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Chernov, Mikhail; Graveline, Jeremy; Zviadadze, Irina - C.E.P.R. Discussion Papers - 2012

We quantify the sources of risk in currency returns as a first step toward understanding the returns reported for the carry trade. To do this, we develop and estimate an empirical model of exchange rate dynamics using daily data for four currencies relative to the US dollar: the Australian...

Persistent link: https://www.econbiz.de/10011083487

Regression Based Estimation of Dynamic Asset Pricing Models

Adrian, Tobias; Crump, Richard K.; Moench, Emanuel - C.E.P.R. Discussion Papers - 2015

We propose regression based estimators for beta representations of dynamic asset pricing models with an affine pricing kernel specification. We allow for state variables that are cross sectional pricing factors, forecasting variables for the price of risk, and factors that are both. The...

Persistent link: https://www.econbiz.de/10011186634

How Prediction Markets Can Save Event Studies

Snowberg, Erik; Wolfers, Justin; Zitzewitz, Eric - C.E.P.R. Discussion Papers - 2011

This review paper articulates the relationship between prediction market data and event studies, with a special focus on applications in political economy. Event studies have been used to address a variety of political economy questions from the economic effects of party control of government to...

Persistent link: https://www.econbiz.de/10009003379

Optimal Combination of Survey Forecasts

Conflitti, Cristina; De Mol, Christine; Giannone, Domenico - C.E.P.R. Discussion Papers - 2012

. Indeed, this enforces a form of shrinkage on the weights which ensures good out-of-sample performance of the combined …

Persistent link: https://www.econbiz.de/10011083557

The Effect of Disability on Labour Market Outcomes in Germany: Evidence from Matching

Lechner, Michael; Vazquez-Alvarez, Rosalia - C.E.P.R. Discussion Papers - 2004

improving the identification and estimation strategy. Using the German Socio-Economic Panel (1984-2001) we estimate the impact …

Persistent link: https://www.econbiz.de/10005498136

Common Drifting Volatility in Large Bayesian VARs

Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - C.E.P.R. Discussion Papers - 2012

The estimation of large Vector Autoregressions with stochastic volatility using standard methods is computationally … features a Kroneker structure that allows for fast estimation, even in a large system. Using US and UK data, we show that …

Persistent link: https://www.econbiz.de/10011083279

Solving and Estimating Indeterminate DSGE Models

Farmer, Roger E A; Khramov, Vadim - C.E.P.R. Discussion Papers - 2013

We propose a method for solving and estimating linear rational expectations models that exhibit indeterminacy and we provide step-by-step guidelines for implementing this method in the Matlab-based packages Dynare and Gensys. Our method redefines a subset of expectational errors as new...

Persistent link: https://www.econbiz.de/10011083357

Factor Analysis with Large Panels of Volatility Proxies

Ghysels, Eric - C.E.P.R. Discussion Papers - 2014

time, namely i = 1,…, N observed at dates t = 1,…, T: In addition to expanding N and T; we also have the sampling frequency … continuous record or in-fill asymptotics (h ? 0) allows us to control the cross-sectional and serial correlation among the …-N standard normal consistency we find N-consistency, also standard normal, due to the fact that the high frequency sampling …

Persistent link: https://www.econbiz.de/10011083764

Conditional forecasts and scenario analysis with vector autoregressions for large cross-sections

Banbura, Marta; Giannone, Domenico; Lenza, Michele - C.E.P.R. Discussion Papers - 2014

This paper describes an algorithm to compute the distribution of conditional forecasts, i.e. projections of a set of variables of interest on future paths of some other variables, in dynamic systems. The algorithm is based on Kalman filtering methods and is computationally viable for large...

Persistent link: https://www.econbiz.de/10011084028

Cost Efficiency and Subsidization in German Local Public Bus Transit

Nieswand, Maria; Walter, Matthias - C.E.P.R. Discussion Papers - 2013

companies by using alternative frontier cost models for panel data. Thereby, the multidimensional performance estimation …

Persistent link: https://www.econbiz.de/10011084257