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

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

of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …

Persistent link: https://www.econbiz.de/10011431982

Stripping the discount curve : a robust machine learning approach

Filipović, Damir; Pelger, Markus; Ye, Ye - 2022

standard for yield curve estimation …

Persistent link: https://www.econbiz.de/10013169176

Missing events in event studies : identifying the effects of partially-measured news surprises

Gürkaynak, Refet S.; Kısacıkoğlu, Burçin; Wright, … - 2018

Macroeconomic news announcements are elaborate and multi-dimensional. We consider a framework in which jumps in asset prices around macroeconomic news and monetary policy announcements reflect both the response to observed surprises in headline numbers and latent factors, reflecting other...

Persistent link: https://www.econbiz.de/10011900777

Distribution, aggregate demand and productivity growth : theory and empirical results for six OECD countries based on a post-Kaleckian model

Hein, Eckhard; Tarassow, Artur - 2008

Empirical research based on the Bhaduri/Marglin-variant of the Kaleckian model has recently shown that aggregate demand in many medium-sized and large open economies tends to be wage-led in the medium to long run, even in a period of increasing globalisation. In this paper we extend this type of...

Persistent link: https://www.econbiz.de/10003772369

Consumption Externalities and Growth : Theory and Evidence for the United States

Petach, Luke - 2018

We study a series of growth models in which households' preferences display `jealousy' or `external habits': a negative dependence on average consumption. We argue that accounting for consumption externalities in growth models requires consideration of both their static and dynamic effects. In a...

Persistent link: https://www.econbiz.de/10012932544