A cellation of the Grassmann manifold

Motivated by the computation of equilibria in economic models with incomplete asset markets, a cellation of the Grassmann manifold is constructed by restricting a common atlas. The Grassmann manifold of m-planes in n-dimensional space is shown to be a union of n choose m congruent m(n - m)-dimensional topological disks whose interiors are disjoint.

The Perils of Performance Measurement in the German Mutual-Fund Industry

We document a curious feature of the German mutual fund industry. Unlike U.S. mutual funds, funds domiciled in Germany do not necessarily compute their net asset values (NAV) as of market close. Using a sample of German equity funds, we infer each fund's NAV closing time from the best-fit market model using both maximum likelihood and Bayesian estimation. The results of both approaches coincide perfectly and show that all but one of the funds domiciled in Germany report intraday NAVs. We show that using market returns computed at the end of the day instead of the best-fit time, usually leads to misleading inferences about mutual fund performance

Long-run UIP holds even in the short run

The failure of uncovered interest rate parity to explain short-term interest rate movements is well documented. We show that short-term changes in long-term interest rates do help to explain short-term exchange rate movements. The relationship gets stronger over our sample period, as the liquidity of the exchange rate market increases. We also show that controlling for time-varying exchange rate risk also helps to improve the fit of the relationship

Non-parametric counterfactual analysis in dynamic general equilibrium

Dynamic general equilibrium, Non-parametric analysis, Observable restrictions, D50, G10,