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Monetary Policy and Asset Prices: A Markov-Switching DSGE Approach (replicati...
This paper estimates a Markov-switching dynamic stochastic general equilibrium model by incorporating stock prices in monetary policy rules in order to identify the Federal... -
State Prices of Conditional Quantiles: New Evidence on Time Variation in the ...
We develop a set of statistics to represent the option-implied stochastic discount factor and we apply them to S&P 500 returns between 1990 and 2012. Our statistics, which... -
Modeling and Forecasting Large Realized Covariance Matrices and Portfolio Cho...
We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality... -
Time Variation in Macro-Financial Linkages (replication data)
We analyze the contribution of credit spread, house and stock price shocks to the US economy based on a time-varying parameter vector autoregressive model. We find that the... -
Exponent of Cross-Sectional Dependence: Estimation and Inference (replication...
This paper provides a characterisation of the degree of cross-sectional dependence in a two dimensional array, {xit,i = 1,2,...N;t = 1,2,...,T} in terms of the rate at which the... -
The Effect of Fragmentation in Trading on Market Quality in the UK Equity Mar...
We investigate the effects of fragmentation in equity markets on the quality of trading outcomes in a panel of FTSE stocks over the period 2008-2011. This period coincided with... -
A Hidden Markov Model Approach to Information-Based Trading: Theory and Appli...
This paper develops a novel approach to information-based securities trading by characterizing the hidden state of the market, which varies following a Markov process. Extensive... -
Anticipating Long-Term Stock Market Volatility (replication data)
We investigate the relationship between long-term US stock market risks and the macroeconomic environment using a two-component GARCH-MIDAS model. Our results show that... -
Local Adaptive Multiplicative Error Models for High-Frequency Forecasts (repl...
We propose a local adaptive multiplicative error model (MEM) accommodating time-varying parameters. MEM parameters are adaptively estimated based on a sequential testing... -
ESTIMATION OF TIME-VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBA...
Recently, Duarte and Young (2009) studied the probability of informed trading (PIN) proposed by Easley et al. (2002) and decomposed it into two parts: the adjusted PIN (APIN) as... -
Does the option market produce superior forecasts of noise-corrected volatili...
This paper assesses the robustness of the relative performance of spot? and options-based volatility forecasts to the treatment of microstructure noise. Robustness of the... -
Market fundamentals versus rational bubbles in stock prices: a Bayesian persp...
Using Bayesian Markov chain Monte Carlo methods, we decompose the log price-dividend ratio into a market fundamentals component and a bubble component. The market fundamentals... -
Extreme US stock market fluctuations in the wake of 9/11 (replication data)
We apply extreme value analysis to US sectoral stock indices in order to assess whether tail risk measures like value-at-risk and extremal linkages were significantly altered by... -
The emerging market crisis and stock market linkages: further evidence (repli...
This study examines the long-run price relationship and the dynamic price transmission among the USA, Germany, and four major Eastern European emerging stock markets, with... -
A forecast comparison of volatility models: does anything beat a GARCH(1,1)? ...
We compare 330 ARCH-type models in terms of their ability to describe the conditional variance. The models are compared out-of-sample using DM?$ exchange rate data and IBM... -
Valuation ratios and long-horizon stock price predictability (replication data)
Using annual data for 1872-1997, this paper re-examines the predictability of real stock prices based on price-dividend and price-earnings ratios. In line with the extant... -
On Markov error-correction models, with an application to stock prices and di...
This paper considers Markov error-correction (MEC) models in which deviations from the long-run equilibrium are characterized by different rates of adjustment. To motivate our... -
A simple framework for analysing bull and bear markets (replication data)
Bull and bear markets are a common way of describing cycles in equity prices. To fully describe such cycles one would need to know the data generating process (DGP) for equity... -
The stochastic volatility in mean model: empirical evidence from internationa...
In this paper we present an exact maximum likelihood treatment for the estimation of a Stochastic Volatility in Mean (SVM) model based on Monte Carlo simulation methods. The SVM... -
Detecting periodically collapsing bubbles: a Markov-switching unit root test ...
This paper addresses the problem of testing for the presence of a stochastic bubble in a time series in the case that the bubble is periodically collapsing so that the asset...