We examine the pricing of aggregate volatility risk in the cross-section of stock returns. Consistent with theory, we find that stocks with high sensitivities to innovations in aggregate volatility have low average returns. In addition, we find that stocks with high idiosyncratic volatility...

Generalized additive models (GAM) for modelling nonlinear effects of continuous covariates are now well established tools for the applied statistician. In this paper we develop Bayesian GAM’s and extensions to generalized structured additive regression based on one or two dimensional P-splines...

Assuming a normal-Wishart modelling framework we compare two methods for finding outliers in a multivariate regression (MR) system. One method is the add-1-dummy approach which needs fewer parameters and a model choice criterion while the other method estimates the outlier probability for each...

In this paper, the concept of Income Satisfaction Inequality is operationalized on the basis of individual responses to an Income Satisfaction question posed in the German Socio-Economic Panel (GSOEP). Income satisfaction is the subjective analogue of the objective income concept and includes...

We consider the finite sample properties of model selection by information criteria in conditionally heteroscedastic models. Recent theoretical results show that certain popular criteria are consistent in that they will select the true model asymptotically with probability 1. To examine the...

Several aggregation methods, including the EKS, start by calculating bilateral Fisher indices. Prices and quantities are, however, subject to measurement error. This stochastic behavior, which implies both unequal variances, and non-zero correlations, between different Fisher indices, has to be...