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A method to generate multivariate data with moments arbitrary close to the desired moments

Lyhagen, Johan - 2001

We show how it is possible to generate multivariate data which have moments arbitrary close to the desired ones. They are generated as linear combinations of variables with known theoretical moments. It is shown how to derive the weights of the linear combinations in both the univariate and the...

Persistent link: https://www.econbiz.de/10010281300

Asymptotic properties of the maximum likelihood estimator of random effects models with serial correlation

Skoglund, Jimmy; Karlsson, Sune - 2001

This paper considers the large sample behavior of the maximum likelihood estimator of random effects models with serial correlation in the form of AR(1) for the idiosyncratic or time-specific error component. Consistent estimation and asymptotic normality as N and/or T grows large is established...

Persistent link: https://www.econbiz.de/10010281303

New-Keynesian models and monetary policy: A reexamination of the stylized facts

Söderström, Ulf; Söderlind, Paul; Vredin, Anders - 2003

Using an empirical New-Keynesian model with optimal discretionary monetary policy, we calibrate key parameters - the central bank's preference parameters; the degree of forward-looking behavior in the determination of inflation and output; and the variances of inflation and output shocks - to...

Persistent link: https://www.econbiz.de/10010281311

A simple efficient GMM estimator of GARCH models

Skoglund, Jimmy - 2001

This paper is concerned with efficient GMM estimation and inference in GARCH models. Sufficient conditions for the estimator to be consistent and asymptotically normal are established for the GARCH(1,1) conditional variance process. In addition efficiency results are obtained in the general...

Persistent link: https://www.econbiz.de/10010281314

On the timing option in a futures contract

Biagini, Francesca; Björk, Tomas - 2005

The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the...

Persistent link: https://www.econbiz.de/10010281316

Bertrand competition with intertemporal demand

Dutta, Prajit; Matros, Alexander; Weibull, Jörgen W. - 2002

In the text-book model of dynamic Bertrand competition, competing firms meet the same demand function every period. This is not a satisfactory model of the demand side if consumers can make intertemporal substitution between periods. Each period then leaves some residual demand to future...

Persistent link: https://www.econbiz.de/10010281317

Does adverse selection matter? Evidence from a natural experiment

Grönqvist, Erik - 2004

The empirical evidence of adverse selection in insurance markets is mixed. The problem in assessing the extent of adverse selection is that private information, on which agents act, is generally unobservable to the researcher, which makes it difficult to distinguish between adverse selection and...

Persistent link: https://www.econbiz.de/10010281320

Outer measure and utility

Voorneveld, Mark; Weibull, Jörgen W. - 2008

approach for countable domains and combining this with basic measure theory, we obtain necessary and sufficient conditions for … the existence of upper semi-continuous utility functions on a wide class of domains. Although links between utility theory … and measure theory have been pointed out before, to the best of our knowledge this is the first time that the present …

Persistent link: https://www.econbiz.de/10010281322

General quadratic term structures of bond, futures and forward prices

Gaspar, Raquel M. - 2004

For finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other,...

Persistent link: https://www.econbiz.de/10010281327

Monetary policy with incomplete exchange rate pass-through

Adolfson, Malin - 2001

The central bank's optimal reaction to foreign and domestic shocks is analyzed in an inflation targeting model allowing for incomplete exchange rate pass-through. Limited pass-through is incorporated through nominal rigidities in an aggregate supply-aggregate demand model derived from some...

Persistent link: https://www.econbiz.de/10010281328