Showing 1 - 10 of 103
This paper specifies a multivariate stochastic volatility (SV) model for the Samp;P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate...
Persistent link: https://www.econbiz.de/10012742258
This paper specifies a multivariate stochastic volatility (SV) model for the Samp;P500 index and spot interest rate processes. We first estimate the multivariate SV model via the efficient method of moments (EMM) technique based on observations of underlying state variables, and then investigate...
Persistent link: https://www.econbiz.de/10012712247
We show that average excess returns during the last two years of the presidential cycle are significantly higher than during the first two years: 9.8 percent over the period 1948-2008. This pattern in returns cannot be explained by business-cycle variables capturing time-varying risk premia,...
Persistent link: https://www.econbiz.de/10012708674
We decompose the conditional expected mutual fund return in five parts. Two parts, selectivityand expert market timing, can be attributed to manager skill, and three to variation in marketexposure that can be achieved by private investors as well. The dynamic model that we use toestimate the...
Persistent link: https://www.econbiz.de/10012762741
This paper focuses on the estimation of mutual fund styles by return-based style analysis. Often the investment style is assumed to be constant through time. Alternatively, time variation is sometimes implicitly accounted for by using rolling regressions when estimating the style exposures. The...
Persistent link: https://www.econbiz.de/10012712204
This paper focuses on the estimation of mutual fund styles by return-based style analysis. Often the investment style is assumed to be constant through time. Alternatively, time variation is sometimes implicitly accounted for by using rolling regressions when estimating the style exposures. The...
Persistent link: https://www.econbiz.de/10012769182
This article proposes a new approach to exploit the information in high-frequency data for the statistical inference of continuous-time affine jump diffusion (AJD) models with latent variables. For this purpose, we construct unbiased estimators of the latent variables and their power functions...
Persistent link: https://www.econbiz.de/10012716522
This article proposes stochastic conditional duration (SCD) models with quot;leverage effectquot; for financial transaction data, which extends both the autoregressive conditional duration (ACD) model (Engle and Russell, 1998, Econometrica, 66, 1127-1162) and the existing SCD model (Bauwens and...
Persistent link: https://www.econbiz.de/10012761944
Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the lsquo;lsquo;artificial timing'' bias. In this paper, we propose and implement new measures of market timing based on mutual fund...
Persistent link: https://www.econbiz.de/10012705907
The Chicago Board Options Exchange (CBOE) recently redesigned its widely followed VIX volatility index. While the new VIX is conceptually more appealing than its predecessor, the CBOE's implementation of the index is flawed. Using option prices simulated under typical market conditions, we show...
Persistent link: https://www.econbiz.de/10012709887