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Model Selection and Estimation of Long-Memory Time-Series Models

Carbonez, Katelijne A.E. - In: Review of Business and Economics LIV (2009) 4, pp. 512-554

An exploratory estimation of ARFIMA(p,d,q) models showed that the estimated d is sensitive to the short-term dynamics included. To address this issue, I run a series of Monte Carlo experiments and test the performance (i) of the AIC and the SIC in selecting p and q and (ii) of the AIC, the SIC...

Persistent link: https://www.econbiz.de/10008854569

Commentary: Some Methodological Suggestions

Hayashi, Fumio - In: International Journal of Central Banking 7 (2011) 1, pp. 217-223

Methodological suggestions are made for two separate issues. First, I show how a consistent estimate of the level of the expected inflation can be gleaned from inflation swap rates. Second, I indicate how the dynamic general equilibrium model in question can be modified to generate the observed...

Persistent link: https://www.econbiz.de/10008855743

Option Pricing with a Dynamic Fat-Tailed Model

Aboura, Sofiane; Valeyre, Sébastien; Wagner, Niklas - Université Paris-Dauphine (Paris IX) - 2013

has received renewed attention. We introduce a dynamic model for the pricing of European-style options with various … model on FTSE 100 stock index options during the period of January 2008 to June 2009. Our empirical results show that the …

Persistent link: https://www.econbiz.de/10010891139

Incentives from stock option grants: a behavioral approach

Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2011

This paper examines the incentives from stock options for loss-averse employees subject to probability weighting … time model to value options from the perspective of a representative employee. Consistent with a growing body of empirical … overestimate the value of his options in-excess of their risk-neutral value. This is nevertheless in stark contrast with a common …

Persistent link: https://www.econbiz.de/10010891141

Incentives from stock option grants: a behavioral approach

Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2011

Persistent link: https://www.econbiz.de/10010891143

Incentives from stock option grants: a behavioral approach

Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2011

This paper examines the incentives from stock options for loss-averse employees subject to probability weighting … time model to value options from the perspective of a representative employee. Consistent with a growing body of empirical … and experimental studies, the model predicts that the employee may overestimate the value of his options in-excess of …

Persistent link: https://www.econbiz.de/10010891144

Factor Structure in Commodity Futures Return and Volatility

Christoffersen, Peter; Lunde, Asger; Olesen, Kasper V. - School of Economics and Management, University of Aarhus - 2014

Using data on more than 750 million futures trades during 2004-2013, we analyze eight stylized facts of commodity price and volatility dynamics in the post financialization period. We pay particular attention to the factor structure in returns and volatility and to commodity market integration...

Persistent link: https://www.econbiz.de/10010892067

A Robust Equilibrium Relationship between Market Prices of Risks and Risk Aversion in Dynamically Complete Stochastic

Han, Qian; Turvey, Calum G. - 2013

continuous time stochastic volatility model completed by liquidly traded options. The relation is robust as it is valid for both … formation preferences. The relation can be used in practice to construct a daily market risk aversion index from options market. …

Persistent link: https://www.econbiz.de/10010892111

Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model

Lin, Ming; Liu, Changjiang; Niu, Linlin - 2013

The Wishart autoregressive (WAR) process is a powerful tool to model multivariate stochastic volatility (MSV) with correlation risk and derive closed-form solutions in various asset pricing models. However, making inferences of the WAR stochastic volatility (WAR-SV) model is challenging because...

Persistent link: https://www.econbiz.de/10010892135

Non-parametric Tests for the Martingale Restriction: A New Approach

Guo, Biao; Han, Qian; Ryu, Doojin - 2013

KOSPI 200 index options market. Our results provide strong evidence that the property is violated. Further regression … opportunities in the KOSPI 200 options market. …

Persistent link: https://www.econbiz.de/10010892140