Similar Search Results

Nonparametric Regression on Latent Covariates with an Application to Semiparametric GARCH-in-Mean Models

Conrad, Christian; Mammen, Enno - 2008

We consider time series models in which the conditional mean of the response variable given the past depends on latent covariates. We assume that the covariates can be estimated consistently and use an iterative nonparametric kernel smoothing procedure for estimating the conditional mean...

Persistent link: https://www.econbiz.de/10011422182

Nonparametric regression on latent covariates with an application to semiparametric GARCH-in-Mean models

Conrad, Christian; Mammen, Enno - 2008

Persistent link: https://www.econbiz.de/10003747376

Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas

Grassi, Stefano; Violante, Francesco - 2021

Starting from the Cholesky-GARCH model, recently proposed by Darolles, Francq, and Laurent (2018), the paper introduces the Block-Cholesky GARCH (BC-GARCH). This new model adapts in a natural way to the asset pricing framework. After deriving conditions for stationarity, uniform invertibility...

Persistent link: https://www.econbiz.de/10013239060

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

Behavioral Heterogeneity in Stock Prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2009

We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...

Persistent link: https://www.econbiz.de/10014047218

Booms, Busts and Behavioural Heterogeneity in Stock Prices

Hommes, Cars H. - 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10013018699

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in 't - 2015 - This draft: July 2015

Persistent link: https://www.econbiz.de/10011301214

Testing for Asset Price Bubbles using Options Data

Fusari, Nicola - 2020

We present a new approach to identifying asset price bubbles based on options data. Given their forward-looking nature … are key to understanding price bubbles. By exploiting the di˙erential pricing between put and call options, we can detect … and quantify bubbles in the prices of underlying asset. We apply our methodology to two stock market indexes, the S&P 500 …

Persistent link: https://www.econbiz.de/10012826066

Nonlinearities and Tests of Asset Price Bubbles

Arora, Vipin - 2014

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …

Persistent link: https://www.econbiz.de/10013044861

Nonlinearities and Tests of Asset Price Bubbles

Arora, Vipin; Shi, Shuping - 2018

We find that incorporating nonlinearities into tests of asset price bubbles has important consequences for the results …

Persistent link: https://www.econbiz.de/10014145298