - 10 of 3,859
Cover Image
Bayesian predictive distributions of oil returns using mixed data sampling volatility models
Virbickaite, Audrone; Nguyen, Hoang; Minh-Ngoc Tran - 2023
Bayesian estimation approach called the density-tempered sequential Monte Carlo method. Our findings indicate that the …
Persistent link: https://www.econbiz.de/10014252427
Cover Image
The dynamics of bond yields and the stock index : with an empirical application to the UK stock and bond market
Jakobsen, Jan Bo; Sørensen, Carsten - 1997
Persistent link: https://www.econbiz.de/10000960759
Cover Image
Maturity induced bias in estimating spot rate diffusion models
Honoré, Peter - 1997
Persistent link: https://www.econbiz.de/10000975531
Cover Image
Out-of-sample predictions of bond excess returns and forward rates : an asset-allocation perspective
Thornton, Daniel L.; Valente, Giorgio - 2010
Persistent link: https://www.econbiz.de/10008668608
Cover Image
Forecasting the Yield curve using priors from no arbitrage affine term structure models
Carriero, Andrea (contributor) - 2007
Persistent link: https://www.econbiz.de/10003564897
Cover Image
Large vector autoregressions with asymmetric priors
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2015 - This draft: November 2015
We propose a new algorithm which allows easy estimation of Vector Autoregressions (VARs) featuring asymmetric priors …
Persistent link: https://www.econbiz.de/10011389735
Cover Image
A model for studying the effect of EMU on European yield curves
Lund, Jesper - 1997
Persistent link: https://www.econbiz.de/10000980181
Cover Image
Risk, Gordon's growth model, and the predictability of stock market returns
Attanasio, Orazio P.; Wadhwani, Sushil B. - 1989 - Rev
Persistent link: https://www.econbiz.de/10000819088
Cover Image
Evaluating density forecasts with an application to stock market returns
Raaij, Gabriela de; Raunig, Burkhard - 2002
Persistent link: https://www.econbiz.de/10001650402
Cover Image
The contribution of frictions to expected returns
Hirakiy, Kazuhiro; Skiadopoulos, George - 2018
We derive a model-free option-based formula to estimate the contribution of market frictions to expected returns (CFER) within an asset pricing setting. We estimate CFER for the U.S. optionable stocks. We document that CFER is sizable, it predicts stock returns and it subsumes the effect of...
Persistent link: https://www.econbiz.de/10011932555