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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
. Weaddress consistent estimation of the asymptotic variance, and testing for asset pricing restrictions inducedby the no …
Persistent link: https://www.econbiz.de/10009418989
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A latent factor model for ordinal data to measure multivariate predictive ability of financial market movements
Huber, Philippe; Scaillet, Olivier; Victoria-Feser, … - Institut für Schweizerisches Bankwesen <Zürich> - 2005
. Monte Carlo experiments reveal that both the estimation method and the testing procedure perform well in small samples. An …
Persistent link: https://www.econbiz.de/10005858728
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A Test of the Rational Expectations Hypothesis using data froma Natural Experiment
Del Conte, Anna; Moffatt, Peter G.; Di Cagno, Daniela T.; … - Max-Planck-Institut für Ökonomik <Jena> / Abteilung … - 2009
Data on contestants’ choices in Italian Game Show Affari Tuoi are analysed in a way that separatesthe effect of risk attitude (preferences) from that of beliefs concerning the amount ofmoney that will be offered to contestants in future rounds. The most important issue addressedin the paper is...
Persistent link: https://www.econbiz.de/10009022166
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Panel Unit Root Tests in the Presence of aMultifactor Error Structure
Pesaran, M. Hashem; Smith, L. Vanessa; Yamagata, Takashi - Forschungsinstitut zur Zukunft der Arbeit <Bonn> - 2007
This paper extends the cross sectionally augmented panel unit root test proposed byPesaran (2007) to the case of a …
Persistent link: https://www.econbiz.de/10005860582
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Comparison of Panel Cointegration Tests
Örsal Karaman, Deniz Dilan - Sonderforschungsbereich Ökonomisches Risiko <Berlin> - 2007
maximum-likelihood-based panel cointegrationtests with the help of Monte Carlo simulations. In this study the panel-rho, the … group-rho, the panel-t, the group-t statistics of Pedroni (1999) and the standardized LR-barstatistic of Larsson et al …. (2001) are considered. The simulation results indicate thatthe panel-t and standardized LR-bar statistic have the best size …
Persistent link: https://www.econbiz.de/10005861016
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Monitoring structural change in dynamic econometric models
Zeileis, Achim; Leisch, Friedrich; Kleiber, Christian; … - 2002
The classical approach to testing for structural change employs retrospective tests using a historical data set of a given length. Here we consider a wide array of fluctuation-type tests in a monitoring situation - given a history period for which a regression relationship is known to be stable,...
Persistent link: https://www.econbiz.de/10005841595
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Der Aktienmarktverbund zwischen Deutschland und den USA : Ergebnisse einer Kointegrationsstudie
Eberts, Elke - 2002
Das vorliegende Papier verfolgt, den empirischen Zusammenhang zwischen den realen Aktienmarktniveaus von Deutschland und den USA zur Aktienmarktprognose zu verwenden ...
Persistent link: https://www.econbiz.de/10005842119
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Intertemporale Diversifikation im VAR-Ansatz : Erklärung "paradoxer Phänomene" bei langen Prognosezeiträumen
Eberts, Elke - 2003
Vorliegendes Arbeitspapier analysiert die Einflüsse intertemporaler Renditezusammenhänge und fester Startwerte in Vektorautoregressions-(VAR-) Modellen für stetige Renditen anhand des Vergleichs mit einem statischen Random-Walk-Modell.
Persistent link: https://www.econbiz.de/10005842330
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Evaluating a class of nonlinear time series models
Heinen, Florian - Universität <Hannover> / Wirtschaftswissenschaftliche … - 2010
models of such type. Following the modeling cycle for nonlineartime series models of specification, estimation and evaluation …
Persistent link: https://www.econbiz.de/10005870742
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Estimation and Speci fication Testing of Panel Data Models with Non-Ignorable Persistent Heterogeneity
Hajivassiliou, Vassilis - London School of Economics and Political Science - 2009
consistency and asymptotic efficiency of the methodin panel data despite non-ignorable persistent heterogeneity driven by … tolinear as well as nonlinear panel data models, static or dynamic.[...] …
Persistent link: https://www.econbiz.de/10008911507