Similar Search Results

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

Characteristic-sorted portfolios : estimation and inference

Cattaneo, Matias D.; Crump, Richard K.; Farrell, Max H.; … - 2016

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies in different asset classes. Despite the popularity of portfolio sorting, little attention has been paid to the statistical properties of the procedure or to the...

Persistent link: https://www.econbiz.de/10011523775

Global variance term premia and intermediary risk appetite

Van Tassel, Peter; Vogt, Erik - 2016

Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...

Persistent link: https://www.econbiz.de/10011523781

Data-driven jump detection thresholds for application in jump regressions

Davies, Robert; Tauchen, George Eugene - 2015

evaluate the performance of our method in a jump regression context. Finally, we apply our method in two empirical studies. In …

Persistent link: https://www.econbiz.de/10011524214

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2017

Persistent link: https://www.econbiz.de/10011782226

Multi-step non- and semi-parametric predictive regressions for short and long horizon stock return prediction

Cheng, Tingting; Gao, Jiti; Linton, Oliver - 2018

In this paper, we propose three new predictive models: the multi-step nonparametric predictive regression model and the … multi-step additive predictive regression model, in which the predictive variables are locally stationary time series; and … the multi-step time-varying coefficient predictive regression model, in which the predictive variables are stochastically …

Persistent link: https://www.econbiz.de/10011775136