Showing 1,201 - 1,210 of 1,260
We propose a new model of chartist-fundamentalist-interaction in which both groups of traders are allowed to select endogenously between different forecasting models and different investment horizons. Stochastic interest rates in both countries and different behavioral assumptions for...
Persistent link: https://www.econbiz.de/10009485275
Individual choices are either based on personal experience or on information provided by peers. The latter case, causes individuals to conform to the majority in their neighborhood. Such herding behavior may be very efficient in aggregating disperse private information, thereby revealing the...
Persistent link: https://www.econbiz.de/10009485277
In this paper, we evaluate specification and pricing error for the Consumption (C-) CAPM in the case where the model is optimally scaled by consumption-wealth ratio (CAY). Lettau and Ludvigson (2001b) show that the C-CAPM successfully explains a large portion (about 70%) of the cross-section of...
Persistent link: https://www.econbiz.de/10009485279
This paper outlines a testing procedure for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models, and surveys existing related methods in the area of predictive density evaluation, including methods based on the probability integral transform and...
Persistent link: https://www.econbiz.de/10009485283
In this paper I study the statistical properties of a bias corrected realized variance measure when high frequency asset prices are contaminated with market microstructure noise. The analysis is based on a pure jump process for asset prices and explicitly distinguishes among different sampling...
Persistent link: https://www.econbiz.de/10009485284
The purpose of this paper is to derive explicit formulae for the asset allocation decision for the loss aversion utility function proposed by Kahneman and Tuversky. We show that these utility functions exhibit constant absolute risk aversion. We also give analytic results which interpret the...
Persistent link: https://www.econbiz.de/10009485289
In this paper we re-consider the theoretical basis for the Lucas Critique from the point of view of Robust Decision Theory. We first emphasise that the Lucas Critique rests on a weak theoretical paradigm in that it fails to consider the motivation for the policy change by the government and...
Persistent link: https://www.econbiz.de/10009485290
Chapter one is a brief discussion of a few methodological premises. The second chapter is meant to show (by means of a theoretical analysis) the effective macroeconomic relevance of oligopsony in the market for credit. This is done by using two models. In the first (simplified) model - where the...
Persistent link: https://www.econbiz.de/10009485300
We distinguish between intended production and residual generation and introduce the concept of by-production. We show that by-production provides the fundamental explanation for the positive correlation that is observed between intended production and residual generation. Most of the existing...
Persistent link: https://www.econbiz.de/10009485303
Is the result that equilibrium trading outcomes are efficient in markets without frictions robust to a scenario where agents' beliefs and plans aren't already aligned at their equilibrium values? In this paper, starting from a situation where agents' beliefs and plans aren't already aligned at...
Persistent link: https://www.econbiz.de/10009485304