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Simple GMM Estimation of the Semi-Strong GARCH(1,1) Model

Todd, Prono - Volkswirtschaftliche Fakultät, … - 2010

Efficient GMM estimation of the semi-strong GARCH(1,1) model requires simultaneous estimation of the conditional third … and fourth moments. This paper proposes a simple alternative to efficient GMM based upon the unconditional skewness of … instruments. Sequential estimation involves TSLS in a first step followed by linear GMM. Simultaneous estimation involves either …

Persistent link: https://www.econbiz.de/10008543477

Market Proxies, Correlation, and Relative Mean-Variance Efficiency: Still Living with the Roll Critique

Todd, Prono - Volkswirtschaftliche Fakultät, … - 2009

A test of the CAPM is developed conditional on a prior belief about the correlation between the true market return and the proxy return used in the test. Consideration is given to the effect of the proxy's mismeasurement of the market return on the estimation of the market model. Failure to...

Persistent link: https://www.econbiz.de/10008543524

Segmentation across International Equity, Bond, and Foreign Exchange Markets

Ning, Cathy; Sapp, Stephen - Department of Economics, Ryerson University - 2009

In this paper, we examine the integration of international financial markets. The integration of financial markets across countries and across asset classes is assumed to hold in most empirical studies, but has only been tested for certain countries and certain asset classes. We test for the...

Persistent link: https://www.econbiz.de/10008549329

Asset Prices and Asset Correlations in Illiquid Markets

Caldarera, Alessio; Brunetti, Celso - Society for Economic Dynamics - SED - 2005

Persistent link: https://www.econbiz.de/10005090846

Size Matters: Covariance Matrix Estimation Under the Alternative

Allen, Jason - Economics Department, Queen's University - 2005

overidentifying restrictions for parameters estimated by Generalized Method of Moments (GMM) is more powerful, once the test is size …

Persistent link: https://www.econbiz.de/10005688363

An Investment-Growth Asset Pricing Model

Li, Qing; Vassalou, Maria; Xing, Yuhang - C.E.P.R. Discussion Papers - 2001

model is tested for its ability to price the 25 Fama-French portfolios using the Generalized Methods of Moments (GMM …. Specification tests in the context of GMM and the Fama-MacBeth regressions show that in the presence of the investment growth …

Persistent link: https://www.econbiz.de/10005504559

An iterated GMM procedure for estimating the Campbell-Cochrane habit formation model, with an application to Danish stock and bond returns

Engsted, Tom; Møller, Stig V. - School of Economics and Management, University of Aarhus - 2008

We suggest an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and …

Persistent link: https://www.econbiz.de/10005440066

Spectral Density Bandwidth Choice and Prewhitening in the Generalized Method of Moments Estimators for the Asset Pricing Models

Chiang, Min-Hsien; Kao, Chihwa - Society for Computational Economics - SCE - 2002

Persistent link: https://www.econbiz.de/10005537650

Modelling Exchange Rates in Continuous Time: Theory, Estimation and Option Pricing

Perraudin, William; Sørensen, Bent - Økonomisk Institut, Københavns Universitet - 1994

Recent research on contingent claims valuation has assumed increasingly general models of the behavior of cash securities. Relatively few attempts have been made to implement and evaluate such models empirically, however. In this paper we apply a multi-factor, continuous time pricing model to...

Persistent link: https://www.econbiz.de/10005543481

Design and Estimation of Quadratic Term Structure Models

Leippold, Markus; Wu, Liuren - EconWPA - 2002

We consider the design and estimation of quadratic term structure models. We start with a list of stylized facts on interest rates and interest rate derivatives, classified into three layers: (1) general statistical properties, (2) forecasting relations, and (3) conditional dynamics. We then...

Persistent link: https://www.econbiz.de/10005413240