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With the aim of constructing predictive distributions for daily returns, we introduce a new Markov normal mixture model in which the components are themselves normal mixtures. We derive the restrictions on the autocovariances and linear representation of integer powers of the time series in...
Persistent link: https://www.econbiz.de/10011604877
The ratio of consumption to total household wealth (i.e., tangible assets plus unobserved human wealth) is commonly calculated from the estimation of a log-linear version of the household intertemporal budget constraint as a cointegrating relationship between consumption, assets and earnings...
Persistent link: https://www.econbiz.de/10011844588
a Bayesian framework that allows the estimation of reliable time series even in small markets …
Persistent link: https://www.econbiz.de/10013220617
The paper describes the specification, estimation, and testing of an unrestricted structural econometric model design to explain and forecast individual returns of securities listed on the Brazilian stock market. The model's explanatory variables include macroeconomic, fundamental and...
Persistent link: https://www.econbiz.de/10014112120
This paper revisits the study of Cochrane (2005), to estimate the risk and returns of venture capital investments while correcting for the selection bias. We use an up-to-date dataset and enhance it to account for missing firm valuations using machine learning. The model is able to infer, with a...
Persistent link: https://www.econbiz.de/10014238688
Campbell and Shiller average 10 years of real S&P 500 earnings to construct its Cyclically Adjusted P/E ratio, or CAPE, which they then use to forecast its future 10-year returns. In essence, Campbell and Shiller kill two birds with one large stone - they use the 10-year average to reduce noise...
Persistent link: https://www.econbiz.de/10012864087
The paper proposes a model for the dynamics of stock prices that incorporates increased asset co-movements during extreme market downturns in a continuous-time setting. The model is based on the construction of a multivariate diffusion with a pre-specified stationary density with tail...
Persistent link: https://www.econbiz.de/10010326158
between stock excess returns and “abnormal trading volume.” By employing the Bayesian MCMC method with asymmetric Laplace …
Persistent link: https://www.econbiz.de/10013029438
Persistent link: https://www.econbiz.de/10009724340
develop Bayesian inference for a recently proposed latent factor copula model, which utilizes a pair copula construction to … posterior simulation: Gibbs sampling enables application to Bayesian problems, while ARMS is an adaptive strategy that replaces …
Persistent link: https://www.econbiz.de/10011654443