We develop a structural econometric model to elicit household-specific expectations about future financial asset returns and risk attitudes by using data on observed portfolio holdings and self-assessed willingness to bear financial risk. Our framework assumes that household portfolios are...

We investigate households' portfolio choice using a microeconometric approach derived from mean-variance optimization. We assume that households have heterogeneous expectations on the distribution of excess returns and that they can't take short positions in the risky assets. Assuming two such...

We investigate households' portfolio choice using a microeconometric approach derived from mean-variance optimization. We assume that households have heterogeneous expectations on the distribution of excess returns and that they cannot take short positions in risky assets. Assuming two such...

This article deals with the estimation of continuous-time stochastic volatility models of option pricing. We argue that option prices are much more informative about the parameters than are asset prices. This is confirmed in a Monte Carlo experiment that compares two very simple strategies based...

An inference method, called latent backfitting, is proposed. This method appears well suited for econometric models where the structural relationships of interest define the observed endogenous variables as a known function of unobserved state variables and unknown parameters. This nonlinear...

Modelling monetary transmission is central to understanding the role of monetary policy in the Euro area, and money demand is commonly seen as a link in that transmission mechanism. Since the beginning of the 1990s, many studies have suggested that the demand for Euro area broad money is stable...