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Empirical evidences on the interconnectedness between sampling and asset returns' distributions
Orlando, Guiseppe; Bufalo, Michele - In: Risks 9 (2021) 5, pp. 1-35
The aim of this work was to test how returns are distributed across multiple asset classes, markets and sampling frequency. We examine returns of swaps, equity and bond indices as well as the rescaling by their volatilities over different horizons (since inception to Q2-2020). Contrarily to some...
Persistent link: https://www.econbiz.de/10013200756
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Inductive linearization for binary quadratic programs with linear constraints
Mallach, Sven - In: 4OR 19 (2020) 4, pp. 549-570
A linearization technique for binary quadratic programs (BQPs) that comprise linear constraints is presented. The technique, called “inductive linearization”, extends concepts for BQPs with particular equation constraints, that have been referred to as “compact linearization” before, to...
Persistent link: https://www.econbiz.de/10014504477
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Scholarly impact of core econometrics journals: A catalog and citations-based ranking
Mixon, Franklin G.; Upadhyaya, Kamal Prasad - In: International Econometric Review (IER) 13 (2021) 4, pp. 118-131
With 23 core econometrics journals now in operation, this study fills a gap in the literature by cataloguing the … all core econometrics journals publish in an online format only, while the others publish both online and in-print. About … one-fourth of all core econometrics journals are affiliated with an academic organization or society, while the same …
Persistent link: https://www.econbiz.de/10014519018
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The Estimation of Multi-dimensional Fixed Effects Panel Data Models
Balazsi, Laszlo; Matyas, Laszlo; Wansbeek, Tom J. - 2015
The paper introduces the appropriate within estimators for the most frequently used three-dimensional fixed effects panel data models. It analyzes the behavior of these estimators in the cases of no self-flow data, unbalanced data, and dynamic autoregressive models. The main results are then...
Persistent link: https://www.econbiz.de/10010500421
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The behavior of uncertainty and disagreement and their roles in economic prediction: A panel analysis
Rich, Robert W.; Tracy, Joseph S. - 2017
This paper examines point and density forecasts from the European Central Bank's Survey of Professional Forecasters. We derive individual uncertainty measures along with individual point- and density-based measures of disagreement. We also explore the relationship between uncertainty and...
Persistent link: https://www.econbiz.de/10011796451
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Dynamic hierarchical factor models
Moench, Emanuel; Ng, Serena; Potter, Simon - 2009
This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...
Persistent link: https://www.econbiz.de/10010287088
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Identifying Structural Effects in NonseparableSystems Using Covariates
White, Halbert; Chalak, Karim - Boston College / Department of Economics - 2008
This paper demonstrates the extensive scope of an alternative to standardinstrumental variables methods, namely covariate-based methods, for identifying and es-timating effects of interest in general structural systems. As we show, commonly usedeconometric methods, speci…cally parametric,...
Persistent link: https://www.econbiz.de/10009302533
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Constrained general regression in pseudo-Sobolev spaces with application to option pricing
Hlávka, Zdeněk (contributor); Pešta, Michal (contributor) - 2006
State price density (SPD) contains important information concerning market expectations. In existing literature, a constrained estimator of the SPD is found by nonlinear least squares in a suitable Sobolev space. We improve the behavior of this estimator by implementing a covariance structure...
Persistent link: https://www.econbiz.de/10003376011
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Dynamic hierarchical factor models
Mönch, Emanuel; Ng, Serena; Potter, Simon M. - 2009
This paper uses multi-level factor models to characterize within- and between-block variations as well as idiosyncratic noise in large dynamic panels. Block-level shocks are distinguished from genuinely common shocks, and the estimated block-level factors are easy to interpret. The framework...
Persistent link: https://www.econbiz.de/10003948200
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Understanding firms' inflation expectations using the Bank of Canada's Business Outlook Survey
Richards, Simon; Verstraete, Matthieu - 2016
Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada's Business Outlook Survey, spanning the 2001 to 2015...
Persistent link: https://www.econbiz.de/10011540769