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Regime switches in the risk-return trade-off
Ghysels, Eric; Guérin, Pierre; Marcellino, Massimiliano - 2013
This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance …
Persistent link: https://www.econbiz.de/10010225468
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Semi-Parametric Estimation of Risk-Return Relationships
Escanciano, Juan Carlos - 2013
This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric …
Persistent link: https://www.econbiz.de/10013076636
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Risk and Mispricing in Estimated Alphas
Hill-Kleespie, Austin - 2018
covariance structure of residual terms generated by the CAPM model of Sharpe (1964), Lintner (1965), and Mossin (1966) as well as …-factor models generally produce almost no discernible covariance of residual terms and do allow for the estimation of individual …
Persistent link: https://www.econbiz.de/10012932020
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Risk of rare disasters, Euler equation errors and the performance of the C-CAPM : conference paper
Posch, Olaf; Schrimpf, Andreas - 2013
This paper shows that the consumption-based asset pricing model (C-CAPM) with low-probability disaster risk … that leading asset pricing models cannot explain sizeable pricing errors in the C-CAPM. We also show (analytically and in a …
Persistent link: https://www.econbiz.de/10010338284
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Implied basket correlation dynamics
Härdle, Wolfgang; Silyakova, Elena - 2012
of computational burden and estimation error. First the number of correlation coefficients to be estimated would grow …
Persistent link: https://www.econbiz.de/10009665551
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Estimating and Testing Long-Run Risk Models : International Evidence
Fulop, Andras; Li, Junye; Liu, Hening; Yan, Cheng - 2021
-based Bayesian method that exploits up-to-date sequential Monte Carlo methods to make full econometric inference. Our estimation …
Persistent link: https://www.econbiz.de/10013225797
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Estimation with mixed data frequencies : a bias-correction approach
Ghosh, Anisha; Linton, Oliver - 2019
We propose a solution to the measurement error problem that plagues the estimation of the relation between the expected …
Persistent link: https://www.econbiz.de/10012128650
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Estimating Long-Run Risks in Developed and Developing Countries : A Particle MCMC Approach
Ho, Steven Wei - 2019
We estimate a generalized version of the Long-Run Risk model in a panel of developed and developing countries using consumption, dividend growth, and asset returns data by utilizing the particle filter, while allowing for measurement errors in consumption data at quarterly and annual...
Persistent link: https://www.econbiz.de/10012897110
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Estimating and testing beta pricing models on industries
Hammami, Yacine; Lindahl, Anna - In: Journal of economics & business 69 (2013), pp. 45-63
Persistent link: https://www.econbiz.de/10010236663
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Evaluating option pricing model performance using model uncertainty
Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2014
Persistent link: https://www.econbiz.de/10010502926