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Advances in Consumption-Based Asset Pricing : Empirical Tests
Ludvigson, Sydney C. - 2011
methodologies for evaluating consumption-based models, with an emphasis on method-of-moments estimators. Finally, the chapter offers …The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender … for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset …
Persistent link: https://www.econbiz.de/10013128099
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Robust test of long run risk and valuation risk model
Gopalakrishna, Goutham - 2017
run component of consumption growth process is proxied by a news based index that is created using a random forest … algorithm. This news index is shown to predict aggregate long term consumption growth with an R-square of 57% and is robust to … model that arises due to measurement error in consumption data and show that this bias term is non-zero. Using a three pass …
Persistent link: https://www.econbiz.de/10011819242
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Chapter 12. Advances in Consumption-Based Asset Pricing: Empirical Tests
Ludvigson, Sydney C. - 2013
methodologies for evaluating consumption-based models, with an emphasis on method-of-moments estimators. Finally, the chapter offers …The last 15 years has brought forth an explosion of research on consumption-based asset pricing as a leading contender … for explaining aggregate stock market behavior. This research has propelled further interest in consumption-based asset …
Persistent link: https://www.econbiz.de/10014025366
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Real(istic) Time-Varying Probability of Consumption Disasters
Huang, Xiaoyu; Jin, Tao; Zhou, Hao - 2021
We model the time-varying probability of consumption disasters with international risk interactions and estimate the … the equity volatility than alternative rare disaster models. Finally, the disaster probability index estimated from the …
Persistent link: https://www.econbiz.de/10013230360
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The Determinants of Inflation
Kinlaw, William B.; Kritzman, Mark; Metcalfe, Michael; … - 2022
The authors apply a Hidden Markov Model to identify regimes of shifting inflation and then employ an attribution technique based on the Mahalanobis distance to identify the economic variables that determine the trajectory of inflation. Their analysis enables policymakers to focus on the most...
Persistent link: https://www.econbiz.de/10014030604
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Estimation of Heterogeneous Agent Models : A Likelihood Approach
Parra-Alvarez, Juan Carlos - 2020
We study the statistical properties of heterogeneous agent models. Using a Bewley-Hugget-Aiyagari model we compute the …
Persistent link: https://www.econbiz.de/10012826224
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Estimation of Heterogeneous Agent Models : A Likelihood Approach
Parra-Alvarez, Juan Carlos - 2020
In this paper, we study the statistical properties of heterogeneous agent models with incomplete markets. Using a …
Persistent link: https://www.econbiz.de/10012853321
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Realized copula
Fengler, Matthias R.; Okhrin, Ostap - 2012
portfolio risk-management applica- tion, we find that time-varying realized copula is superior to standard benchmark models in …
Persistent link: https://www.econbiz.de/10009537332
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Managing Risk with a Realized Copula Parameter
Fengler, Matthias R. - 2016
A dynamic copula model is introduced, in which the copula structure is inferred from the realized covariance matrix estimated from within-day high-frequency data. The estimation is carried out in a method-of-moments fashion using Hoeffding's lemma. Applying this procedure day by day gives rise...
Persistent link: https://www.econbiz.de/10013008110
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Penalized Adaptive Forecasting With Large Information Sets and Structural Changes
Zboňáková, Lenka - 2018
structural changes in sparse linear models. The method is able to allocate the longest homogeneous intervals over the data sample … and simultaneously choose the most proper variables with the help of penalized regression models. The method is simple yet … adaptive method in linear models, its combination with dimension reduction yields a method which properly selects significant …
Persistent link: https://www.econbiz.de/10012912415