[下载]An unobserved component model of asset pricing across financial markets

是 否 +2 论坛币

k人 参与回答

经管之家送您一份

应届毕业生专属福利!

求职就业群

赵安豆老师微信：zhaoandou666

经管之家联合CDA

送您一个全额奖学金名额~ !

立即领取

感谢您参与论坛问题回答

经管之家送您两个论坛币！

+2 论坛币

An unobserved component model of asset pricing across financial markets

Adrian M. Cowan^{a, ,} and Frederick L. Joutz^{b a}Department of Finance, Economics and Quantitative Methods, University of Alabama at Birmingham, 1150 10th Avenue South, BEC 317F, Birmingham, AL 35294, United States ^bDepartment of Economics, The George Washington University, Washington, D.C., United States Available online 20 November 2004.

Abstract

Our research focuses on multifactor asset pricing models that investigate the importance of economic factors in the pricing of assets beyond the scope of the stock market. We present a Bayesian learning model of asset pricing across financial markets in which unobserved components are estimated using a Kalman filter (KF). Economic factors serve to drive the pricing of risk in the market, and agents update expectations recursively, as new information becomes available. We generally find that the Kalman filter provides superior performance and that economic factors like industrial production and unanticipated inflation provide consistent implications across financial markets.

Keywords: Asset pricing; Kalman filter; Bayesian learning

JEL classification: G12; E44

9883.rar (309.39 KB) 本附件包括：

• An unobserved component model of asset pricing across financial markets.pdf

2005-3-9 06:23:00 上传

[下载]An unobserved component model of asset pricing across financial markets

扫码加我 拉你入群

请注明：姓名-公司-职位

以便审核进群资格，未注明则拒绝

分享0 收藏0 回帖

关键词：Unobserved Component financial inancial Financia Pricing model Asset Component Across

Multifractal model of asset returns with leverage effect

Z. Eisler^{, , a} and J. Kertész^{a, b a} Department of Theoretical Physics, Budapest University of Technology and Economics, Budafoki út 8, H-1111, Budapest, Hungary ^b Laboratory of Computational Engineering, Helsinki University of Technology, P.O.Box 9400, FIN-02015, HUT, Finland Revised 22 April 2004. Available online 15 June 2004.

Abstract

9884.rar (740.02 KB) 本附件包括：

• Multifractal model of asset returns with leverage effect.pdf

2005-3-9 06:25:00 上传

[下载]An unobserved component model of asset pricing across financial markets

Measuring financial and economic integration with equity prices in emerging markets

Kate Phylaktis^, and Fabiola Ravazzolo^{, †, †} City University Business School, Frobisher Crescent, Barbican Centre, London EC2Y 8HB, UK Available online 2 November 2002.

Abstract

This paper examines real and financial links simultaneously at the regional and global level for a group of Pacific-Basin countries by analysing the covariance of excess returns on national stock markets over the period 1980–1998. We find overwhelming evidence at the regional and global level and for all sub-periods that financial integration is accompanied by economic integration. This seems to suggest that economic integration provides a channel for financial integration, which explains, at least partly, the high degree of financial integration found in this study and in other studies for this region even in the presence of foreign exchange controls. This result has important implications for the use of restrictions to isolate capital markets from world influences.

Author Keywords: Capital market integration; Emerging markets; Pacific-Basin capital markets

JEL classification codes: F36; G15

9885.rar (109.12 KB) 本附件包括：

• Measuring financial and economic integration with equity prices in emerging markets.pdf

2005-3-9 06:26:00 上传

[下载]An unobserved component model of asset pricing across financial markets

感谢hanszhu上传，积分+100