6 datasets found

This paper utilizes data on subjective probabilities to study the impact of the stock market crash of 2008 on households' expectations about the returns on the stock market...

Despite its importance for the analysis of life-cycle behavior and, in particular, retirement planning, stock ownership by private households is poorly understood. Among other...

Recently, Duarte and Young (2009) studied the probability of informed trading (PIN) proposed by Easley et al. (2002) and decomposed it into two parts: the adjusted PIN (APIN) as...

We study the effect of parameter uncertainty on the long-run risk for three asset classes: stocks, bills and bonds. Using a Bayesian vector autoregression with an uninformative...

This paper estimates the magnitude of participation costs and preference parameters exploiting information on households? participation decisions in the equities market. A...

We consider modeling and forecasting large realized covariance matrices by penalized vector autoregressive models. We consider Lasso-type estimators to reduce the dimensionality...