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We develop a structural econometric model to elicit household-specific expectations about future financial asset returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk. Our framework assumes that household portfolios are...
Persistent link: https://www.econbiz.de/10011119969
We investigate households' portfolio choice using a microeconometric approach derived from mean-variance optimization. We assume that households have heterogeneous expectations on the distribution of excess returns and that they can't take short positions in the risky assets. Assuming two such...
Persistent link: https://www.econbiz.de/10005641938
We develop a structural econometric model to elicit household-specific expectations about future financial asset returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk. Our framework assumes that household portfolios are...
Persistent link: https://www.econbiz.de/10013027836
This paper considers ML estimation of a diffusion process observed discretely. Since the exact loglikelihood is generally not available, it must be approximated. We review the most effcient approaches in the literature, and point to some drawbacks. We propose to approximate the loglikelihood...
Persistent link: https://www.econbiz.de/10010326085
Le inchieste nazionali sulla situazione del mercato del lavoro forniscono di solito osservazioni in tempo discreto. Gli individui vengono intervistati in corrispondenza di date distinte, per ognuna delle quali si conosce la loro posizione sul mercato (occupati, disoccupati), ma nulla è noto di...
Persistent link: https://www.econbiz.de/10011651009
We analyze the effects of two compound investment options, a shut down and a reopening option, on a Aoki's profit sharing firm organization. Whilst the introduction of a credible threat of shutting down weakens labour's position in the bargaining and favors the shareholders on profit sharing,...
Persistent link: https://www.econbiz.de/10011651097
In this paper I consider the estimation of multi-factor exponential affine models of the term structure of interest rates. I start with a survey of the empirical work on the term structure in continuous time, showing that in most cases the implementation of the models has not fully exploited the...
Persistent link: https://www.econbiz.de/10011651107
An inference method, called latent backfitting is proposed. It appears well suited for econometric models where the structural relationships of interest define the observed endogenous variables as a known function of unobserved state variables and unknown parameters. This nonlinear state space...
Persistent link: https://www.econbiz.de/10005100556
This paper considers ML estimation of a diffusion process observed discretely. Since the exact loglikelihood is generally not available, it must be approximated. We review the most effcient approaches in the literature, and point to some drawbacks. We propose to approximate the loglikelihood...
Persistent link: https://www.econbiz.de/10003027869
Money is one of the main elements ("pillars") on which the policy strategy of the European Central Bank is based, and such a role requires that money has a stable relationship with the Euro area price level. Typically, the stability of this relation is tested in the context of the so called...
Persistent link: https://www.econbiz.de/10014159218