Showing 1 - 10 of 4,123
Using equations that arise in quantum mechanics, this paper describes a way to more accurately and efficiently represent non-Gaussian return distributions than the standard method of invoking skewness and kurtosis. Then, it provides a new single intuitive number, defined here as the “crash...
Persistent link: https://www.econbiz.de/10012844430
The article is devoted to estimating the uncertainty parameters of Russian GDP on history, that arises as a result of … of their necessity and importance. For analysis, it is assumed that uncertainty decreases over time and occurs … using a parametrized covariance matrix using the Cunningham method. As an example of visualizing uncertainty in data, fan …
Persistent link: https://www.econbiz.de/10014356151
adoption decision of particular technologies under uncertainty. These technologies are coal-fired power plants, biomassfired … policy ; uncertainty ; real options ; electricity ; investments …
Persistent link: https://www.econbiz.de/10009736649
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610
lower exchange rate bound vis-à-vis the Euro. This unexpected change of regime induced a temporary uncertainty about future … the source of uncertainty and disentangle first and second moment effects. We find that price uncertainty affects … and suggest the use of disaggregated investment data to deepen our knowledge on the relationship between uncertainty and …
Persistent link: https://www.econbiz.de/10011413367
Uncertainty affects employers' decisions on labour workforce, as it does on capital. We exploit differences on how … firms adjust their labour work-force when uncertainty increases. Using data from the Wage Dynamic Network Survey for 25 … European countries, we first construct, opposite to usual aggregate indicators, a set of uncertainty indicators exploiting …
Persistent link: https://www.econbiz.de/10012284895
We find that macroeconomic uncertainty plays a significant role in U.S. monetary policy. First, we construct a measure … of uncertainty as felt by policymakers at the time of making their rate-setting decisions. This measure is derived from a … of being in a high-uncertainty regime. Second, we estimate a monetary policy reaction function that, apart from …
Persistent link: https://www.econbiz.de/10014265941
estimates to account for parameter uncertainty. We find that for most European countries the dividend-price ratio and inflation … the long-horizon allocation. Parameter uncertainty plays a second-order role, dominated by strong variation in the dynamic …
Persistent link: https://www.econbiz.de/10008797745
The recent crisis made it evident that replicating the performance of a benchmark is not a sufficient goal to meet the expectations of usually risk-averse investors. The manager should also consider that the investor are seeking for a downside protection when the benchmark performs poorly and...
Persistent link: https://www.econbiz.de/10013103103
This paper proposes a GARCH-jump mixed model for individual stock returns that takes into account four types of risks: the systematic and idiosyncratic jumps and the systematic and idiosyncratic diffusive volatility. By considering a general pricing kernel with all underlying risk factors, we...
Persistent link: https://www.econbiz.de/10012934761