-
作者：Mukerji, Sujoy; Ozsoylev, Han N. N.; Tallon, Jean-Marc
作者单位：University of London; Queen Mary University London; Ozyegin University; Centre National de la Recherche Scientifique (CNRS); Paris School of Economics; Paris School of Economics; Centre National de la Recherche Scientifique (CNRS)
摘要：We consider markets with heterogeneously ambiguous assets and heterogeneously ambiguity-averse investors whose preferences are a parsimonious extension of the mean-variance framework. We study portfolio choice and trade upon arrival of public information, and show systematic departures from the predictions of standard theory, that occur in the direction of empirical regularities. In particular, our theory speaks to several phenomena in a unified fashion: the asset allocation puzzle, the observ...
-
作者：Tzavellas, Hector
作者单位：Virginia Polytechnic Institute & State University
摘要：Economic systems are composed of multiple interrelated groups of agents and with multiple sources of network externalities present. This can give rise to novel systemic risks. We propose a multilayer model to understand this phenomenon. The model features complementary or substitutionary actions of agents active in multiple groups and extends the network concepts of systemic importance and microinduced aggregate fluctuations to their multigroup counterparts. The multilayer allows for the propa...
-
作者：Koop, Gary; Korobilis, Dimitris
作者单位：University of Strathclyde; University of Glasgow; University of Glasgow
摘要：This article addresses the issue of inference in time-varying parameter regression models in the presence of many predictors and develops a novel dynamic variable selection strategy. The proposed variational Bayes dynamic variable selection algorithm allows for assessing at each time period in the sample which predictors are relevant (or not) for forecasting the dependent variable. The algorithm is used to forecast inflation using over 400 macroeconomic, financial, and global predictors, many ...
