Showing 1 - 10 of 26
Previous authors have raised the concern that there could be serious survival bias in the observed U.S. equity premium. Contrary to conventional wisdom, we argue that the survival bias in the U.S. data is unlikely to be significant. To reach this conclusion, we introduce a general framework for...
Persistent link: https://www.econbiz.de/10005686983
We characterize the dynamics of the US short-term interest rate using a Markov regime-switching model. Using a test developed by Garcia, we show that there are two regimes in the data: In one regime, the short rate behaves like a random walk with low volatility; in another regime, it exhibits...
Persistent link: https://www.econbiz.de/10008479853
We develop a specification test and a sequence of model selection procedures for non-nested, overlapping, and nested models based on the second Hansen-Jagannathan distance, which requires a good asset pricing model to not only have small pricing errors but also be arbitrage free. Our methods...
Persistent link: https://www.econbiz.de/10008488782
Persistent link: https://www.econbiz.de/10005192261
This paper develops a new methodology for estimating and testing conditional factor models in finance. We propose a two-stage procedure that naturally unifies the two existing approaches in the finance literature–the parametric approach and the nonparametric approach. Our combined approach...
Persistent link: https://www.econbiz.de/10010887081
Persistent link: https://www.econbiz.de/10005430040
Several recent studies present evidence of investor misreaction in the options market. Although the interpretation of their results is still controversial, the important question of economic significance has not been fully addressed. Here this gap is addressed by formulating regression‐based...
Persistent link: https://www.econbiz.de/10011197780
In this paper a type of Heath, Jarrow and Morton (1992) (HJM) based affine model is derived theoretically. This type of affine model is obtained by applying Linear Realization Theory to construct Finite Dimensional Realizations (FDRs) of the Gaussian HJM model. The algorithms of constructing...
Persistent link: https://www.econbiz.de/10010892079
Persistent link: https://www.econbiz.de/10010892136
Inventory managers often group inventory items into classes to manage and control them more efficiently. The well-known ABC inventory classification approach categorizes inventory items into A, B and C classes according to their sales and usage volume. In this paper, we present an optimization...
Persistent link: https://www.econbiz.de/10010869239