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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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Consumption-based asset pricing with rare disaster risk : a simulated method of moments approach ; conference paper
Grammig, Joachim; Sönksen, Jantje - 2014
theory, empirical tests of the rare disaster explanation are scarce. We estimate a disaster-including consumption-based asset …
Persistent link: https://www.econbiz.de/10010491152
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Stated preference methods for environmental valuation : applications from Austria and Germany
Meyerhoff, Jürgen (ed.) - 2007 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003527968
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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
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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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Liquidity : How to Find it, Regulate it, Get it
Schwartz, Robert A. (ed.); Byrne, John A. (ed.);  … - Financial Markets Conference <2022, New York, NY> - 2023
1. Indexing, ETFs and Robos - Are Stocks an Endangered Species? -- 2. How Technology is Transforming Liquidity … Provision -- 3. Liquidity – A Fluid Concept from a European View -- 4. What Can Be Done to Drive Mid- and Small-Cap Liquidity …? -- 5. New Approaches for Creating Liquidity -- 6. Fireside Chat: Michael S. Piwowar, U.S. Securities & Exchange Commission. …
Persistent link: https://www.econbiz.de/10014375091
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The foundations of positive and normative economics : a handbook
Caplin, Andrew (ed.); Schotter, Andrew (contributor) - 2008
Persistent link: https://www.econbiz.de/10003679737
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Decomposing risk in dynamic stochastic general equilibrium : conference paper
Lan, Hong; Meyer-Gohde, Alexander - 2014 - This version: December 19, 2013
We analyze the theoretical moments of a nonlinear approximation to real business cycle model with stochastic volatility and recursive preferences. We find that the conditional heteroskedasticity of stochastic volatility operationalizes a time-varying risk adjustment channel that induces...
Persistent link: https://www.econbiz.de/10010487749
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Nonparametric analysis of random utility models : testing ; conference paper
Kitamura, Yuichi; Stoye, Jörg - 2013 - This version: February 8, 2013
This paper aims at formulating econometric tools for investigating stochastic rationality, using the Random Utility Models (RUM) to deal with unobserved heterogeneity nonparametrically. Theoretical implications of the RUM have been studied in the literature, and in particular this paper utilizes...
Persistent link: https://www.econbiz.de/10010342819