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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

A two-step indirect inference approach to estimate the long-run risk asset pricing model

Grammig, Joachim; Küchlin, Eva-Maria - 2017

inference approach that disentangles the estimation of the model's macroeconomic dynamics and the investor's preference … parameters. A Monte Carlo study explores the feasibility and efficiency of the estimation strategy. We apply the method to recent …

Persistent link: https://www.econbiz.de/10011721901

A two-step indirect inference approach to estimate the long-run risk asset pricing model

Grammig, Joachim; Küchlin, Eva-Maria - 2017

Persistent link: https://www.econbiz.de/10011657819

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

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

Estimation Risk, Learning and the Equity Premium

Gvozdeva, Evgenia - 2011

We examine the effects of estimation risk and Bayesian learning on equilibrium asset prices when there is uncertainty …. For reducing the discrepancy between the equilibrium outcomes and the data, variations in the prior estimation risk with …

Persistent link: https://www.econbiz.de/10013130393

Consumption Risk and the Cross-Section of Expected Returns

Julliard, Christian; Parker, Jonathan A. - 2005

This paper evaluates the central insight of the Consumption Capital Asset Pricing Model (CCAPM) that an asset's expected return is determined by its equilibrium risk to consumption. Rather than measure the risk of a portfolio by the contemporaneous covariance of its return and consumption growth...

Persistent link: https://www.econbiz.de/10014067851