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The forward discount puzzle refers to the robust empirical finding that foreign excess returns are predictable. We investigate if expectations errors are the main cause of this predictability using the serial dependence pattern of excess returns implied by economic models as identification...
Persistent link: https://www.econbiz.de/10013131186
This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...
Persistent link: https://www.econbiz.de/10013132892
This paper develops new inference methods for testing the expectations hypothesis in a general econometric framework. In particular, we consider nonparametric tests of the predictability of excess returns in the presence of MA disturbances. We discuss several alternatives of aggregation and...
Persistent link: https://www.econbiz.de/10013134230
Although Bermudan options are routinely priced by simulation and least-squares methods using lower and dual upper bounds, the latter are hardly optimized. In this paper, we optimize recursive upper bounds, which are more tractable than the original/nonrecursive ones, and derive two new results:...
Persistent link: https://www.econbiz.de/10012904671
This article proposes a class of goodness-of-fit tests for the autocorrelation function of a time series process, including those exhibiting long-range dependence. Test statistics for composite hypotheses are functionals of a (approximated) martingale transformation of the Bartlett's Tp-process...
Persistent link: https://www.econbiz.de/10012771005
Whittle pseudo-maximum likelihood estimates of parameters for stationary time series have been found to be consistent and asumptotically normal in the presence of long-range dependence. Generalizing the definition of the memory parameter d, we extend these results to include possibly...
Persistent link: https://www.econbiz.de/10012771056