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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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Asset pricing at the millennium
Campbell, John Y. - In: The journal of finance : the journal of the American … 55 (2000) 4, pp. 1515-1567
Persistent link: https://www.econbiz.de/10001505403
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Would there ever be consensus value and source of the equity risk premium? : A review of the extant literature
Oyefeso, Oluwatobi - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 199-215
Persistent link: https://www.econbiz.de/10003312723
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Financial markets and the real economy
Cochrane, John H. - 2005
Persistent link: https://www.econbiz.de/10003285703
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Consumption-based asset pricing, part 2: habit formation, conditional risks, long-run risks, and rare disasters
Breeden, Douglas T.; Litzenberger, Robert H.; Jia, Tingyan - In: Annual review of financial economics 7 (2015), pp. 85-131
Persistent link: https://www.econbiz.de/10011568207
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The macroeconomy and the yield curve : the search for a unified approach
Rotondi, Zeno - In: International finance and monetary policy, (pp. 187-208). 2006
Persistent link: https://www.econbiz.de/10003459497
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Portfolio theory : as I still see it
Markowitz, Harry - In: Annual review of financial economics 2 (2010), pp. 1-23
Persistent link: https://www.econbiz.de/10008797849
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Cross-country growth empirics and model uncertainty : an overview
Ulaşan, Bülent - 2012
The aim of this paper is to provide an overview of empirical cross-country growth literature. The paper begins with describing the basic framework used in recent empirical crosscountry growth research. Even though this literature was mainly inspired by endogenous growth theories, the...
Persistent link: https://www.econbiz.de/10009538015
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A critique of the literature on the US financial debt crisis
Stein, Jerome L. - 2010
A healthy financial system encourages the efficient allocation of capital and risk. The collapse of the house price … stochastic optimal control (SOC)/dynamic risk management is a much more effective approach to determine the optimal degree of … leverage, the optimum and excessive risk and the probability of a debt crisis. The theoretically founded early warning signals …
Persistent link: https://www.econbiz.de/10003936616
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The economics and law of sovereign debt and default
Panizza, Ugo; Sturzenegger, Federico; Zettelmeyer, Jeromin - In: Journal of economic literature 47 (2009) 3, pp. 651-698
Persistent link: https://www.econbiz.de/10008699478