Showing 1 - 10 of 216
Persistent link: https://www.econbiz.de/10000947003
Recent empirical evidence suggests that the weekend and holiday calendar effects are much stronger and statistically significant in volatility as opposed to expected returns. This paper seeks an explanation for this empirical finding by undertaking a comprehensive investigation of the predictive...
Persistent link: https://www.econbiz.de/10005702592
Inference on ordinary unit roots, seasonal unit roots, seasonality and business cycles are fundamental issues in time series econometrics. This paper proposes a novel approach to inference on these features by focusing directly on the roots of the autoregressive polynomial rather than taking the...
Persistent link: https://www.econbiz.de/10005130150
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...
Persistent link: https://www.econbiz.de/10005702757
This paper is concerned with specification for modelling financial leverage effect in the context of stochastic volatility (SV) models. Two alternative specifications co-exist in the literature. One is the Euler approximation to the well known continuous time SV model with leverage effect and...
Persistent link: https://www.econbiz.de/10005063753
This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...
Persistent link: https://www.econbiz.de/10005342343
This paper investigates the uncertainty in variance and covariance of asset returns. It is commonly believed that these second moments can be estimated very accurately. However, time varying volatility and nonnormality of asset returns can lead to imprecise variance estimates. Using CRSP value...
Persistent link: https://www.econbiz.de/10005130241
This paper examines the estimation of parameters of a discretely sampled Markov process whose continuous-time sample paths are generated by a continuous Brownian term and a stochastic jump term, a realistic setting for many financial asset prices. In discretely sampled data, every change in the...
Persistent link: https://www.econbiz.de/10005699685
It is a well accepted fact that stock returns data are often contaminated by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover, and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...
Persistent link: https://www.econbiz.de/10005702555
It is a well accepted fact that stock returns data are often characterized by market microstructure effects, such as bid-ask spreads, liquidity ratios, turnover and asymmetric information. This is particularly relevant when dealing with high frequency data, which are often used to compute model...
Persistent link: https://www.econbiz.de/10005702617