Semi Parametric Estimation Of Factor Risk Premia PDF Download
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Author | : Maziar Kazemi |
Publisher | : |
Total Pages | : 43 |
Release | : 2019 |
Genre | : |
ISBN | : |
Download Semi-Parametric Estimation of Factor Risk-Premia Book in PDF, ePub and Kindle
This paper shows that factor risk premia can be consistently estimated using a semi-parametric estimate of the stochastic discount factor without requiring a correctly specified linear factor model. We use a minimum discrepancy objective function to construct a stochastic discount factor from asset returns using only the economic assumption of no arbitrage. The stochastic discount factor and factor risk-premia are estimated using only data on portfolio returns and factor realizations: The same data used when evaluating linear models. The econometrics are applications of standard extremum estimator arguments and the Delta Method, making inference simple. In simulations, the estimated risk-premia have low root mean squared errors and are comparable to classic two-pass estimates even when the model is correctly specified. Empirical estimates of popular traded factors are close to their mean excess returns. For non-traded factors, we find that intermediary leverage and consumption growth carry risk-premia, while employment growth does not. A final application shows that the estimated risk-premia can be used as an extra moment condition to discipline the creation of factor mimicking portfolios.
Author | : Flavia Giammarino |
Publisher | : |
Total Pages | : 28 |
Release | : 2015 |
Genre | : |
ISBN | : |
Download A Semiparametric Model for the Systematic Factors of Portfolio Credit Risk Premia Book in PDF, ePub and Kindle
The aim of this paper is to investigate the empirical relationship between daily fluctuations in the risk premium for holding a large diversified credit portfolio, which we approximate by a benchmark credit index, and some tradeable market factors which capture systematic risk. The analysis is based on an adaptive nonparametric modelling approach which allows for the data-driven estimation of the nonlinear dynamic relationship between portfolio credit risk premia and their hypothetical components. Our main finding is that the empirical weights of the systematic factors display sudden jumps during market crises and a less intense time-dependent behaviour during normal market conditions. In addition, we find that during market crises the directions of the empirical relationships are often inconsistent with ordinary economic intuition, as they are influenced by the specific circumstances of financial markets distress.
Author | : Juan Carlos Escanciano |
Publisher | : |
Total Pages | : 30 |
Release | : 2013 |
Genre | : |
ISBN | : |
Download Semi-Parametric Estimation of Risk-Return Relationships Book in PDF, ePub and Kindle
This article proposes semi-parametric least squares estimation of parametric risk-return relationships, i.e. parametric restrictions between the conditional mean and the conditional variance of excess returns given a set of unobservable parametric factors. A distinctive feature of our estimator is that it does not require a parametric model for the conditional mean and variance. We establish consistency and asymptotic normality of the estimates. The theory is non-standard due to the presence of estimated factors. We provide simple sufficient conditions for the estimated factors not to have an impact in the asymptotic standard error of estimators. A simulation study investigates the nite sample performance of the estimates. Finally, an application to the CRSP value-weighted excess returns highlights the merits of our approach. In contrast to most previous studies using non-parametric estimates, we find a positive and significant price of risk in our semi-parametric setting.
Author | : Jianqing Fan |
Publisher | : |
Total Pages | : 64 |
Release | : 2003 |
Genre | : Parameter estimation |
ISBN | : |
Download Semiparametric Estimation of Value-at-risk Book in PDF, ePub and Kindle
Author | : Matthias R. Fengler |
Publisher | : Springer Science & Business Media |
Total Pages | : 232 |
Release | : 2005-12-19 |
Genre | : Business & Economics |
ISBN | : 3540305912 |
Download Semiparametric Modeling of Implied Volatility Book in PDF, ePub and Kindle
This book offers recent advances in the theory of implied volatility and refined semiparametric estimation strategies and dimension reduction methods for functional surfaces. The first part is devoted to smile-consistent pricing approaches. The second part covers estimation techniques that are natural candidates to meet the challenges in implied volatility surfaces. Empirical investigations, simulations, and pictures illustrate the concepts.
Author | : |
Publisher | : Elsevier |
Total Pages | : 594 |
Release | : 2020-11-25 |
Genre | : Business & Economics |
ISBN | : 0444636544 |
Download Handbook of Econometrics Book in PDF, ePub and Kindle
Handbook of Econometrics, Volume 7A, examines recent advances in foundational issues and "hot" topics within econometrics, such as inference for moment inequalities and estimation of high dimensional models. With its world-class editors and contributors, it succeeds in unifying leading studies of economic models, mathematical statistics and economic data. Our flourishing ability to address empirical problems in economics by using economic theory and statistical methods has driven the field of econometrics to unimaginable places. By designing methods of inference from data based on models of human choice behavior and social interactions, econometricians have created new subfields now sufficiently mature to require sophisticated literature summaries. Presents a broader and more comprehensive view of this expanding field than any other handbook Emphasizes the connection between econometrics and economics Highlights current topics for which no good summaries exist
Author | : Oliver B. Linton |
Publisher | : |
Total Pages | : 32 |
Release | : 2001 |
Genre | : |
ISBN | : |
Download The Shape of Risk Premium Book in PDF, ePub and Kindle
We examine the relationship between the risk premium on the Samp;P500 index total return and its conditional variance. We propose a new semiparametric model in which the conditional variance process is parametric, while the conditional mean is an arbitrary function of the condi-tional variance. For monthly Samp;P 500 excess returns, the relationship between the two moments that we uncover is nonlinear and nonmonotonic. Moreover, we find considerable persistence in the conditional variance as well as a leverage effect as documented by others.
Author | : Maziar M. Kazemi |
Publisher | : |
Total Pages | : 40 |
Release | : 2018 |
Genre | : |
ISBN | : |
Download An Information-theoretic Approach to Estimating Risk Premia Book in PDF, ePub and Kindle
Evaluation of linear factor models in asset pricing requires estimation of two unknown quantities: the factor loadings and the factor risk premia. Using relative entropy minimization, this paper estimates factor risk premia with only no-arbitrage economic assumptions and without needing to estimate the factor loadings. The method proposed here is particularly useful when the factor model suffers from omitted variable bias, rendering classic Fama-MacBeth/GMM estimation infeasible. Asymptotics are derived and simulation exercises show that the accuracy of the method is comparable to, and frequently is higher than, leading techniques, even those designed explicitly to deal with omitted variables. Empirically, we find estimates of risk premia that are closer to those expected by financial economic theory, relative to estimates from classical estimation techniques. For example, we find that the risk premia on size, book-to-market, and momentum sorted portfolios are very close to the observed average excess returns of these portfolios. An exciting application of our methodology is to performance evaluation for active fund managers. We show that we are able to estimate a manager's "alpha" without specifying the manager's factor exposures.
Author | : Benoît Perron |
Publisher | : |
Total Pages | : 23 |
Release | : 2004 |
Genre | : Nonparametric statistics |
ISBN | : |
Download The Shape of the Risk Premium Book in PDF, ePub and Kindle
Author | : Xun Chen |
Publisher | : |
Total Pages | : 254 |
Release | : 1999 |
Genre | : |
ISBN | : |
Download Estimation Methods for Semi-parametric Models in Risk-based Allocation Trials Book in PDF, ePub and Kindle