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Jumps, cojumps and macro announcements (replication data)
We use recently proposed tests to extract jumps and cojumps from three types of assets: stock index futures, bond futures, and exchange rates. We then characterize the dynamics... -
Measuring and interpreting expectations of equity returns (replication data)
We analyze probabilistic expectations of equity returns elicited in the Survey of Economic Expectations in 1999-2001 and in the Michigan Survey of Consumers in 2002-2004. Our... -
Hierarchical Markov normal mixture models with applications to financial asse...
Motivated by the common problem of constructing predictive distributions for daily asset returns over horizons of one to several trading days, this article introduces a new... -
An empirical model of mainframe computer investment (replication data)
This paper introduces a dynamic model of investment decisions in mainframe computer systems. I estimate and test the model using detailed micro data from a company in the... -
Mixed logit models: accuracy and software choice (replication data)
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