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We use recently proposed Bayesian statistical methods to compare the habit persistence asset pricing model of Campbell and Cochrane, the long-run risks model of Bansal and Yaron, and the prospect theory model of Barberis, Huang, and Santos. We improve these Bayesian methods so that they can...
Variance targeting estimation (VTE) is a technique used to alleviate the numerical difficulties encountered in the quasi-maximum likelihood estimation (QMLE) of GARCH models. It relies on a reparameterization of the model and a first-step estimation of the unconditional variance. The remaining...
Quadratic covariation is a popular descriptive measure for the volatility of a multivariate price process. It is consistently estimated by the sum of outer products of high-frequency returns. The proposed realized outlyingness weighted covariation (ROWCov) is a weighted sum of outer products of...
We develop a panel intensity framework for the analysis of complex trading activity datasets containing detailed information on individual trading actions in different securities for a set of investors. A feature of the model is the presence of a time-varying latent factor, which captures the...
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