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Empirical evidence on jumps and large fluctuations in individual stocks
Doung, Diep; Swanson, Norman - 2011
We make use of the extant testing methodology of Barndorff-Nielsen and Shephard (2006) and Aït-Sahalia and Jacod (2009a,b,c) to examine the importance of jumps, and in particular large and small jumps, using high frequency price returns on 25 stocks in the DOW 30 and S&P futures index. In...
Persistent link: https://www.econbiz.de/10010282828
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Testing for Predictability in a Noninvertible ARMA Model
Lanne, Markku; Meitz, Mika; Saikkonen, Pentti - 2012
We develop likelihood-based tests for autocorrelation and predictability in a first order non-Gaussian and noninvertible ARMA model. Tests based on a special case of the general model, referred to as an all-pass model, are also obtained. Data generated by an all-pass process are uncorrelated...
Persistent link: https://www.econbiz.de/10010500219
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Volatility in discrete and continuous time models: A survey with new evidence on large and small jumps
Duong, Diep; Swanson, Norman - 2011
The topic of volatility measurement and estimation is central to financial and more generally time series econometrics … estimation. The models discussed share the common feature that volatilities are unobserved, and belong to the class of missing …
Persistent link: https://www.econbiz.de/10010282858
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Risk and Rationality : Uncovering Heterogeneity in Probability Distortion
Bruhin, Adrian; Fehr-Duda, Helga; Epper, Thomas - 2009
It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by estimating a finite mixture regression model for three...
Persistent link: https://www.econbiz.de/10014207351
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Testing for monotonicity in expected asset returns
Romano, Joseph P.; Wolf, Michael - 2013
Many postulated relations in finance imply that expected asset returns strictly increase in an underlying characteristic. To examine the validity of such a claim, one needs to take the entire range of the characteristic into account, as is done in the recent proposal of Patton and Timmermann...
Persistent link: https://www.econbiz.de/10010316931
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Stochastic expected utility and prospect theory in a horse race: A finite mixture approach
Bruhin, Adrian - 2008
This study compares the performance of Prospect Theory versus Stochastic Expected Utility Theory at fitting data on decision making under risk. Both theories incorporate well-known deviations from Expected Utility Maximization such as the Allais paradox or the fourfold pattern of risk attitudes....
Persistent link: https://www.econbiz.de/10010315494
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When Uncertainty Blows in the Orchard: Comovementand the Equilibrium Volatility Risk Premia
Buraschi, Andrea; Trojani, Fabio; Vedolin, Andrea - Swiss National Centre of Competence in Research North … - 2010
equilibriumvolatility and correlation risk premia. In our economy, uncertainty is linked to both firm-specific and market-wide signals …: Greatersubjective uncertainty or higher disagreement on the market-wide signal imply a larger correlation of beliefs, a strongerco …-movement of stock returns, and a substantial correlation risk premium generated by the endogenous optimal risksharingamong …
Persistent link: https://www.econbiz.de/10009305103
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Risk and rationality: Uncovering heterogeneity in probability distortion
Bruhin, Adrian; Fehr-Duda, Helga; Epper, Thomas F. - 2007
It has long been recognized that there is considerable heterogeneity in individual risk taking behavior but little is known about the distribution of risk taking types. We present a parsimonious characterization of risk taking behavior by estimating a finite mixture regression model for three...
Persistent link: https://www.econbiz.de/10010315547
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Expectations as reference points: Field evidence from experienced subjects in a competitive, high-stakes environment
Bartling, Björn; Brandes, Leif; Schunk, Daniel - 2012
We show that professional soccer players exhibit reference-dependent behavior during matches. Controlling for the state of the match and for unobserved heterogeneity, we show on a minute-by-minute basis that a player breaches the rules of the game, measured by the referee's assignment of cards,...
Persistent link: https://www.econbiz.de/10010316909
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Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off
Donaldson, Glen; Kamstra, Mark - 2004
Market expectations of future return volatility play a crucial role in finance; so too does our understanding of the process by which information is incorporated in security prices through the trading process. The authors seek to learn something about both of these issues by investigating...
Persistent link: https://www.econbiz.de/10010397639