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Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

the usefulness of the methodology by testing the linear risk-return relation predicted by the ICAPM. …

Persistent link: https://www.econbiz.de/10011422182

Hewicker, Harald; Cremers, Heinz - 2011

Being able to model yield curves from observed bond yields is essential in capital markets. Yield curves are required to accurately price financial products as well as to correctly assess the macroeconomic situation of economies. Current models based on the work of Nelson/Siegel et al. apply a...

Persistent link: https://www.econbiz.de/10010305888

Endogenous Uncertainty and Market Volatility

Kurz, Mordecai; Motolese, Maurizio - 1999

Endogenous Uncertainty is that component of economic risk and market volatility which is propagated within the economy …

Persistent link: https://www.econbiz.de/10011608491

Empirical risk factors in realized stock returns

Novák, Jiří; Petr, Dalibor - 2009

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

Persistent link: https://www.econbiz.de/10010322253

Intermediary balance sheets and the treasury yield curve

Du, Wenxin; Hébert, Benjamin; Li, Wenhao - 2022

We have documented a regime change in the U.S. Treasury market post-Global Financial Crisis (GFC). We first derived bounds on Treasury yields that account for dealer balance sheet costs, which we call the net short and net long curves. We show that actual Treasury yields moved from the net short...

Persistent link: https://www.econbiz.de/10013432953

Testing for Predictability in a Noninvertible ARMA Model

Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012

We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...

Persistent link: https://www.econbiz.de/10010500219

Experiments, Surveys and the Use of Representative Samples as Reference Data

Siedler, Thomas; Sonnenberg, Bettina - 2010

During the last two decades, laboratory experiments have come into increasingprominence and constitute a popular method of research to examine behavioral outcomes and social preferences. However, it has been debated whether results from these experiments can be extrapolated to the real world and...

Persistent link: https://www.econbiz.de/10010285403

On the tail risk premium in the oil market

Ellwanger, Reinhard - 2017

risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Oil futures … aggregate outcomes. However, the option-implied tail risk premia are not spanned by traditional macroeconomic and oil market …

Persistent link: https://www.econbiz.de/10012014454

Dissecting Characteristics Nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10011657112

Intraday volatility, trading volume and trading intensity in the interbank market e-MID

Engler, Markus; Jeleskovic, Vahidin - 2016

We apply a multivariate multiplicative error model (MMEM) and investigate effects in the simultaneous processes of high-frequency return volatilities, trading volume, and trading intensities on the Italien Electronic Interbank Credit Market (e-MID). Analysing five minutes data from the Italian...

Persistent link: https://www.econbiz.de/10011666920

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