Der vorliegende Beitrag zeigt auf, wie hedonische Preisindizes für Immobilien auf der Basis von Transaktionen berechnet werden können. Der Heterogenität der Immobilien wird dabei durch ein ökonometrisches Modell Rechnung getragen, wobei in dieser Arbeit das Problem der Wahl einer geeigneten...

This paper developes a new methodology to measure conditional dependency between time series each driven by complicated marginal distributions.

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...

Most time series models used in econometrics and empirical finance are estimated withmaximum likelihood methods, in particular when interest centers on density and Value{at{Risk (VaR) prediction. The standard maximum likelihood principle implicitly placesequal weight on each of the observations...

It is well known that non-normality plays an important role in asset and risk management.However, handling a large number of assets has long been a challenge.In this paper, we present a statistical technique that extends Principal ComponentAnalysis to higher moments such as skewness and...

We implement a long-horizon static and dynamic portfolio allocation involvinga risk-free and a risky asset. This model is calibrated at a quarterly frequencyfor ten European countries. We also use maximum-likelihood estimates andBayesian estimates to account for parameter uncertainty. We nd that...

This is the first study to show evidence of liquidity risk in private equity returns.Our data contains cash flows for 4,403 liquidated investments, which are both successfuland unsuccessful, reducing sample selection bias to a minimum. We find that a onestandarddeviation positive shock in...

In this paper, we discuss the derivation and application of a bivariate ordered probit modelwith mixed effects. Our approach allows one to estimate the distribution of the effect (gamma) of anendogenous ordered variable on an ordered explanatory variable. By allowing gamma to vary over...

This paper shows how a simple modi…fication of estimators based on the RandomEffects principle can preserve the consistency and asymptotic efficiency of the methodin panel data despite non-ignorable persistent heterogeneity driven by correlationsbetween the heterogeneity and the regressors. The...

The paper discusses the major identi…fication issue of coherency conditions in LDVmodels with endogeneity and flexible temporal and contemporaneous correlations inthe unobservables. Conditions for coherency as discussed in the existing literatureare reviewed and shown to be rather esoteric. Two...