We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov (RFS 2009). For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric...

We estimate new indices measuring financial and economic uncertainty in the euro area, Germany, France, the United Kingdom and Austria, following the approach of Jurado, Ludvigson and Ng (2015), which measures uncertainty by the degree of predictability. We perform an impulse response analysis...

This paper provides an econometric analysis of parameter estimation for continuous-time affine term structure models that are driven by latent diffusions. Simulating an affine two factor short rate model where one process is Gaussian and the other factor is square root we perform a comparison...