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Estimating the volatility of asset pricing factors
Becker, Janis; Leschinski, Christian - 2018
Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
Persistent link: https://www.econbiz.de/10012030917
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A two-step indirect inference approach to estimate the long-run risk asset pricing model
Grammig, Joachim; Küchlin, Eva-Maria - 2017
inference approach that disentangles the estimation of the model's macroeconomic dynamics and the investor's preference …
Persistent link: https://www.econbiz.de/10011729740
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Finance at Fields
Grasselli, Matheus R (contributor);  … - World Scientific Publishing Co. Pte. Ltd.
)</i></li> <li>Information-Based Asset Pricing <i>(Dorje C Brody, Lane P Hughston and Andrea Macrina)</i></li> <li>Tangent Models as … Uncertainty <i>(Hans F?llmer and Irina Penner)</i></li> <li>Portfolio Optimization Under Partial Information with Expert Opinions …>(Marco Frittelli and Marco Maggis)</i></li> <li>Pricing of Perpetual American Options in a Model with Partial Information <i>(Pavel V …
Persistent link: https://www.econbiz.de/10011122719
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FINANCIAL VALUATION AND ECONOMETRICS
Lim, Kian Guan - World Scientific Publishing Co. Pte. Ltd.
This book brings together domains in financial asset pricing and valuation, financial investment theory, econometrics modeling, and the empirical analyses of financial data by applying appropriate econometric techniques. These domains are highly intertwined and should be properly understood in...
Persistent link: https://www.econbiz.de/10010728951
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Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options
Féron, Olivier; Monfort, Alain - Université Paris-Dauphine (Paris IX) - 2012
prices, while allowing for a large flexibility in the modeling of dynamics, spikes, and seasonality, both in the historical …
Persistent link: https://www.econbiz.de/10010861561
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A two-step indirect inference approach to estimate the long-run risk asset pricing model
Grammig, Joachim; Küchlin, Eva-Maria - 2017
inference approach that disentangles the estimation of the model's macroeconomic dynamics and the investor's preference …
Persistent link: https://www.econbiz.de/10011721901
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Estimating the volatility of asset pricing factors
Becker, Janis; Leschinski, Christian - 2018 - This version: May 20, 2018
Models based on factors such as size, value, or momentum are ubiquitous in asset pricing. Therefore, portfolio allocation and risk management require estimates of the volatility of these factors. While realized volatility has become a standard tool for liquid individual assets, this measure is...
Persistent link: https://www.econbiz.de/10011860248
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Endogenous Leverage and Asset Pricing in Double Auctions
Breuer, Thomas; Summer, Martin; Vollbrecht, Hans-Joachim - 2013
We study the trading of real assets financed by collateralized loans in an agent based model of a continuous double auction. This approach provides a complementary perspective on recent advances in the general equilibrium theory of endogenous leverage by studying a model that simultaneously...
Persistent link: https://www.econbiz.de/10013370101
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Cash flow and discount rate risk in up and down markets: What is actually priced?
Botshekan, Mahmoud; Kräussl, Roman; Lucas, André - 2010
We test whether asymmetric preferences for losses versus gains as in Ang, Chen, and Xing (2006) also affect the pricing of cash flow versus discount rate news as in Campbell and Vuolteenaho (2004). We construct a new four-fold beta decomposition, distinguishing cash flow and discount rate betas...
Persistent link: https://www.econbiz.de/10010303697
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Investment Behavior and the Small Firm Effect
Sweeney, Robert J.; Scherer, Robert F.; Goulet, Janet; … - In: Journal of Entrepreneurial and Small Business Finance 5 (1996) 3, pp. 251-269
Our purpose in this review is to develop one explanation of market behavior which is consistent with the many empirical findings that appear to be inconsistent with the market efficiency hypothesis. To date, researchers have attempted to reconcile their empirical results with market efficiency...
Persistent link: https://www.econbiz.de/10011310369