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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
alternative for modelling financial data exhibiting skewness and fat tails. In this paper we explore the Bayesian estimation of …
Persistent link: https://www.econbiz.de/10009612011