Autori
Canova, Fabio
Marrinan, Jane

Titolo
Predicting excess returns in financial markets
Periodico
European University Institute of Badia Fiesolana (Fi). Department of Economics - Working papers
Anno: 1993 - Fascicolo: 17 - Pagina iniziale: 1 - Pagina finale: 31

This paper attempts to reproduce the time series properties of nominal excess returns in a variety of financial markets using a representative agent cash-in-advance model, modified to allow for time variation in the conditional variances of the exogenous processes. The exogenous fundamental processes of the model are estimated from the data and the remaining free parameters are estimated with a simulated method of moments technique. Simulations demonstrate that the model can replicate some of the predictability features of observed excess returns for the period 1978-1991. but that it fails to account for many features of real world data.



Testo completo: http://hdl.handle.net/1814/458

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