Anzeige der Dokumente 1-20 von 24

    • Amit Goyal 

      Unbekannter Autor
      We use the price-dividend ratio of the aggregate stock market provided on Amit Goyal’s webpage. 
    • BEA 

      Unbekannter Autor
      The Bureau of Economic Analysis produces economic accounts statistics that enable government and business decision-makers, researchers, and the American public to follow and understand the performance of the Nation's economy.
    • BEA NIPA 

      Unbekannter Autor
      BEA's national economic accounts provide a comprehensive picture of the U.S. economy and feature many macroeconomic statistics.
    • CBOE 

      Unbekannter Autor
      Cboe Global Markets, Inc. (Cboe) is one of the world's largest exchange holding companies, offering cutting-edge trading and investment solutions to investors
    • Compustat 

      Unbekannter Autor
      Compustat (from Standard & Poor's) provides annual and quarterly income statements, balance sheets, statements and supplemental data on North American public companies.
    • CRSP 

      Unbekannter Autor
      Our portfolio of stock, indexes, mutual fund, treasury, and REIT market databases is relied on by academicians whose research and publications must withstand rigorous analysis for accuracy. Quantitative analysts in the ...
    • Datastream 

      Unbekannter Autor
      Historical financial database with over 35 million individual instruments or indicators across all major asset classes, including 8.5 million active economic indicators. It features 70 years of data, across 175 countries ...
    • FRED 

      Unbekannter Autor
      Federal Reserve Economic Data (FRED) is a database maintained by the Research division of the Federal Reserve Bank of St. Louisthat has more than 500,000 economic time series from 87 sources. The data can be viewed in ...
    • Hao Zhou Webpage 

      Unbekannter Autor
      The variance risk premium taken from Hao Zhou’s homepage.
    • IFO 

      Unbekannter Autor
      "The ifo Institute provides the material with which it strives to shape the discourse on relevant topics in academia and in the public eye - hence our claim ""Shaping the Economic Debate"""
    • Implied Volatility Duration: A Measure for the Timing of Uncertainty Resolution 

      Schlag, Christian; Thimme, Julian; Weber, Rüdiger (2020-01-27)
      We introduce Implied Volatility Duration (IVD) as a new measure for the timing of uncertainty resolution, with a high IVD corresponding to late resolution. Portfolio sorts on a large cross-section of stocks indicate that ...
    • Innovation Dynamics and Fiscal Policy: Implications for Growth, Asset Prices, and Welfare 

      Donadelli, Michael; Grüning, Patrick (2017-04-13)
      "We study the general equilibrium implications of different fiscal policies on macroeconomic quantities, asset prices, and welfare by utilizing two endogenous growth models. The expanding variety model features only ...
    • International Capital Markets with Time-Varying Preferences 

      Curatola, Giuliano; Dergunov, Ilya (2017-08-02)
      We propose a 2-country asset-pricing model where agents' preferences change endogenously as a function of the popularity of internationally traded goods. We determine the effect of the time-variation of preferences on ...
    • Kenneth French 

      Unbekannter Autor
      The Fama-French Portfolios are constructed from the intersections of two portfolios formed on size, as measured by market equity (ME), and three portfolios using the ratio of book equity to market equity (BE/ME) as a proxy ...
    • KPMG 

      Unbekannter Autor
      With a worldwide presence, KPMG continues to build on our member firms' successes thanks to our clear vision, maintained values, and our people. Through helping other organizations mitigate risks and grasp opportunities, ...
    • Level and Slope of Volatility Smiles in Long-Run Risk Models 

      Branger, Nicole; Rodrigues, Paulo; Schlag, Christian (2017-10-16)
      We propose a long-run risk model with stochastic volatility, a time-varying mean reversion level of volatility, and jumps in the state variables. The special feature of our model is that the jump intensity is not affine ...
    • OECD 

      Unbekannter Autor
      The Organisation for Economic Co-operation and Development (OECD) is an international organisation that works to build better policies for better lives. Our goal is to shape policies that foster prosperity, equality, ...
    • Optimal Consumption and Investment with Epstein-Zin Recursive Utility 

      Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas (2016-07-04)
      We study continuous-time optimal consumption and investment with Epstein-Zin recursive preferences in incomplete markets. We develop a novel approach that rigorously constructs the solution of the associated Hamilton-Jac ...
    • OptionMetrics 

      Unbekannter Autor
      OptionMetrics is the financial industry's premier provider of quality historical option price data, tools, and analytics. Currently, over 300 institutional subscribers and universities rely on our products as their main ...
    • Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models 

      Schlag, Christian; Semenischev, Michael; Thimme, Julian (2021-01-22)
      "Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...