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Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates

Rossi, Francesco - Volkswirtschaftliche Fakultät, … - 2011

We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U.K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the behavior of each component of total risk, in their...

Persistent link: https://www.econbiz.de/10011261127

Realized Copula

Fengler, Matthias R.; Okhrin, Ostap - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distri- butions of daily stock returns and a copula family, realized copula is dened as the copula structure materialized in realized covariance estimated from within-day high-frequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10010549032

Realized Copula

Fengler, Matthias; Okhrin, Ostap - School of Economics and Political Science, Universität … - 2012

We introduce the notion of realized copula. Based on assumptions of the marginal distributions of daily stock returns and a copula family, realized copula is defined as the copula structure materialized in realized covariance estimated from within-day highfrequency data. Copula parameters are...

Persistent link: https://www.econbiz.de/10010550484

Semiparametric inference in a GARCH-in-mean model

Christensen, Bent Jesper; Dahl, Christian M.; Iglesias, … - In: Journal of Econometrics 167 (2012) 2, pp. 458-472

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … efficient, i.e., it achieves the semiparametric lower bound. A sampling experiment provides finite sample comparisons with the … parametric approach and the iterative semiparametric approach with parametric initial estimate of Conrad and Mammen (2008). An …

Persistent link: https://www.econbiz.de/10010574076

Generalized Affine Models

Feunou, Bruno - 2009

Affine models are very popular in modeling financial time series as they allow for analytical calculation of prices of financial derivatives like treasury bonds and options. The main property of affine models is that the conditional cumulant function, defined as the logarithmic of the...

Persistent link: https://www.econbiz.de/10012718421

Semiparametric Inference in a GARCH-in-Mean Model

Christensen, Bent Jesper - 2008

A new semiparametric estimator for an empirical asset pricing model with general nonparametric risk-return tradeoff and … consistent, asymptotically normal, and efficient, i.e. it achieves the semiparametric lower bound. A sampling experiment provides … evidence on finite sample properties as well as comparisons with the fully parametric approach and the iterative semiparametric …

Persistent link: https://www.econbiz.de/10012723279

Semiparametric Qualitative Response Model Estimation with Unknown Heteroskedasticity or Instrumental Variables

Lewbel, Arthur - Department of Economics, Boston College - 1999

This paper provides estimators of discrete choice models, including binary, ordered, and multinomial response (choice) models. The estimators closely resemble ordinary and two stage least squares. The distribution of the model's latent variable error is unknown and may be related to the...

Persistent link: https://www.econbiz.de/10004968796

Functional Coefficient Nonstationary Regression

Gao, Jiti; Phillips, Peter C.B. - Cowles Foundation for Research in Economics, Yale University - 2013

used in applied econometric work. Nonparametric and semiparametric estimation methods are proposed to estimate the varying … the conduct of semiparametric regression with nonstationary data. The results include some new asymptotic theory for …

Persistent link: https://www.econbiz.de/10010895669

Nonparametric censored and truncated regression

Lewbel, Arthur; Linton, Oliver - London School of Economics (LSE) - 2000

The nonparametric censored regression model, with a fixed, known censoring point (normalized to zero), is y = max[0,m(x) + e], where both the regression function m(x) and the distribution of the error e are unknown. This paper provides estimators of m(x) and its derivatives. The convergence rate...

Persistent link: https://www.econbiz.de/10010745070

A Semiparametric Panel Model for unbalanced data with Application to Climate Change in the United Kingdom

Xiao, Zhijie; Atak, Alev; Linton, Oliver - Department of Economics, Boston College - 2010

This paper is concerned with developing a semiparametric panel model to explain the trend in UK temperatures and other …

Persistent link: https://www.econbiz.de/10008725946