Showing 1 - 6 of 6
This paper studies the term structure implications of a simple structural economy in which the representative agent displays ambiguity aversion, modeled by Multiple Priors Recursive Utility. Bond excess returns reflect a premium for ambiguity, which is observationally distinct from the risk...
Persistent link: https://www.econbiz.de/10005858032
In this paper, we consider an incomplete market framework and explain how to use jointly observed prices of the underlying asset and of some derivatives written on this assetfor an efficient pricing of other derivatives. This question involves two types of moment restrictions, which can be...
Persistent link: https://www.econbiz.de/10005858515
We develop a continuous time general equilibrium yield curve model under ambiguity aversion. A moderate level of ‘aggregate ambiguity’ affects significantly the term structure and can drive the prices of common interest rate derivatives toward the patterns observed in fixed income markets....
Persistent link: https://www.econbiz.de/10005858865
This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamicpanel models with common unobservable factor. These models are especially relevantfor applications to large portfolios of credits, corporate bonds, or life insurance contracts, andare recommended in the...
Persistent link: https://www.econbiz.de/10009305085
The recursive prediction and filtering formulas of the Kalman filter are difficult to implementin nonlinear state space models. For Gaussian linear state space models, or for models with qualitativestate variables, the recursive formulas of the filter require the updating of a finite number...
Persistent link: https://www.econbiz.de/10009305101
We develop an econometric methodology to infer the path of risk premia from large unbalancedpanel of individual stock returns. We estimate the time-varying risk premia implied by conditional linearasset pricing models where the conditioning includes instruments common to all assets and asset...
Persistent link: https://www.econbiz.de/10009418989