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How can long memory in volatility be eliminated in portfolio optimization : an empirical evidence using copulas

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Persistent link: https://www.econbiz.de/10010338365

The small firm effect and the random walk hypothesis : evidence from the London Stock Exchange using Markov chains

Mills, Terence C.; Jordanov, Jordan - 1999

Persistent link: https://www.econbiz.de/10001428365

The size effect and the random walk hypothesis : evidence from the London stock exchange using Markov chains

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Modeling and estimating the credit cycle by a probit-AR(1)-process

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Richer earnings dynamics, consumption and portfolio choice over the life cycle

Gálvez, Julio; Paz Pardo, Gonzalo - 2023

Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to rationalize the limited participation...