We use co-fractional models to evaluate the predictive relations between returns and a valuation ratio. The co-fractional model can handle situations where financial returns are predicted using persistent valuation ratios, like dividend to price. For our application we consider very long time...

This online appendix provides additional results in support of the analysis presented in the above-mentioned paper. First, we provide details on how we simulate from the posterior and predictive distributions for both the uniform and shrinkage prior. Second, we explain the numerical method we...

We consider mean-variance portfolio choice of a robust investor. The investor receives advice from J experts, each with a different prior for expected returns and risk. Given this advice the investor follows a min-max portfolio strategy. We study the structure of the robust mean-variance...

The paper contributes to the literature on integration of stock markets by addressing the issue of non-synchronous trading. We argue that controlling for time differences in trading hours of stock markets is important and show that time-adjustment improves estimates of market integration. We...

Prepayment of Dutch mortgage loans is restricted to a fixed amount per calendar year. Due to path dependence the valuation of these mortgage loans is more complicated than the valuation of unrestricted prepayment options. In this paper we derive an optimal and efficient strategy to price...

In this paper we propose a tick time model for dealer quote interactions using ultra-high-frequency data. This model includes duration functions to measure the time dependence of volatility as well as information asymmetry. In order to assess price discovery we define several measures in tick...

The high value of the implicit option to choose a retirement date at which interest rates are particularly high and life annuities relatively cheap, leads to the possibility to introduce regret aversion in the retirement investment decision of defined contribution plan participants. As a remedy...

In this paper we compare time series and cross section estimates of the well known Vasicek [1977] and Cox, Ingersoll and Ross [1985] term structure models for a dataset of daily bond prices and short term interest rates for the Netherlands. The main conclusion of this paper is the great...