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This paper investigates the efficiency of household investment decisions in a unique dataset containing the disaggregated wealth and income of the entire population of Sweeden.
Persistent link: https://www.econbiz.de/10005011670
This paper investigates the multifractal model of asset returns (MMAR), a class of continuous-time processes that incorporate the thick tails and volatility persistence exhibited by many financial time series. The simplest version of the MMAR compounds a Brownian motion with a multifractal...
Persistent link: https://www.econbiz.de/10005692954
The Multifractal Model of Asset Returns ("MMAR," see Mandelbrot, Fisher, and Calvet, 1997) proposes a class of multifractal processes for the modelling of financial returns. In that paper, multifractal processes are defined by a scaling law for moments of the processes' increments over finite...
Persistent link: https://www.econbiz.de/10005463933
This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation....
Persistent link: https://www.econbiz.de/10005423869
This paper investigates the determinants of value and growth investing in a large administrative panel of Swedish residents over the 1999-2007 period. The authors document strong relationships between a household's portfolio tilt and the household's financial and demographic characteristics....
Persistent link: https://www.econbiz.de/10011147714
This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. The authors' approach is based on the observation that the econometric structure of these systems naturally generates auxiliary equilibria...
Persistent link: https://www.econbiz.de/10011147722
Inspired by the recent literature on aggregation theory, this paper introduces HITS, a semiparametric model of consumer demand that allows for diversity in tastes. The strong variation of budget shares observed across income groups has two possible origins: the individual income effect, and...
Persistent link: https://www.econbiz.de/10005557513
This paper proposes that the introduction of non-redundant assets can endogenously modify trader participation in financial markets, which can lead to a lower market premium and a higher interest rate. We demonstrate this mechanism in a tractable exchange economy with endogenous participation....
Persistent link: https://www.econbiz.de/10005633757
Persistent link: https://www.econbiz.de/10005228729
This paper develops analytical methods to forecast the distribution of future returns for a new continuous-time process, the Poisson multifractal. Out model captures the thick tails and volatility persistence exhibited by many financial time series. We assume that the forecaster knows the true...
Persistent link: https://www.econbiz.de/10005663544