Narrow search
Showing 1 - 10 of 328
Cover Image
The market reaction to stock splits : evidence from Germany
Wulff, Christian - 1999
Although stock splits seem to be a purely cosmetic event, there exists ample empirical evidence from the United States that stock splits are associated with abnormal returns on both the announcement and the execution day, and additionally with an increase in variance following the ex-day. This...
Persistent link: https://www.econbiz.de/10009580473
Cover Image
Weekday dependence of German stock market returns
Herwartz, Helmut - 1999
exchange the paper compares estimation results of parametric and nonparametric autoregressive models with respect to possible …
Persistent link: https://www.econbiz.de/10009580468
Cover Image
Stock performance around share repurchase announcements in Germany
Seifert, Udo (contributor) - 2003 - [Elektronische Ressource], draft
Persistent link: https://www.econbiz.de/10001917087
Cover Image
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
Cover Image
Modeling the interdependence of volatility and inter-transaction duration processes
Grammig, Joachim; Wellner, Marc - 1999
-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 …
Persistent link: https://www.econbiz.de/10009579173
Cover Image
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
Cover Image
Bayesian estimation of NIG-parameters by Markov Chain Monte Carlo Methods
Lillestøl, Jostein - 2000 - Rev.
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
Cover Image
Financial price fluctuations in a stock market model with many interacting agents
Horst, Ulrich - 2001
We consider a financial market model with a large number of interacting agents. Investors are heterogeneous in their expectations about the future evolution of an asset price process. Their current expectation is based on the previous states of their "neighbors" and on a random signal about the...
Persistent link: https://www.econbiz.de/10009613599
Cover Image
Flexible stochastic volatility structures for high frequency financial data
Feldmann, David; Härdle, Wolfgang; Hafner, Christian M.; … - 1998
Stochastic Volatility (SV) models are widely used in financial applications. To decide whether standard parametric restrictions are justified for a given dataset, a statistical test is required. In this paper, we develop such a test based on the linear state space representation. We provide a...
Persistent link: https://www.econbiz.de/10009578026
Cover Image
Semiparametric diffusion estimation and application to a stock market index
Härdle, Wolfgang; Kleinow, Torsten; Korostelev, … - 2001
The analysis of diffusion processes in financial models is crucially dependent on the form of the drift and diffusion coefficient functions. A methodology is proposed for estimating and testing coefficient functions for ergodic diffusions that are not directly observable. It is based on...
Persistent link: https://www.econbiz.de/10009613611