Similar Search Results

Testing the CCAPM on Spanish Data: A New Approach.

Rubio, E.M. - Centro de Estudios Monetarios y Financieros (CEMFI) - 1996

This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population...

Persistent link: https://www.econbiz.de/10005776182

Asset Princing Models: Implications for Expected Returns and Portfolio Selection.

MacKinlay, A.C.; Pastor, L. - Rodney L. White Center for Financial Research, Wharton … - 1999

Implications of factor-based asset pricing models for estimation of expected returns and for portfolio selection are investigated. In the presence of model mispricing due to a missing risk factor, the mispricing and the residual covariance matrix are linked together. Imposing a strong form of...

Persistent link: https://www.econbiz.de/10005245267

Horizon Risk and Asset Pricing.

Hubner, G. - Marshall School of Business, University of Southern … - 1999

This paper presents an equilibrium asset pricing model with incomplete information on returns and agents' utility. Only some moments of the returns distributions are observable, and investors associate a return's riskness to the time required for its mean to converge around its expectation,...

Persistent link: https://www.econbiz.de/10005656795

House Prices and Spatial Dependence: Towards an Integrated Procedure to Model Neighborhood Dynamics.

Des Rosiers, F.; Theriault, M. - Faculté des sciences de l'administration, Université Laval - 1999

This paper deals with applying GIS and spatial statistics to hedonic modeling. More precisely, it looks at spatial autocorrelation and trend surface analysis (TSA) as devices that can be used to improve model performances. Empirical analysis is performed on the Charlesbourg 1986-87 bungalow...

Persistent link: https://www.econbiz.de/10005619063

The Dynamic Impact of Macroeconomic Aggregates Housing Prices and Stock of Houses: A National and Regional Analysis.

Baffoe-Bonnie, J. - Department of Economics, Pennsylvania State University - 1995

Persistent link: https://www.econbiz.de/10005631511

Time Transformations, Intraday Data and Volatility Models.

Giot, P. - Center for Operations Research and Econometrics (CORE), … - 1999

In this paper, we focus on the trade and quote data for the IBM stock traded at the NYSE. We present two different framworks for analyzing this dataset. First, using regularly sampled observations, we characterize the intraday volatility of the mid-point of the bid-ask quotes by estimating GARCH...

Persistent link: https://www.econbiz.de/10005207636

Arbitrage-Free Discretization of Lognormal Forward Libor and Swap Rate Models.

Glasserman, P.; Zhao, X. - Graduate School of Business, Columbia University - 1998

themselves. Choosing the martingales proportional to differences of ratios of bond prices to numeraire prices turns out to be … discretization error. We numerically investigate the accuracy of other caplet and swaption prices as a gauge of how closely a model … calibrated to implied volatilities reproduces market prices. Numerical results indicate that several of the methods proposed here …

Persistent link: https://www.econbiz.de/10005663867

Analysis of Financial Risks in a GARCH Framework.

Ahlstedt, M. - Politiikan ja Talouden Tutkimuksen Laitos, … - 1998

prices. …

Persistent link: https://www.econbiz.de/10005625265

INTERTEMPORAL PRICE DISCOVERY BY MARKET MAKERS: ACTIVE VERSUS PASSIVE LEARNING.

LEACH, J.C.; MADHAVAN, A.N. - Rodney L. White Center for Financial Research, Wharton … - 1990

Persistent link: https://www.econbiz.de/10005245204

INTERTEMPORAL PRICE DISCOVERY BY MARKET MAKERS: ACTIVE VERSUS PASSIVE LEARNING.

LEACH, J.C.; MADHAVAN, A.N. - Weiss Center for International Financial Research, … - 1990

Persistent link: https://www.econbiz.de/10005664258

1
2
3
4
5
6
7
8
9
10
Next
Last