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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach

Dufour, Jean-Marie; Beaulieu, Marie-Claude; Khalaf, Lynda - 2003

In this paper we propose exact likelihood-based mean-variance efficiency tests of the market portfolio in the context … Shanken's mean-variance efficiency tests. In non-gaussian contexts, we reconsider mean-variance efficiency tests allowing for … i.i.d. assumption, and (iii) mean-variance efficiency tests of the market portfolio is not rejected as frequently once …

Persistent link: https://www.econbiz.de/10010295747

The pricing of correlated default risk: evidence from the credit derivatives market

Zhu, Haibin; Tarashev, Nikola A. - 2008

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

Persistent link: https://www.econbiz.de/10010295946

Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model

Hautsch, Nikolaus - 2007

We introduce a multivariate multiplicative error model which is driven by componentspecific observation driven dynamics as well as a common latent autoregressive factor. The model is designed to explicitly account for (information driven) common factor dynamics as well as idiosyncratic effects...

Persistent link: https://www.econbiz.de/10010298374

Wealth Dynamics in the 1980's and 1990's: Sweden and the U.S.

Klevmarken, Anders; Lupton, Joseph; Stafford, Frank - 2000

Given differences in public saving programs between Sweden and the United States, an examination of household private wealth accumulation in these two countries can be enlightening. In this paper we examine wealth inequality and mobility in Sweden and the United States over the past decade. We...

Persistent link: https://www.econbiz.de/10010321756

Time-Varying Yield Curve Dynamics and Monetary Policy

Mumtaz, Haroon; Surico, Paolo - 2008

The dynamics of the US economy are modelled using a time-varying structural vector autoregression that incorporates information from the yield curve. We find important changes in the dynamics of macroeconomic variables such as inflation and the federal funds rate. In addition our results suggest...

Persistent link: https://www.econbiz.de/10010323558

Long Memory Modelling of Inflation with Stochastic Variance and Structural Breaks

Bos, C.S.; Koopman, S.J.; Ooms, M. - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10010325333

A Non-Gaussian Panel Time Series Model for Estimating and Decomposing Default Risk

Koopman, Siem Jan; Lucas, André; Daniels, Robert - 2005

We model 1981–2002 annual US default frequencies for a panel of firms in different rating and age classes. The data is decomposed into a systematic and firm-specific risk component, where the systematic component reflects the general economic conditions and default climate. We have to cope...

Persistent link: https://www.econbiz.de/10010325605

Forecast Accuracy and Economic Gains from Bayesian Model Averaging using Time Varying Weights

Hoogerheide, Lennart; Kleijn, Richard; Ravazzolo, Francesco - 2009

Several Bayesian model combination schemes, including some novel approaches that simultaneously allow for parameter uncertainty, model uncertainty and robust time varying model weights, are compared in terms of forecast accuracy and economic gains using financial and macroeconomic time series....

Persistent link: https://www.econbiz.de/10010325722

Time-varying Combinations of Predictive Densities using Nonlinear Filtering

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2012

We propose a Bayesian combination approach for multivariate predictive densities which relies upon a distributional state space representation of the combination weights. Several specifications of multivariate time-varying weights are introduced with a particular focus on weight dynamics driven...

Persistent link: https://www.econbiz.de/10010326141

Measuring peer effects on youth smoking behavior

Nakajima, Ryo - 2004

This paper examines the role of peer effects in smoking behavior using data of middle and high school students in the United States. I present a random utility model that explicitly incorporates complementarity between individual and peer smokings. A Markov process model of smoking interactions...

Persistent link: https://www.econbiz.de/10010332516

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