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Nonparametric stochastic discount factor decomposition
Christensen, Timothy - 2015
We introduce econometric methods to perform estimation and inference on the permanent and transitory components of the …
Persistent link: https://www.econbiz.de/10010532537
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Nonparametric test for a constant beta over a fixed time interval
Reiß, Markus; Todorov, Viktor; Tauchen, George Eugene - 2014
We derive a nonparametric test for constant (continuous) beta over a fixed interval of time. Continuous beta is defined as the ratio of the continuous covariation between an asset and observable risk factor (e.g., the market return) and the continuous variation of the latter. Our test is based...
Persistent link: https://www.econbiz.de/10010253467
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The cross-sectional distribution of fund skill measures
Barras, Laurent; Gagliardini, Patrick; Scaillet, Olivier - 2018 - This version, October 18, 2018
We develop a novel approach to jointly examine skill, scale, and value added across individual funds. We find that the value added is (i) positive for the vast majority of funds, and (ii) close to its optimal level after an adjustment period possibly due to investors' learning. We also show that...
Persistent link: https://www.econbiz.de/10011937106
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Nonparametric Testing for Anomaly Effects in Empirical Asset Pricing Models
Jin, Sainan; Su, Liangjun; Zhang, Yonghui - School of Economics, Singapore Management University - 2014
In this paper we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric functional form to...
Persistent link: https://www.econbiz.de/10010887079
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Global variance term premia and intermediary risk appetite
Van Tassel, Peter; Vogt, Erik - 2016
Sellers of variance swaps earn time-varying risk premia for their exposure to realized variance, the level of variance swap rates, and the slope of the variance swap curve. To measure risk premia, we estimate a dynamic term structure model that decomposes variance swap rates into expected...
Persistent link: https://www.econbiz.de/10011523781
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Estimation of stochastic volatility models by nonparametric filtering
Kanaya, Shin; Kristensen, Dennis - 2015
A two-step estimation method of stochastic volatility models is proposed. In the first step, we nonparametrically … estimate the (unobserved) instantaneous volatility process. In the second step, standard estimation methods for fully observed … estimation strategy is applicable to both parametric and nonparametric stochastic volatility models, and can handle both jumps …
Persistent link: https://www.econbiz.de/10010487528
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Non-parametric estimation of intraday spot volatility : disentangling Instantaneous Trend and Seasonality
Vatter, Thibault; Wu, Hau-tieng; Chavez-Demoulin, Valérie - In: Econometrics : open access journal 3 (2015) 4, pp. 864-887
We provide a new framework for modeling trends and periodic patterns in high-frequency financial data. Seeking adaptivity to ever-changing market conditions, we enlarge the Fourier flexible form into a richer functional class: both our smooth trend and the seasonality are non-parametrically...
Persistent link: https://www.econbiz.de/10011411344
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Estimation of Stochastic Volatility Models by Nonparametric Filtering
Kristensen, Dennis - 2010
A two-step estimation method of stochastic volatility models is proposed: In the first step, we estimate the …, standard estimation methods for fully observed diffusion processes are employed, but with the filtered volatility process … replacing the latent process. Our estimation strategy is applicable to both parametric and nonparametric stochastic volatility …
Persistent link: https://www.econbiz.de/10013136828
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Empirical Pricing Kernel Estimation Using a Functional Gradient Descent Algorithm Based on Splines
Meier, Pirmin - 2012
estimation properties of the method and test its predictive power on S&P 500 option data, comparing it as well with other recent …
Persistent link: https://www.econbiz.de/10013108080
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Nonparametric Estimation and Parametric Calibration of Time-Varying Coefficient Realized Volatility Models
Chen, Xiangjin Bruce - 2013
This paper introduces a new specification for the heterogeneous autoregressive (HAR) model for the realized volatility of S&P500 index returns. In this new model, the coefficients of the HAR are allowed to be time-varying with unknown functional forms. We propose a local linear method for...
Persistent link: https://www.econbiz.de/10013076694