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Fixed Bandwidth Asymptotics in Single EquationModels of Cointegration with an Application to MoneyDemand
Bunzel, Helle - Iowa State University of Science and Technology <Ames, … - 2003
. The novelty is in improving over the well-knownheteroscedasticity and autocorrelation consistent (HAC) robust standard … errors usingfixed bandwidth (fixed-b) asymptotic theory and adapting it to the cointegration environment.It is shown that the …
Persistent link: https://www.econbiz.de/10009418928
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Autocorrelation, Bias, and Fat Tails - Are Hedge Funds Really Attractive Investments?
Eling, Martin - Institut für Versicherungswirtschaft <Sankt Gallen> - 2005
correlation with stocks and bond markets. Whenevaluating using the Markowitz portfolio selection theory, hedge funds appear … tooffer a remarkable opportunity. Yet use of the Markowitz theory neglects three importantqualities of hedge funds: the … existence of significant autocorrelation, bias,and fat tails. Each of these three issues has been studied individually, but no …
Persistent link: https://www.econbiz.de/10005861558
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RENDITE UND KAPITALKOSTEN
Laitenberger, Jörg - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2004
Zur Bewertung von Investitionsprojekten mit mehrperiodigen Zahlungenk¨onnen die erwarteten Zahlungen mit geeigneten Kapitalkostendiskontiert werden. Die Kapitalkosten werden in der Regel als die erwarteteeinperiodige Rendite der Investition bestimmt, wobei häufigauf Kapitalmarktmodelle wie das...
Persistent link: https://www.econbiz.de/10005867639
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Environmental variables and real estate prices
Din, Allan; Hoesli, Martin; Bender, André - Université <Genève> / Section des Hautes Etudes … - 2001
The aim of this paper is to compare various real estate valuation models and the manner in which they take into account environmental variables.
Persistent link: https://www.econbiz.de/10005843540
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Modeling sovereign yield spreads: A case study of Russian debt
Duffie, Darrell; Pedersen, Lasse Heje; Singleton, Kenneth J. - 2001
We construct a model for pricing sovereign debt that accounts for the risks of both default and restructuring, and allows for compensation for illiquidity. Using a new and relatively efficient method, we estimate the model using Russian dollar-denominated bonds.(...)
Persistent link: https://www.econbiz.de/10005846839
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Asymmetry and uncertainty in capital formation: an application to oil investment
Mohn, Klaus; Osmundsen, Petter - Universitetet <Stavanger> / School of Business … - 2008
Theories of irreversible investment suggest a negative relation between investment and uncertainty,and non-linear adjustment costs open for asymmetries in the adjustment of fixed capital. We proposean econometric modelling approach to estimate and test the key predictions of modern...
Persistent link: https://www.econbiz.de/10009305223
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MIDAS versus mixed-frequency VAR:nowcasting GDP in the euro area
Kuzin, Vladimir; Marcellino, Massimiliano; Schumacher, … - Volkswirtschaftliches Forschungszentrum <Frankfurt, Main> - 2009
This paper compares the mixed-data sampling (MIDAS) and mixed-frequency VAR(MF-VAR) approaches to model speci…cation in the presence of mixed-frequency data,e.g., monthly and quarterly series. MIDAS leads to parsimonious models based onexponential lag polynomials for the coe¢ cients, whereas...
Persistent link: https://www.econbiz.de/10005866232
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Konsumentenpräferenzen und Marktsegmente im Bereichdes nachhaltigen Wohnungsbaus ‐Chancen und Potentialejenseits der „Öko‐Nische“
Rid, Wolfgang - Technische Universität <München> / Fakultät für … - 2009
theory, a discrete choice experiment was used tomodel the preferences of private home owners. The models were presented as 3D …
Persistent link: https://www.econbiz.de/10005867235
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EMPLOYER SEARCH, VACANCY DURATION ANDSKILL SHORTAGES
Andrews, Martyn J.; Bradley, Steve; Upward, Richard - University <Nottingham> / Department of Economics - 2001
This paper provides the first analysis of employer search using duration methods for theUK. We model both the duration of employer search and whether employers succeed infilling vacancies. We present the appropriate econometric techniques for dealing withgroups of identical vacancies posted...
Persistent link: https://www.econbiz.de/10005868963
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Estimation of Distress Costs Associated with Downgrades Using Regime Switching Models
Milidonis, Andreas; Wang, Shaun - Manchester Business School - 2007
We use a unique dataset of bond downgrades from a niche rating company that has been found to be reacting faster to publicly available information than its competitors. Using regime-switching models we propose risk measures to quantify stock return disturbances (distress costs) associated with...
Persistent link: https://www.econbiz.de/10005870366