We study dynamic panel data models where the long run outcome for a particular cross-section is affected by a weighted average of the outcomes in the other cross-sections. We show that imposing such a structure implies several cointegrating relationships that are nonlinear in the coefficients to...

We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov. For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric portfolio policy...

We provide examples of pitfalls for parametric portfolio policies as introduced by Brandt, Santa Clara and Valkanov (RFS 2009). For the leading case of constant relative risk aversion (CRRA) strong assumptions on the properties of the returns, the variables used to implement the parametric...

This paper provides an econometric analysis of parameter estimation for continuous-time affine term structure models that are driven by latent diffusions. Simulating an affine two factor short rate model where one process is Gaussian and the other factor is square root we perform a comparison...

This article investigates problems arising with near unit root behavior and different market micro-structure noise assumptions for affine term structure models. We show that with increasing serial correlation the Fisher information matrix approaches a singularity, such that the standard...