Showing 1 - 10 of 35
This paper studies the term structure implications of a simple structural model in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10008546194
Persistent link: https://www.econbiz.de/10012282943
Persistent link: https://www.econbiz.de/10012094244
We introduce a new multivariate GARCH model with multivariate thresholds in conditional correlations and develop a two-step estimation procedure that is feasible in large dimensional applications. Optimal threshold functions are estimated endogenously from the data and the model conditional...
Persistent link: https://www.econbiz.de/10010825836
type="main" <title type="main">ABSTRACT</title> <p>We provide novel evidence for an equilibrium link between investors' disagreement, the market price of volatility and correlation, and the differential pricing of index and individual equity options. We show that belief disagreement is positively related to (i) the wedge...</p>
Persistent link: https://www.econbiz.de/10011032201
We propose a multivariate nonparametric technique for generating reliable short-term historical yield curve scenarios and confidence intervals. The approach is based on a Functional Gradient Descent (FGD) estimation of the conditional mean vector and covariance matrix of a multivariate interest...
Persistent link: https://www.econbiz.de/10004998204
Persistent link: https://www.econbiz.de/10005107106
Persistent link: https://www.econbiz.de/10005734077
In a Lucas exchange economy with standard power utility, we study asset prices under learning and ambiguous information. In contrast with models featuring only learning or ambiguity, our model is successful in matching the equity premium, the interest rate, and the volatility of stock returns...
Persistent link: https://www.econbiz.de/10005743917
Persistent link: https://www.econbiz.de/10005228653