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Can rare events explain the equity premium puzzle?

Julliard, Christian; Ghosh, Anisha - London School of Economics (LSE) - 2008

frequencies, the Consumption-CAPM is still rejected by the data and requires a very high level of Relative Risk Aversion(RRA) in … order to rationalize the stock market risk premium. This result holds for a variety of data sources and samples –including …-sectional dis-persion of consumption risk relative to the cross-sectional variation of average returns …

Persistent link: https://www.econbiz.de/10011071098

Simulated nonparametric estimation of dynamic models with applications to finance

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2005

fast; furthermore, they possess finite sample properties that are well approximated by the asymptotic theory. These …

Persistent link: https://www.econbiz.de/10010745257

Simulated nonparametric estimation of continuous time models of asset prices and returns

Altissimo, Filippo; Mele, Antonio - London School of Economics (LSE) - 2004

asymptotic theory. …

Persistent link: https://www.econbiz.de/10010745606

Estimating semiparametric ARCH (8) models by kernel smoothing methods

Linton, Oliver; Mammen, Enno - London School of Economics (LSE) - 2003

likelihood. We establish the distribution theory of the parametric components and the pointwise distribution of the nonparametric …

Persistent link: https://www.econbiz.de/10011071447

Consistent estimation of the risk-return tradeoff in the presence of measurement error

Ghosh, Anisha; Linton, Oliver - London School of Economics (LSE) - 2007

proxy for the volatility in estimating the risk-return relation. Third, our estimation strategy involves the Generalized …This paper proposes an approach to estimating the relation between risk (conditional variance) and expected returns in … focus on a nonparametric volatility measure that is void of any speci c functional form assumptions about the stochastic …

Persistent link: https://www.econbiz.de/10011071360

An exploration of childhood antecedents of female adult malaise in two British birth cohorts: combining Bayesian model averaging and recursive partitioning

Hobcraft, John; Sigle-Rushton, Wendy - London School of Economics (LSE) - 2005

We use information from two prospective British birth cohort studies to explore the antecedents of adult malaise, an indicator of incipient depression. These studies include a wealth of information on childhood circumstances, behaviour, test scores and family background, measured several times...

Persistent link: https://www.econbiz.de/10011126681

Estimating US fiscal and monetary interactions in a time varying VAR

Gerba, Eddie; Hauzenberger, Klemens - London School of Economics (LSE) - 2013

We contribute to the growing empirical literature on monetary and fiscal interactions by applying a sign restriction identification scheme to a structural TVP-VAR in order to disentangle and evaluate the policy shocks and policy transmissions. This in turn allows us to study the Great Recession...

Persistent link: https://www.econbiz.de/10011125926

Estimating US fiscal and monetary interactions in a time varying VAR

Gerba, Eddie; Hauzenberger, Klemens - London School of Economics (LSE) - 2014

Persistent link: https://www.econbiz.de/10011126653

Simple tests for models of dependence between multiple financial time series, with applications to U.S. equity returns and exchange rates

Chen, Xiaohong; Fan, Yanqin; Patton, Andrew J. - London School of Economics (LSE) - 2004

Evidence that asset returns are more highly correlated during volatile markets and during market downturns (see Longin and Solnik, 2001, and Ang and Chen, 2002) has lead some researchers to propose alternative models of dependence. In this paper we develop two simple goodness-of-fit tests for...

Persistent link: https://www.econbiz.de/10010746302

Semiparametric estimation of a characteristic-based factor model of common stock returns

Connor, Gregory; Linton, Oliver - London School of Economics (LSE) - 2006

We introduce an alternative version of the Fama-French three-factor model of stock returns together with a new estimation methodology. We assume that the factor betas in the model are smooth nonlinear functions of observed security characteristics. We develop an estimation procedure that...

Persistent link: https://www.econbiz.de/10010884698