Search
Now showing items 1-6 of 6
Consumption and portfolio rules whit stochastic hyperbolic discounting
(Departamento de Fundamentos del Análisis Económico I, 2013-09)
We extend the classic Merton (1969, 1971) problem that investigates the joint consumption-savings and portfolio-selection problem under capital risk by assuming sophisticated but time-inconsistent agents. We introduce ...
Wavelet multiple correlation and cross-correlation: A multiscale analysis of euro zone stock markets
(2011-06)
Statistical studies that consider multiscale relationships among several variables use wavelet correlations and cross-correlations between pairs of variables. This procedure needs to calculate and compare a large number ...
A Note on Risk Acceptance, Bankruptcy Avoidance and Riskiness Measures
(2013-09-30)
In this work we clarify the relationships between riskiness, risk acceptance and bankruptcy avoidance. We distinguish between the restriction on the current wealth required to make a gamble acceptable to the decision maker ...
An Alternative View of the US Price-Dividend Ratio Dynamics
(2014-12)
As a necessary condition for the validity of the present value model, the price-dividend ratio must be stationary. However, significant market episodes seem to provide
evidence of prices significantly drifting apart from ...
Conditional beta pricing models: A nonparametric approach
(2010)
We propose a two-stage procedure to estimate conditional beta pricing models that allow for flexibility in the dynamics of assets' covariances with risk factors and market prices of risk (MPR). First, conditional covariances ...
Time-Varying Beta Estimators in the Mexican Emerging Market
(2011)
This paper compares the performance of three different time-varying betas that have never
previously been compared: the rolling OLS estimator, a nonparametric estimator and an
estimator based on GARCH models. The study ...