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We analyze households' joint investment decisions for financial wealth and homes. We use a bivariate censored regression model with endogenous switching. Fixed costs or transaction costs are captured by an unobserved nonzero censoring threshold. The model allows for spill-over effects of a...
Persistent link: https://www.econbiz.de/10011586890
Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present regime switching and there are different distributions of returns in bull and...
Persistent link: https://www.econbiz.de/10012924508
A drawback of available portfolio credit risk models is that they fail to allow for default risk dependency across loans other than through common risk factors. Thereby, thesemodels ignore that close ties can exist between companies due to legal, financial and business relations. In this paper,...
Persistent link: https://www.econbiz.de/10011584809
Good market timing skills can be an important factor contributing to hedge funds' out-performance. In this paper we use a unique semi-parametric panel data model capable of providing consistent short period estimates of the return correlations with three market factors for a sample of Long/Short...
Persistent link: https://www.econbiz.de/10013086460
Regime switching dynamic correlation (RSDC) model allows the correlations to be constant with the regimes themselves however, it differs across regimes. RSDC model has retained many good properties from CCC multivariate GARCH and DCC multivariate GARCH. For example, RSDC does not suffer from the...
Persistent link: https://www.econbiz.de/10012836486
The efficient-market hypothesis (EMH) is one of the most important economic and financial hypotheses that have been tested over the past century. Due to many abnormal phenomena and conflicting evidence, otherwise known as anomalies against EMH, some academics have questioned whether EMH is...
Persistent link: https://www.econbiz.de/10012237439
The aim of our research is to test and evaluate the technical indicators and oscillators, which are commonly used on other stocks and commodity markets (e.g. moving averages, stochastic oscillator, etc.) in terms of their efficiency at the present European natural gas virtual trading points...
Persistent link: https://www.econbiz.de/10013050453
Persistent link: https://www.econbiz.de/10010351365
Persistent link: https://www.econbiz.de/10000996413
We develop a structural econometric model to elicit household-specific expectations about future financial asset returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk. Our framework assumes that household portfolios are...
Persistent link: https://www.econbiz.de/10013027836