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This paper estimates and tests several versions of the consumption-based asset pricing model extended to allow for time-nonseparable preferences and/or liquidity constraint proxies, using Canadian aggregate data. It is found that a habit-persistence effect uncovered in the time-nonseparable...
Persistent link: https://www.econbiz.de/10009200934
Volatility clustering is a well-known stylized feature of financial asset returns. In this paper, we investigate the asymmetric pattern of volatility clustering on both the stock and foreign exchange rate markets. To this end, we employ copula-based semi-parametric univariate time-series models...
Persistent link: https://www.econbiz.de/10008568542
This paper investigates whether convenience yield is an important factor in determining optimal decisions for a forestry investment. The Kalman filter method is used to estimate three different models of lumber prices: a mean reverting model, a simple geometric Brownian motion and the two-factor...
Persistent link: https://www.econbiz.de/10008802349
Selecting an estimator for the variance covariance matrix is an important step in hypothesis testing. From less robust to more robust, the available choices include: Eicker/White heteroskedasticity-robust standard errors, Newey and West heteroskedasticity-and-autocorrelation- robust standard...
Persistent link: https://www.econbiz.de/10008764559
In response to the widespread availability of illegal contraband, the federal and five provincial governments in Canada implemented a 40-60% reduction to cigarette excise taxes in February 1994. We exploit this unique and discrete policy shock by estimating the effects of cigarette taxes on...
Persistent link: https://www.econbiz.de/10008684694
We study the problem of ?finding the worst-case joint distribution of a set of risk factors given prescribed multivariate marginals and a nonlinear loss function. We show that when the risk measure is CVaR, and the distributions are discretized, the problem can be conveniently solved using...
Persistent link: https://www.econbiz.de/10011277171
Numerical challenges inherent in algorithms for computing worst Value-at-Risk in homogeneous portfolios are identified and words of warning concerning their implementation are raised. Furthermore, both conceptual and computational improvements to the Rearrangement Algorithm for approximating...
Persistent link: https://www.econbiz.de/10011277174
Persistent link: https://www.econbiz.de/10010166598
Persistent link: https://www.econbiz.de/10009827390
This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...
Persistent link: https://www.econbiz.de/10012611110