This article investigates parameter estimation of affine term structure models by means of the generalized method of moments. Exact moments of the affine latent process as well as of the yields are obtained by using results derived for p-polynomial processes. Then the generalized method of...

We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov. For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric portfolio policy...

Using an extensive cross-section of US corporate CDS this paper offers an economic understanding of implied loss given default (LGD) and jumps in default risk. We formulate and underpin empirical stylized facts about CDS spreads, which are then reproduced in our affine intensity-based...

We compare the performance of the characteristics-based parametric portfolio approach introduced by Brandt, Santa Clara and Valkanov (RFS 2009) with standard optimal portfolio investments on the basis of S&P-500 stocks. We establish that the characteristics-based parametric portfolio approach...

We investigate the sources of time-variation in the stock-oil correlation over the period 1986-2018. We first derive an oil futures return news decomposition following Campbell and Shiller (1988) and Campbell (1991). Then, for both stock and oil, we split unexpected returns into cash-flow news...

We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...

In this article we study the expected rank problem under full information. Our approach uses the planar Poisson approach from Gnedin (2007) to derive the expected rank of a stopping rule that is one of the simplest non-trivial examples combining rank dependent rules with threshold rules. This...

In this article we estimate default intensities within the continuous time Jarrow/Turnbull (1995) model from daily observations of German bank bond prices, based on the default-free term structure estimated from the Svensson (1994) model provided by the Deutsche Bundesbank. Cross-sectional and...

This article covers the implicit estimation of the parameters in the Jarrow/Turnbull (1995) default risk model. We demonstrate by means of a simulation analysis that joint estimation of the default intensity and the recovery rate by non-linear least squares is numerically unstable. Therefore, we...

This paper applies recently developed procedures to monitor and date so-called "financial marketdislocations", defined as periods in which substantial deviations from arbitrage parities take place. In particular, we focus on deviations from the triangular arbitrage parity for exchange rate...