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Lüders, Erik - 2002

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

Persistent link: https://www.econbiz.de/10010297953

Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

Persistent link: https://www.econbiz.de/10010306236

Can we make money with fifth-order autocorrelation in Japanese stock prices?

Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005

We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals … jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …

Persistent link: https://www.econbiz.de/10010332467

Small sample properties of maximum likelihood versus generalized method of moments based tests for spatially autocorrelated errors

Egger, Peter; Larch, Mario; Pfaffermayr, Michael; … - 2005

autocorrelation coefficient of the error term in a Cliff and Ord type model. The main finding is that a Wald-test based on GMM …

Persistent link: https://www.econbiz.de/10010261344

Rendite und Kapitalkosten

Laitenberger, Jörg - 2004

bestimmt, wobei häufig auf Kapitalmarktmodelle wie das CAPM zurückgegriffen wird, die die erwartete Rendite als die Summe der … bestimmten Annahmen die geeigneten Kapitalkosten darstellen. Wenn zwischen den einperiodigen Renditen Autokorrelation auftritt …

Persistent link: https://www.econbiz.de/10010262921

Why Do Asset Prices Not Follow Random Walks?

Franke, Günter; Lüders, Erik - 2004

This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics in a rational expectations model. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also,...

Persistent link: https://www.econbiz.de/10010263423

GM estimation of higher order spatial autoregressive processes in panel data error component models

Badinger, Harald; Egger, Peter - 2008

This paper presents a generalized moments (GM) approach to estimating an R-th order spatial regressive process in a panel data error component model. We derive moment conditions to estimate the parameters of the higher order spatial regressive process and the optimal weighting matrix required to...

Persistent link: https://www.econbiz.de/10010264361

GM estimation of higher-order spatial autoregressive processes in cross-section models with heteroskedastic disturbances

Badinger, Harald; Egger, Peter - 2008

This paper generalizes the approach to estimating a first-order spatial autoregressive model with spatial autoregressive disturbances (SARAR(1,1)) in a cross-section with heteroskedastic innovations by Kelejian and Prucha (2008) to the case of spatial autoregressive models with spatial...

Persistent link: https://www.econbiz.de/10010264403

Specification and estimation of spatial autoregressive models with autoregressive and heteroskedastic disturbances

Kelejian, Harry H.; Prucha, Ingmar R. - 2008

theory is kept general to cover a wide range of settings. We note the estimation theory developed by Kelejian and Prucha …

Persistent link: https://www.econbiz.de/10010264476

A spatial Cliff-ord-type model with heteroskedastic innovations: small and large sample results

Arraiz, Irani; Drukker, David M.; Kelejian, Harry H.; … - 2008

In this paper we specify a linear Cliff and Ord-type spatial model. The model allows for spatial lags in the dependent variable, the exogenous variables, and disturbances. The innovations in the disturbance process are assumed to be heteroskedastic with an unknown form. We formulate a multi-step...

Persistent link: https://www.econbiz.de/10010264508