Now showing items 231-240 of 240
Do High-Frequency Data Improve High-Dimensional Portfolio Allocations?
This paper addresses the open debate about the usefulness of high-frequency (HF) data in large-scale portfolio allocation. We consider the problem of constructing global minimum variance portfolios based on the constituents ...
Estimating the Quadratic Covariation Matrix from Noisy Observations
Local Method of Moments and Efficiency
An efficient estimator is constructed for the quadratic covariation or integrated covolatility matrix of a multivariate continuous martingale based on noisy and non-synchronous observations under high-frequency asymptotics. ...
Decomposing Risk in Dynamic Stochastic General Equilibrium
We analyze the theoretical moments of a nonlinear approximation to a model of business cycles and asset pricing with stochastic volatility and recursive preferences. We find that heteroskedastic volatility operationalizes ...
Quantitative forward guidance and the predictability of monetary policy
A wavelet based jump detection approach
The publication of a projected path of future policy decisions by central banks is a controversially debated method to improve monetary policy guidance. This paper suggests a new approach to evaluate the impact of the ...
The European Debt Crisis
How did we get into this mess? How can we get out of it?
By any measure, the European Monetary Union and the European Union are in a deep hole. In the summer of 2011 we came uncomfortably close to an uncontrolled sovereign default of an EU country, a member of the European ...
Change point and trend analyses of annual expectile curves of tropical storms
Motivated by the conjectured existence of trends in the intensity of tropical storms, this paper proposes new inferential methodology to detect a trend in the annual pattern of environmental data. The new methodology can ...