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Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election

Coutant, Sophie; Jondeau, Eric; Rockinger, Michael - C.E.P.R. Discussion Papers - 1998

The aim of this paper is to compare various methods which extract a Risk Neutral Density (RND) out of PIBOR, as well as of Notional interest rate futures options, and to investigate how traders react to a political event. We first focus on five dates surrounding the 1997 snap election and...

Persistent link: https://www.econbiz.de/10005124441

Heterogeneity of Investors and Asset Pricing in a Risk-Value World

Franke, Günter; Weber, Martin - C.E.P.R. Discussion Papers - 2003

Portfolio choice and the implied asset pricing are usually derived assuming maximization of expected utility. In this Paper, they are derived from risk-value models that generalize the Markowitz-model. We use a behaviourally based risk measure with an endogenous or exogenous benchmark. If the...

Persistent link: https://www.econbiz.de/10005136483

Implied Volatility Functions: Empirical Tests

Dumas, Bernard J; Fleming, Jeff; Whaley, Robert E - C.E.P.R. Discussion Papers - 1996

Black/Scholes constant volatility assumption is violated in practice. These authors hypothesize that the volatility of the … underlying asset’s return is a deterministic function of the asset price and time, and develop the deterministic volatility … 1993, we evaluate the economic significance of the implied deterministic volatility function by examining the predictive …

Persistent link: https://www.econbiz.de/10005498195

The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns

Bhamra, Harjoat Singh; Uppal, Raman - C.E.P.R. Discussion Papers - 2006

We study the effect of introducing a new security, such as a non-redundant derivative, on the volatility of stock … increases the volatility of stock-market returns. …

Persistent link: https://www.econbiz.de/10005114422

Firm Default and Aggregate Fluctuations

Jacobson, Tor; Kindell, Rikard; Lindé, Jesper; … - C.E.P.R. Discussion Papers - 2008

This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a multiperiod logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we...

Persistent link: https://www.econbiz.de/10005504257

Learning by Doing as a Propagation Mechanism

Chang, Yongsung; Gomes, Joao F; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2002

This Paper suggests that skill accumulation through past work experience, or ‘learning-by-doing’ (LBD), can provide an important propagation mechanism in a dynamic stochastic general equilibrium model, as the current labour supply affects future productivity. Our econometric analysis uses a...

Persistent link: https://www.econbiz.de/10005504303

On the Selection of Forecasting Models

Inoue, Atsushi; Kilian, Lutz - C.E.P.R. Discussion Papers - 2003

It is standard in applied work to select forecasting models by ranking candidate models by their prediction mean squared error (PMSE) in simulated out-of-sample (SOOS) forecasts. Alternatively, forecast models may be selected using information criteria (IC). We compare the asymptotic and...

Persistent link: https://www.econbiz.de/10005504404

The Behaviour of the Real Exchange Rate: A Re-examination Using Finite Sample Approach

Kuo, Biing-Shen; Mikkola, Anne - C.E.P.R. Discussion Papers - 1997

The results of this paper complement the recent findings of real exchange rates as stationary processes. The standard procedure of applying a battery of unit root tests can be problematic since the tests are sensitive to the specifics of the time-series process. The novelty of the approach we...

Persistent link: https://www.econbiz.de/10005504540

VARs, Common Factors and the Empirical Validation of Equilibrium Business Cycle Models

Giannone, Domenico; Reichlin, Lucrezia; Sala, Luca - C.E.P.R. Discussion Papers - 2002

Equilibrium business cycle models have typically less shocks than variables. As pointed out by Altug, 1989, and Sargent, 1989, if variables are measured with error, this characteristic implies that the model solution for measured variables has a factor structure. This Paper compares estimation...

Persistent link: https://www.econbiz.de/10005504708

Bayesian Analysis of DSGE Models

An, Sungbae; Schorfheide, Frank - C.E.P.R. Discussion Papers - 2005

This paper reviews Bayesian methods that have been developed in recent years to estimate and evaluate dynamic stochastic general equilibrium (DSGE) models. We consider the estimation of linearized DSGE models, the evaluation of models based on Bayesian model checking, posterior odds comparisons,...

Persistent link: https://www.econbiz.de/10005498080