Narrow search
Showing 1 - 10 of 17,934
Cover Image
Expectations, risk premia and information spanning in dynamic term structure model estimation
Guimarães, Rodrigo - Bank of England - 2014
This article examines the nature of the empirical instability in dynamic term structure models. I show that using survey forecasts is an effective solution because it directly addresses the information imbalance at the heart of the instability: it increases the (cross-section) information on...
Persistent link: https://www.econbiz.de/10010839046
Cover Image
Capturing the Interaction of Trend, Cycle, Expectations and Risk Premia in the US Term Structure
Soloschenko, Max; Weber, Enzo - Wirtschaftswissenschaftliche Fakultät, Universität … - 2014
This paper deals with simultaneous interactions between the determinants of the US yield curve. For this purpose, we derive a multivariate unobserved components model based on the expectation hypothesis. The influencing factors of the term structure that arise from the structural model are a...
Persistent link: https://www.econbiz.de/10010897015
Cover Image
Yes, the CAPM is testable
Guermat, Cherif - In: Journal of Banking & Finance 46 (2014) C, pp. 31-42
It is well-known that cross-sectional tests of the CAPM are problematic. The market indexes used in empirical tests are … has led many to express serious doubt on the testability of the CAPM. In this paper I show that the CAPM is indeed … the CAPM. The first step uses a simple combination of the coefficients of determination from both Ordinary Least Squares …
Persistent link: https://www.econbiz.de/10010907096
Cover Image
Sampling interval and estimated betas: Implications for the presence of transitory components in stock prices
Perron, Pierre; Chun, Sungju; Vodounou, Cosme - In: Journal of Empirical Finance 20 (2013) C, pp. 42-62
We provide a theoretical framework to explain the empirical finding that the estimated betas are sensitive to the sampling interval even when using continuously compounded returns. We suppose that stock prices have both permanent and transitory components. The discrete time representation of the...
Persistent link: https://www.econbiz.de/10011042120
Cover Image
Consumption-based asset pricing with rare disaster risk
Grammig, Joachim; Sönksen, Jantje - Center for Financial Studies - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensation for unlikely but calamitous risks that they happened not to incur. Although convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010986365
Cover Image
A new approach of contagion based on smooth transition conditional correlation GARCH models: An empirical application to the Greek crisis
Audigé, Henri - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2013
The objective of this paper is to gauge how and to which extent the surge in Greek sovereign bond rates in 2010 and 2011 has spilled over the rest of the Euro-area. To this end, we rely on a new class of contagion tests based on Smooth Transition Conditional Correlation GARCH models...
Persistent link: https://www.econbiz.de/10010992421
Cover Image
Macro-Finance Determinants of the Long-Run Stock-Bond Correlation: The DCC-MIDAS Specification
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - School of Economics and Management, University of Aarhus - 2014
We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...
Persistent link: https://www.econbiz.de/10010851206
Cover Image
Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...
Persistent link: https://www.econbiz.de/10010851243
Cover Image
Interest Rates with Long Memory: A Generalized Affine Term-Structure Model
Osterrieder, Daniela - School of Economics and Management, University of Aarhus - 2013
We propose a model for the term structure of interest rates that is a generalization of the discrete-time, Gaussian, affine yield-curve model. Compared to standard affine models, our model allows for general linear dynamics in the vector of state variables. In an application to real yields of...
Persistent link: https://www.econbiz.de/10010851271
Cover Image
The Volatility of Long-term Bond Returns: Persistent Interest Shocks and Time-varying Risk Premiums
Osterrieder, Daniela; Schotman, Peter C. - School of Economics and Management, University of Aarhus - 2012
We develop a model that can match two stylized facts of the term-structure. The first stylized fact is the predictability of excess returns on long-term bonds. Modeling this requires sufficient volatility and persistence in the price of risk. The second stylized fact is that long-term yields are...
Persistent link: https://www.econbiz.de/10010851286