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Consumption-based asset pricing with rare disaster risk : a simulated method of moments approach ; conference paper
Grammig, Joachim; Sönksen, Jantje - 2014
The rare disaster hypothesis suggests that the extraordinarily high postwar U.S. equity premium resulted because investors ex ante demanded compensations for unlikely but calamitous risks that they happened not to incur. While convincing in theory, empirical tests of the rare disaster...
Persistent link: https://www.econbiz.de/10010491152
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Give me strong moments and time : combining GMM and SMM to estimate long-run risk asset pricing models ; conference paper
Grammig, Joachim; Schaub, Eva-Maria - 2014
The long-run consumption risk (LRR) model is a convincing approach towards resolving prominent asset pricing puzzles. Whilst the simulated method of moments (SMM) provides a natural framework to estimate its deep parameters, caveats concern model solubility and weak identification. We propose a...
Persistent link: https://www.econbiz.de/10010490550
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Overidentification test in a nonparametric treatment model with unobserved heterogeneity : conference paper
Dzemski, Andreas; Sarnetzki, Florian - 2014 - This version: February 15, 2014
investigate the validity and finite sample performance of an easy-to-implement wild bootstrap procedure. Finally, we illustrate … a multiplier bootstrap to conduct inference in a treatment model with nonparametrically estimated regressors. Our … simulations illustrate that a much easier to implement na ve wild bootstrap procedure can have good properties. In our application …
Persistent link: https://www.econbiz.de/10010491120
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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper
Gribisch, Bastian - 2013
This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...
Persistent link: https://www.econbiz.de/10010341025
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Cyclical asset returns in the consumption and investment goods sector : conference paper
Heer, Burkhard; Maußner, Alfred; Süssmuth, Bernd - 2014
We document the empirical fact that asset prices in the consumption-goods and investment-goods sector behave almost identically in the US economy. In order to derive the cyclical behavior of the equity returns in these two sectors, we onsider a standard two-sector real-business cycle model with...
Persistent link: https://www.econbiz.de/10010482490
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The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper
Leppin, Julian Sebastian - 2014 - This version: February 2014
This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...
Persistent link: https://www.econbiz.de/10010480543
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The view of financial institutions
Balling, Morten (ed.); Berk, Jan Marc (ed.);  … - Colloquium The Quest for Stability <2009, Utrecht>; … - 2010
On September 3-4, 2009, SUERF and Utrecht University School of Economics jointly organized the 28th SUERF Colloquium on "The Quest for Stability" in Utrecht, the Netherlands. The papers contained in this SUERF Study jointly published with DNB and Rabobank are based on contributions to this...
Persistent link: https://www.econbiz.de/10011706507
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The empirical (ir)relevance of the interest rate assumption for central bank forecasts : conference paper
Knüppel, Malte; Schultefrankenfeld, Guido - 2013
The interest rate assumptions for macroeconomic forecasts differ considerably among central banks. Common approaches are given by the assumption of constant interest rates, interest rates expected by market participants, or the central bank's own interest rate expectations. From a theoretical...
Persistent link: https://www.econbiz.de/10010337208
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State space and unobserved component models : theory and applications
Harvey, Andrew C. (ed.); Koopman, Siem Jan (contributor);  … - 2004 - 1. publ.
Persistent link: https://www.econbiz.de/10009681752
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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