(EMH) ; Present Value (PV) models ; fractional cointegration …

under which (i) investors invest in the fund if the realized return falls within some interval, i.e., is neither too low nor …

According to the Sharpe-Lintner capital asset pricing model, expected rates of return on individual stocks differ only …" nonlinear model for the relationship between rates of return, beta, size and book-to-market. The model and corresponding … partial correlation with the stock return. In most of the annual regressions the corresponding coefficients have the correct …

-transaction duration process and vice versa. In order to solve the estimation problems implied by this interdependent formulation, we first … propose a GMM estimation procedure for the Autoregressive Conditional Duration model. The method is then extended to the … simultaneous estimation of the interdependent duration-volatility model. In an empirical application we utilize the model for an …

exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible … weekday dependence of return data. Allowing for heteroskedastic error distributions the wild bootstrap is used to infer … against time varying means and correlation of return data in parametric models and to obtain confidence bands for …