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A note on the coefficient of determination in regression models with infinite-variance variables
Kurz-Kim, Jeong-Ryeol (contributor);  … - 2007
Since Mandelbrot's seminal work (1963), alpha-stable distributions with infinite variance have been regarded as a more realistic distributional assumption than the normal distribution for some economic variables, especially financial data. After providing a brief survey of theoretical results on...
Persistent link: https://www.econbiz.de/10003461221
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Complex times : asset pricing and conditional moments under non-affine diffusions
Kimmel, Robert (contributor) - 2007
Persistent link: https://www.econbiz.de/10003477020
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Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis
Szerszen, Pawel J. - 2009
Persistent link: https://www.econbiz.de/10003932677
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A note on the coefficient of determination in models with infinite variance variables
Kurz-Kim, Jeong-Ryeol; Loretan, Mico - 2007
Persistent link: https://www.econbiz.de/10003997434
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Testing mean-variance efficiency in CAPM with possibly non-gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - 2003
of Capital Asset Pricing Model (CAPM), allowing for a wide class of error distributions which include normality as a … is too restrictive when testing the CAPM. We also propose exact multivariate diagnostic checks (including tests for …In diesem Papier schlagen wir exakte likelihood-basierte Tests auf Mittelwert-Varianz- Effizienz im Rahmen des CAPM vor …
Persistent link: https://www.econbiz.de/10011431982
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Consumption based capital asset pricing and the Austrian Stock Exchange
Böheim, René; Boss, Michael - 1996
Using data from the Vienna Stock Exchange we investigate three different types of consumption based capital asset pricing models: the well known two state model of Mehra and Prescott, the model of Rietz, which includes also a crash state, and an own four state model. The aim of this Vienna Stock...
Persistent link: https://www.econbiz.de/10009697460
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An empirical investigation of consumption-based asset pricing models with stochastic habit formation
Dai, Qiang; Grishchenko, Olesya V. - 2011
Persistent link: https://www.econbiz.de/10009406475
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One-factor-Garch models for German stocks : estimation and forecasting
Kaiser, Thomas - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010407100
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Conditionally parametric fits for CAPM betas
Abberger, Klaus (contributor) - 2004
The CAPM model assumes stock returns to be a linear function of the market return. However, there is considerable …
Persistent link: https://www.econbiz.de/10002527952
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Testing mean-variance efficiency in CAPM with possibly non-Gaussian errors : an exact simulation-based approach
Beaulieu, Marie-Christine (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947329