Showing 1 - 10 of 16
We define a dynamic and self-adjusting mixture of Gaussian Graphical Models to cluster financial returns, and provide a new method for extraction of nonparametric estimates of dynamic alphas (excess return) and betas (to a choice set of explanatory factors) in a multivariate setting. This...
Persistent link: https://www.econbiz.de/10011755320
Mounting empirical evidence suggests that the observed extreme prices within a trading period can provide valuable information about the volatility of the process within that period. In this paper we define a class of stochastic volatility models that uses opening and closing prices along with...
Persistent link: https://www.econbiz.de/10005083714
Is John Bogle right that Vanguardís index and managed funds are comparable and by his example that investors should hold both? Each Vanguard managed fund produces the same return as the tracking basket of Vanguardís indexed funds plus a differential, a. If a, is positive the managed fund is...
Persistent link: https://www.econbiz.de/10005787333
We extend classical ideal point estimation to allow voters to have different preferences when voting in different domains – for example when voting on agricultural policy than when voting on defense policy. Our scaling procedure results in estimated ideal points on a common scale. As a result,...
Persistent link: https://www.econbiz.de/10014107121
We develop a Bayesian nonparametric model to assess the effect of systematic risks on multiple financial markets, and apply it to understand the behavior of the S&P500 sector indexes between January 1, 2000 and December 31, 2011. More than prediction, our main goal is to understand the evolution...
Persistent link: https://www.econbiz.de/10013052917
In this paper, we examine the relationship between the COVID-19 lockdowns and mental health-related Google searches throughout Latin America. Using Google Trends data and an event-study design, we explore the association between country-specific stay-at-home orders and internet searches...
Persistent link: https://www.econbiz.de/10013247870
Persistent link: https://www.econbiz.de/10003980371
Persistent link: https://www.econbiz.de/10008736083
Persistent link: https://www.econbiz.de/10003454901
Persistent link: https://www.econbiz.de/10003618793