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Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross-section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10012935749

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 2017

We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...

Persistent link: https://www.econbiz.de/10012958874

Bayesian Estimation of a Dynamic Asset Pricing Model with Long-Run Risk

Rooj, Debasis - 2011

In this paper, I build a Dynamic Stochastic General Equilibrium (DSGE) model and estimate it using Bayesian Markov Chain Monte Carlo (MCMC) methods. I use the results in order to examine how asset prices and macroeconomic quantities respond to the di erent shocks in the economy. Fluctuations in...

Persistent link: https://www.econbiz.de/10013121340

Long memory persistence in the factor of Implied volatility dynamics

Härdle, Wolfgang Karl; Mungo, Julius - 2007

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied … Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small … investigating long range dependence in the factor loadings series. Our result reveals that shocks to volatility persist for a very …

Persistent link: https://www.econbiz.de/10010274129

Explaining the Stock Price-Inflation Puzzle : Inflation as a Signal for a Rare-Event

Pereira Garmendia, Diego Walter - 2011

This paper explains the negative correlation between realized inflation and real stock prices under a rare-event framework. Agents make use of realized inflation rates to update their beliefs on the time-varying probability of a rare-event (stagflation or hyperinflation). A higher stagflation...

Persistent link: https://www.econbiz.de/10013127682

High Dimensional Nonstationary Time Series Modelling with Generalized Dynamic Semiparametric Factor Model

Song, Song - 2017

dynamic behavior of temperatures (further used for pricing weather derivatives), implied volatilities and risk patterns and …

Persistent link: https://www.econbiz.de/10012966284

Conditional Beta Pricing Models : A Nonparametric Approach

Ferreira, Eva - 2011

dynamics of asset betas and market prices of risk (MPR). First, conditional betas are estimated nonparametrically for each …

Persistent link: https://www.econbiz.de/10013125303

High dimensional nonstationary time series modelling with generalized dynamic semiparametric factor model

Song, Song; Härdle, Wolfgang; Ritov, Ya'acov - 2010

dynamic behavior of temperatures (further used for pricing weather derivatives), implied volatilities and risk patterns and … ; fMRI ; Implied Volatility Surface …

Persistent link: https://www.econbiz.de/10008663392

Time series modelling with semiparametric factor dynamics

Borak, Szymon; Härdle, Wolfgang; Mammen, Enno; Park, … - 2007

study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with … other possible applications in finance and economics. -- semiparametric models ; factor models ; implied volatility surface …

Persistent link: https://www.econbiz.de/10003633687

Time Series Modelling with Semiparametric Factor Dynamics

Borak, Szymon - 2017

study the dynamics of the whole high-dimensional system with a low-dimensional representation. We illustrate the theory with …

Persistent link: https://www.econbiz.de/10012966242