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Semiparametric modelling of the cross-section of expected returns in the German stock market

Stehle, Richard; Bunke, Olaf; Sommerfeld, Volker - 1997

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only because of their different levels of non-diversifiable risk (beta). However, Fama/French (1992) show that the two variables size and book-to-market ratio capture the...

Persistent link: https://www.econbiz.de/10009661022

Estimation and testing for varying coefficients in additive models with marginal integration

Yang, Lijian; Härdle, Wolfgang; Park, Byeong U. - 2002

We propose marginal integration estimation and testing methods for the coefficients of varying coefficient multivariate … regression model. Asymptotic distribution theory is developed for the estimation method which enjoys the same rate of convergence … as univariate function estimation. For the test statistic, asymptotic normal theory is established. These theoretical …

Persistent link: https://www.econbiz.de/10009627286

Lag selection in subset VAR models with an application to a US monetary system

Brüggemann, Ralf; Lütkepohl, Helmut - 2000

Alternative modeling strategies for specifying subset VAR models are considered. It is shown that under certain conditions a testing procedure based on t-ratios is equivalent to sequentially eliminating lags that lead to the largest improvement in a prespecified model selection criterion. A...

Persistent link: https://www.econbiz.de/10009583885

Nonlinear error correction and the efficient market hypothesis : the case of German dual-class shares

Breitung, Jörg; Wulff, Christian - 1999

The efficient market hypothesis implies that asset prices cannot be cointegrated. On the other hand, arbitrage processes prevent prices of fundamentally related assets from drifting far away. An attractive model that reconciles these two conflicting facts is the nonlinear error correction...

Persistent link: https://www.econbiz.de/10009581105

Fractional cointegration and tests of present value models

Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2000

This paper tests the validity of Present Value (PV) models of stock prices by employing a two-step strategy for testing the null hypothesis of no cointegration against alternatives which are fractionally cointegrated. Monte Carlo simulations are conducted to evaluate the power and size...

Persistent link: https://www.econbiz.de/10009582383

On measuring skewness and kurtosis in short rate distributions : the case of the US dollar London Inter Bank Offer Rates

Dutta, Kabir K. (contributor); Babbel, David F. (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001685960

Is implied correlation worth calculating? : Evidence from foreign exchange options and historical data

Walter, Christian (contributor); … - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001577552

Parametric versus nonparametric goodness of fit : another view

Läuter, Henning; Nikulin, Michail S. - 1999

We consider chi-squared type tests for testing the hypothesis H 0 that a density f of observations X1,..., Xn lies in a parametric class of densities F. We consider a version of chi-squared type test using kernel estimates for the density. The main result is, following Liero, Läuter and Konakov...

Persistent link: https://www.econbiz.de/10009579178

Comparison of nonparametric goodness of fit tests

Läuter, Henning; Sachsenweger, Cornelia - 1999

maximum-likelihood-estimation (m.l.e.). The power of both tests will be examined under local alternatives. Although both tests …

Persistent link: https://www.econbiz.de/10009579183

Testing for linear autoregressive dynamics under heteroskedasticity

Hafner, Christian M.; Herwartz, Helmut - 1998

One puzzling behavior of asset returns for various frequencies is the often observed positive autocorrelation at lag 1. To some extent this can be explained by standard asset pricing models when assuming time varying risk premia. However, one often finds better results when directly fitting an...

Persistent link: https://www.econbiz.de/10009579187