Search Results - subject:"State variables" - EconBiz

Mind the gap!: Stylized dynamic facts and structural models

Canova, Fabio; Ferroni, Filippo - 2019

We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but less than q variables are used in the empirical model. Identified shocks are mongrels: they are linear combinations of current and past values of all structural...

Persistent link: https://www.econbiz.de/10012182840

Variance risk premium components and international stock return predictability

Londono, Juan M.; Xu, Nancy R. - 2019

Persistent link: https://www.econbiz.de/10012004721

Mind the gap! : stylized dynamic facts and structural models

Canova, Fabio; Ferroni, Filippo - 2019

We study what happens to identified shocks and to dynamic responses when the data generating process features q disturbances but less than q variables are used in the empirical model. Identified shocks are mongrels: they are linear combinations of current and past values of all structural...

Persistent link: https://www.econbiz.de/10012098530

Hedging demand in long-term asset allocation with an application to carry trade strategies

Laborda, Ricardo; Olmo, Jose - In: Journal of financial econometrics 20 (2022) 3, pp. 472-504

Persistent link: https://www.econbiz.de/10013349135

Structural innovation in state variables and expected stock returns

Simlai, Prodosh E. - In: Managerial finance 48 (2022) 2, pp. 289-312

Persistent link: https://www.econbiz.de/10013173295

Spillovers in risk of financial institutions

Cotter, John; Suurlaht, Anita - 2018

Persistent link: https://www.econbiz.de/10012113972

Time-varying state variable risk premia in the ICAPM

Barroso, Pedro; Boons, Martijn; Karehnke, Paul - In: Journal of financial economics 139 (2021) 2, pp. 428-451

Persistent link: https://www.econbiz.de/10012693673

Information in the term structure : a forecasting perspective

Doshi, Hitesh; Jacobs, Kris; Liu, Rui - In: Management science : journal of the Institute for … 67 (2021) 8, pp. 5255-5277

Persistent link: https://www.econbiz.de/10012625107

Correlation regimes in international equity and bond returns

Aslanidis, Nektarios; Martinez, Oscar - In: Economic modelling 97 (2021), pp. 397-410

Persistent link: https://www.econbiz.de/10012793476

Tractable likelihood-based estimation of non-linear DSGE models using higher-order approximations

Kollmann, Robert - 2016

Persistent link: https://www.econbiz.de/10011672370

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