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The equity risk premium: a review of models
Duarte, Fernando; Rosa, Carlo - Federal Reserve Bank of New York - 2015
We estimate the equity risk premium (ERP) by combining information from twenty models. The ERP in 2012 and 2013 reached heightened levels—of around 12 percent—not seen since the 1970s. We conclude that the high ERP was caused by unusually low Treasury yields.
Persistent link: https://www.econbiz.de/10011185869
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Modeling the relationship between European carbon permits and certified emission reductions
Koop, Gary; Tole, Lise - In: Journal of Empirical Finance 24 (2013) C, pp. 166-181
Recent years have seen an expansion of carbon markets around the world as various policymakers attempt to reduce CO2 emissions. This paper considers two of the major types of carbon permits: European Union Allowances (EUAs, arising from the European Union Emissions Trading Scheme, EU ETS) and...
Persistent link: https://www.econbiz.de/10010729490
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Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model
Lin, Ming; Liu, Changjiang; Niu, Linlin - 2013
The Wishart autoregressive (WAR) process is a powerful tool to model multivariate stochastic volatility (MSV) with correlation risk and derive closed-form solutions in various asset pricing models. However, making inferences of the WAR stochastic volatility (WAR-SV) model is challenging because...
Persistent link: https://www.econbiz.de/10010892135
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Bayesian Semiparametric Modeling of Realized Covariance Matrices
Jin, Xin; Maheu, John M - Volkswirtschaftliche Fakultät, … - 2014
This paper introduces several new Bayesian nonparametric models suitable for capturing the unknown conditional distribution of realized covariance (RCOV) matrices. Existing dynamic Wishart models are extended to countably infinite mixture models of Wishart and inverse-Wishart distributions. In...
Persistent link: https://www.econbiz.de/10011110553
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A Bayesian Beta Markov Random Field calibration of the term structure of implied risk neutral densities
Casarin, Roberto; Leisen, Fabrizio; Molina, German; … - Dipartimento di Economia, Università Ca' Foscari Venezia - 2014
We build on Fackler and King (1990) and propose a general calibration model for implied risk neutral densities. Our model allows for the joint calibration of a set of densities at different maturities and dates. The model is a Bayesian dynamic beta Markov random field which allows for possible...
Persistent link: https://www.econbiz.de/10011096717
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Censored Posterior and Predictive Likelihood in Left-Tail Prediction for Accurate Value at Risk Estimation
Gatarek, Lukasz; Hoogerheide, Lennart; Hooning, Koen; … - Tinbergen Instituut - 2013
estimation of the tail of the predictive distribution. Two novel concepts are introduced that offer a specific focus on this part …
Persistent link: https://www.econbiz.de/10011255481
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Return and Risk of Pairs Trading using a Simulation-based Bayesian Procedure for Predicting Stable Ratios of Stock Prices
Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - Tinbergen Instituut - 2014
model. Using this class of models and the proposed inferential technique, we are able to connect estimation and model … cointegrated stock prices and further, its effect for the estimation and prediction of the spread between cointegrated stock prices … normalization for the estimation and prediction of the spread — the deviation from the equilibrium relationship — which leads to …
Persistent link: https://www.econbiz.de/10011272592
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Bayesian Estimation of Time-Changed Default Intensity Models
Gordy, Michael B.; Szerszen, Pawel J. - Federal Reserve Board (Board of Governors of the … - 2015
stochastic time-change. Our Bayesian MCMC estimation method overcomes nonlinearity in the measurement equation and state …
Persistent link: https://www.econbiz.de/10011273702
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The Impact of Jumps and Leverage in Forecasting Co-Volatility
Asai, Manabu; McAleer, Michael - Faculteit der Economische Wetenschappen, Erasmus … - 2015
__Abstract__ The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the jump-robust two time scale covariance estimator of Boudt and Zhang (2013) such that the estimated matrix is positive definite. Using this approach we can...
Persistent link: https://www.econbiz.de/10011274348
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What we have learnt from financial econometrics modeling?
Dhaoui, Elwardi - Volkswirtschaftliche Fakultät, … - 2013
A central issue around which the recent growth literature has evolved is that of financial econometrics modeling. Expansions of interest in the modeling and analyzing of financial data and the problems to which they are applied should be taken in account.This article focuses on econometric...
Persistent link: https://www.econbiz.de/10011266108