BEGIN:VCALENDAR
VERSION:2.0
PRODID:-//Memento EPFL//
BEGIN:VEVENT
SUMMARY:On the Empirical Saddlepoint Approximation with Application to Ass
 et Pricing
DTSTART:20180329T103000
DTEND:20180329T120000
DTSTAMP:20260509T084122Z
UID:b79c9827d3dfda4e771f5e1041a189ff044669be433b5eeee6121b94
CATEGORIES:Conferences - Seminars
DESCRIPTION:Benjamin HOLCBLAT (University of Luxembourg)\nMoment-based est
 imation often yields instable estimates\, such as the RRA (relative risk a
 version) estimate in consumption-based asset pricing. This paper establish
 es novel theoretical results for the ESP (empirical saddlepoint) approxima
 tion\, and then use them to investigate this instability. We prove that th
 ere exists an intensity distribution of the solutions to empirical moment 
 conditions\, and approximate it with the integral of the ESP approximation
 \, calling the result the ESP intensity. Global consistency and asymptotic
  normality of the ESP intensity are proved. The application provides an ex
 planation for the instability of the RRA estimates reported in the literat
 ure (fat and long right tail of the ESP approximation)\, and it suggests t
 hat consumption-based asset-pricing theory is more consistent with data th
 an standard inference approaches indicate.
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
END:VEVENT
END:VCALENDAR