Showing 1 - 10 of 135
This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. The following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...
Persistent link: https://www.econbiz.de/10005729567
This paper proposes a systematic framework for analyzing the dynamic effects of permanent and transitory shocks on a system of "n" economic variables.
Persistent link: https://www.econbiz.de/10005729621
In this paper, we provide both quantitative and quantitative measures of the cost of measuring the integrated volatility by the realized volatility when the frequency of observation is fixed.
Persistent link: https://www.econbiz.de/10005545599
We instillate rational cognition and learning in "seemingly riskless" choices and judgments. Preferences and possibilities are given in a stochastic sense and based on revisable expectations. The theory predicts experimental preference reversals and passes a sharp econometric test of the status...
Persistent link: https://www.econbiz.de/10005729521
In this paper, we study several tests for the equality of two unknown distributions. Two are based on empirical distribution functions, three others on nonparametric probability density estimates, and the last ones on differences between sample moments.
Persistent link: https://www.econbiz.de/10005729638
In this paper, we introduce a new approach for volatility modeling in discrete and continuous time.
Persistent link: https://www.econbiz.de/10005353042
This paper prepared for the Handbook of Statistics (Vol.14: "Statistical Methods in Finance"), surveys the subject of stochastic volatility. the following subjects are covered: volatility in financial markets (instantaneous volatility of asset returns, implied volatilities in option prices and...
Persistent link: https://www.econbiz.de/10005545699
This paper develops a general stochastic framework and an equilibrium asset pricing model theat make clear how attitudes towards intertemporal substitution and risk matter for option pricing; In particular we show under which statistical conditions option princing formulas are not...
Persistent link: https://www.econbiz.de/10005729531
This paper develops a general stochastic framework and an equilibrium asset pricing model that make clear how attitudes towards intertemporal substitution and risk matter for option pricing. In particular, we show under which statistical conditions option pricing formulas are not...
Persistent link: https://www.econbiz.de/10005353166
In this paper we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the 1976-1992 period. We also test a conditional APT model by using the difference between the 30-day rate (Cdb) and the overnight rate as a second factor...
Persistent link: https://www.econbiz.de/10005729556