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Persistent link: https://www.econbiz.de/10013534579
This paper presents a comparison of alternative option pricing models based either on jump-diffusion nor stochastic volatility data generating processes. We assume either a smooth volatility function of some previously defined explanatory variables or a model in which discrete-based observations...
Persistent link: https://www.econbiz.de/10005813665
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"According to""Harvey (1988)"", the forecasting ability of the term spread on economic growth is due to the fact that interest rates reflect investors' expectations about the future economic situation when deciding their plans for consumption and investment. Past literature has used ex post data...
Persistent link: https://www.econbiz.de/10005063412
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We propose a two-stage procedure to estimate conditional beta pricing models that allows for flexibility in the dynamics of asset betas and market prices of risk (MPR). First, conditional betas are estimated nonparametrically for each asset and period using the time-series of previous data....
Persistent link: https://www.econbiz.de/10010577995
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An important problem in time series is the estimation of the spectral density or spectrum of a stationary process. In this paper we propose to use an M-type smoothing spline to estimate the spectrum. We derive some general results for these type of estimators which allow us to choose the optimal...
Persistent link: https://www.econbiz.de/10005223560
This article proposes a new approach to testing for the hypothesis of a single priced risk factor driving the term structure of interest rates. The method does not rely on any parametric specification of the state variable dynamics or the market price of risk. It simply exploits the constraint...
Persistent link: https://www.econbiz.de/10005564810
We propose a new procedure to estimate and test conditional beta pricing models which allows for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). The method can be seen as a nonparametric version of the two-pass approach commonly employed in...
Persistent link: https://www.econbiz.de/10008486970