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Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets
Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - National Centre of Competence in Research - Financial … - 2011
We develop an econometric methodology to infer the path of risk premia from large unbalancedpanel of individual stock returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models where the conditioning includes instruments common to all assets and asset...
Persistent link: https://www.econbiz.de/10009418989
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Realizing Smiles: Options Pricing with Realized Volatility
Corsi, Fulvio; Fusari, Nicola; La Vecchia, Davide - National Centre of Competence in Research - Financial … - 2011
We develop a discrete-time stochastic volatility option pricing model, which exploits the informationcontained in high …-frequency data. The Realized Volatility (RV) is used as a proxy of the unobservablelog-returns volatility. We model its dynamics by a … stochastic volatility pricing models. The pricing improvementcan be ascribed to: (i) The direct use of the RV, which provides a …
Persistent link: https://www.econbiz.de/10009486857
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Efficiency in Large Dynamic Panel Models withCommon Factor
Gagliardini, Patrick; Gourieroux, Christian - Swiss National Centre of Competence in Research North … - 2010
This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamicpanel models with common unobservable factor. These models are especially relevantfor applications to large portfolios of credits, corporate bonds, or life insurance contracts, andare recommended in the...
Persistent link: https://www.econbiz.de/10009305085
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Expected Life-Time Utility and Hedging Demands In a Partially Observable Economy
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper analyzes the expected life-time utility and the hedging demands in an exchange only, representative agent general equilibrium under incomplete information. We derive an expression for the investor’s expected life-time utility, and analyze his hedging demands for intertemporal changes...
Persistent link: https://www.econbiz.de/10005858506
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The Quality of Public Information and the Term Structure of Interest Rates
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2007
This paper analyzes the term structure of interest rates in an exchange-only Lucas (1978) economy where consumers learn about a stochastic growth rate through observations of the endowment process and an external public signal. We allow for deluded consumers, who exaggerate the degree of...
Persistent link: https://www.econbiz.de/10005858508
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Implied Volatility and Risk Aversion in A Simple Model with Uncertain Growth
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2006
volatility and risk aversion that are similar to the ones observed in the data. In addition, the model produces an implied …
Persistent link: https://www.econbiz.de/10005858509
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Can an Estimation Factor Help Explain Cross-Sectional Returns?
Lundtofte, Frederik - Institut für Schweizerisches Bankwesen <Zürich> - 2006
We show in a theoretical model that the expected excess return on any asset depends on its covariance not only with the market portfolio, but also with changes in the representative agents estimate. We test our model by using GMM and compare it to the Fama-French model. The results suggest that...
Persistent link: https://www.econbiz.de/10005858510
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Efficient Derivative Pricing by Extended Method of Moments
Gagliardini, Patrick; Gourieroux, Christian; Renault, E - Institut für Schweizerisches Bankwesen <Zürich> - 2005
are applied in a stochastic volatility model to get efficient derivative prices, to measure the uncertainty of estimated …
Persistent link: https://www.econbiz.de/10005858515
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Numerics of Implied Binomial Trees
Härdle, Wolfgang; Mysickova, Alena - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2008
, especially on the BS implied volatility. Implied binomialtrees (IBT) models capture the variations of the implied volatility … known as \volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and thestate price density …
Persistent link: https://www.econbiz.de/10005860517
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An econometric model of credit spreads with rebalancing, ARCH and jump effects
Bierens, Herman; Huang, Jing-zhi; Kong, Weipeng - 2003
In this paper, we examine the dynamic behavior of credit spreads on corporate bond portfolios. We propose an econometric model of credit spreads that incorporates portfolio rebalancing, the near unit root property of spreads, the autocorrelation in spread changes, the ARCH conditional...
Persistent link: https://www.econbiz.de/10005846814