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What is the investment loss due to uncertainty?
Panagiōtidēs, Theodōros; Printzis, Panagiotis - Leibniz-Institut für Ost- und Südosteuropaforschung - 2019
We investigate the effect of uncertainty on investment. We employ a unique dataset of 25000 Greek firms' balance sheets for 14 years covering the period before and after the eurozone crisis. A dynamic factor model is employed to proxy uncertainty. The investment performance of 14 sectors is...
Persistent link: https://www.econbiz.de/10012060122
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The Effect of Model-Selection Uncertainty on Autoregressive Models Estimates
Azzam, Islam - 2011
Model-selection uncertainty corresponds to the uncertainty about the true lag order of the autoregressive process that should be picked. This paper shows that all model-selection criteria perform poorly in small samples. Model-selection uncertainty adds to the bias and variability in the...
Persistent link: https://www.econbiz.de/10014178863
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On uniform asymptotic risk of averaging GMM estimators
Cheng, Xu; Liao, Zhipeng; Shi, Ruoyao - In: Quantitative economics : QE ; journal of the … 10 (2019) 3, pp. 931-979
the sample analog of an infeasible optimal weight. We establish asymptotic theory on uniform approximation of the upper …
Persistent link: https://www.econbiz.de/10012049321
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Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data
Green, Christopher G - 2017
It is well-known that outliers exist in the type of multivariate data used by financial practitioners for portfolio construction and risk management. Typically, outliers are addressed prior to model fitting by applying some combination of trimming and/or Winsorization to each individual...
Persistent link: https://www.econbiz.de/10012946531
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Spatial Dependence, Idiosyncratic Risk and the Valuation of Disaggregated Housing Data
Simlai, Prodosh - 2018
autocorrelation and heteroskedasticity increases the evidence that idiosyncratic risk, which is captured by space-varying volatility …
Persistent link: https://www.econbiz.de/10012912950
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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...
Persistent link: https://www.econbiz.de/10014278693
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Too good to be true? : fallacies in evaluating risk factor models
Gospodinov, Nikolaj; Kan, Raymond; Robotti, Cesare - 2017
This paper is concerned with statistical inference and model evaluation in possibly misspecified and unidentified linear asset-pricing models estimated by maximum likelihood and one-step generalized method of moments. Strikingly, when spurious factors (that is, factors that are uncorrelated with...
Persistent link: https://www.econbiz.de/10011757568
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"Moment‐based tests under parameter uncertainty"
Bontemps, Christian - 2018
Persistent link: https://www.econbiz.de/10011811851
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A nonlinear expectations model of the term structure of interest rates with time-varying risk premia
Lee, Bong-soo - In: Journal of money, credit and banking : JMCB 21 (1989) 3, pp. 348-367
Persistent link: https://www.econbiz.de/10001074068
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Measuring vulnerability to poverty using long-term panel data
Landau, Katja; Klasen, Stephan; Zucchini, Walter - 2012
We investigate the accuracy of ex ante assessments of vulnerability to poverty using cross-sectional data and panel … data. We use long-term panel data from Germany and apply different regression models, based on household covariates and … on cross-sectional data are much less accurate than those based on panel data, but for Germany, the accuracy of …
Persistent link: https://www.econbiz.de/10009671469