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Estimating dynamic equilibrium models using mixed frequency macro and financial data

Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - 2014

We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous-time conveniently accounts for the difference in observation...

Persistent link: https://www.econbiz.de/10010417979

An asset pricing approach to testing general term structure models

Christensen, Bent Jesper; Wel, Michel van der - In: Journal of financial economics 134 (2019) 1, pp. 165-191

Persistent link: https://www.econbiz.de/10012166772

Estimating dynamic equilibrium models using mixed frequency macro and financial data

Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - In: Journal of econometrics 194 (2016) 1, pp. 116-137

Persistent link: https://www.econbiz.de/10011705052

Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion

Christensen, Bent Jesper (contributor); … - 2001 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10001587483

Public finance effects in an equilibrium search model with differences in company productivity levels : an application to Danish data

Christensen, Bent Jesper (contributor) - 1999

Persistent link: https://www.econbiz.de/10001456594

On the job search and the wage distribution

Christensen, Bent Jesper (contributor) - 2000

Persistent link: https://www.econbiz.de/10001550565

Latent utility shocks in a structural empirical asset pricing model

Christensen, Bent Jesper (contributor); … - 2004 - [Elektronische Resource]

Persistent link: https://www.econbiz.de/10002507048

Latent utility shocks in a structural empirical asset pricing model

Christensen, Bent Jesper (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002481916

The risk-return tradeoff and leverage effect in a stochastic volatility-in-mean model

Christensen, Bent Jesper; Posedel Šimović, Petra - 2010

Persistent link: https://www.econbiz.de/10008651660

Estimating dynamic equilibrium models using macro and financial data

Christensen, Bent Jesper; Posch, Olaf; Wel, Michel van der - 2011

Persistent link: https://www.econbiz.de/10009152334

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