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Latent Variable Models for Stochastic Discount Factors.

Garcia, R.; Renault, E. - 2000

We address the general issue of econometric specifications of dynamic asset pricing models, which cover the modern literature on conditionally heteroskedastic factor models as well as equilibrium-based asset pricing models with an intertemporal specification of preferences and market fundamentals.

Persistent link: https://www.econbiz.de/10005641165

HOW BANKING SYSTEM IN POST-SOVIET ECONOMIES ASSIST TO THEIR DEVELOPMENT. THE CASE STUDY OF ARMENIA

Mnatsakanyan, Hakob; Kanas, Angelos; Rafayelov, Zohrak - EconWPA - 2004

Persistent link: https://www.econbiz.de/10005407976

Long-Run Validity of Purchasing Power Parity and Cointegration Analysis for Low Income African Countries

Chia, Ricky Chee Jiun; Lim, Shiok Ye; Ong, Sheue Li - In: Economics Bulletin 34 (2014) 3, pp. 1438-1447

Studies on long-run purchasing power parity based on rank test for nonlinear cointegration is limited. Therefore, to … is not only capable in the detection of cointegration, but can further distinguish linear from nonlinear relationship if … cointegration exists. In addition, this study also follows the suggestion by Liew et al. (2012) to solve the rank problem in testing …

Persistent link: https://www.econbiz.de/10010835860

Credible Granger-Causality Inference with Modest Sample Lengths: A Cross-Sample Validation Approach

Ashley, Richard A.; Tsang, Kwok Ping - In: Econometrics 2 (2014) 1, pp. 72-91

Credible Granger-causality analysis appears to require post-sample inference, as it is well-known that in-sample fit … terms of power relative to the in-sample Granger-causality F test, is manageable. An illustrative application is given, to a …

Persistent link: https://www.econbiz.de/10011031448

Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns

Diez de los Rios, Antonio - 2008

Several studies have put forward that hedge fund returns exhibit a nonlinear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. This paper provides a statistical methodology to unveil such non-linear...

Persistent link: https://www.econbiz.de/10012727170

Multi-Lag Term Structure Models with Stochastic Risk Premia

Monfort, Alain - 2007

The purpose of this paper is to propose discrete-time term structure models where the historical dynamics of the factor (x_t) is given, in the univariate case, by a Gaussian AR(p) process, and, in the multivariate case, by a Gaussian n-dimensional VAR(p) process. The factor (x_t) is considered...

Persistent link: https://www.econbiz.de/10012729783

Coexceedances in Financial Markets - a Quantile Regression Analysis of Contagion

Baur, Dirk G. - 2003

This paper analyzes simultaneous exceedances (coexceedances) of several stock index returns for different thresholds with a focus on the Asian crisis in 1997. We introduce a new concept of computing and estimating time-varying coexceedances and usethe quantile regression model to analyze...

Persistent link: https://www.econbiz.de/10012739344

Fiscal Policy and Asset Markets : A Semiparametric Analysis

Jansen, Dennis W. - 2007

Using a flexible semiparametric varying coefficient model specification, this paper examines the role of fiscal policy on the U.S. asset markets (stocks, corporate and treasury bonds). We consider two possible roles of fiscal deficits (or surpluses): as a separate direct information variable and...

Persistent link: https://www.econbiz.de/10012775578

Switching Varma Term Structure Models

Monfort, Alain - 2007

The purpose of this paper is to propose a global discrete-time modeling of the term structure of interest rates which is able to capture simultaneously the following important features: (i) an historical dynamics of the factor driving term structure shapes involving several lagged values, and...

Persistent link: https://www.econbiz.de/10012776594

Testing for Contagion - Mean and Volatility Contagion

Baur, Dirk G. - 2006

Contagion tests that are based on the correlation coefficient assume constant correlations and symmetric impacts of shocks. Moreover, they neglect volatility as a potential factor of contagion. We show that such tests can be misleading when correlations are time-varying and volatility is...

Persistent link: https://www.econbiz.de/10012779947

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