The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer show that univariate GARCH is not a special case of multivariate GARCH,...

The purpose of the paper is to explore the relative biases in the estimation of the Full BEKK model as compared with the Diagonal BEKK model, which is used as a theoretical and empirical benchmark. Chang and McAleer [4] show that univariate GARCH is not a special case of multivariate ARCH,...

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of daily arithmetically compounded returns on a set of ten market indices representing the major European markets for a nine year period from the beginning of 2005 to the...

This paper features an analysis of the effectiveness of a range of portfolio diversfication strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The...

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

This paper features a statistical analysis of the monthly three factor Fama/French return series. We apply rolling OLS regressions to explore the relationship between the 3 factors, using monthly data from July 1926 to June 2018, that are available on Ken French's website. The results suggest...

This article examines the deviation of the UK market index from market fundamentals implied by the simple dividend discount model and identifies other components that also affect price movements. The components are classified as permanent, temporary, excess stock returns and non-fundamental...

This paper features a statistical analysis of the independence of the core Fama/French factors; SMB and HML, using daily data, of the factor return series, for the USA, Developed Markets and Japan, using a sample taken from the data-sets that are available on French's website. The various series...

The purpose of this study is to investigate whether current and future domestic and international macroeconomic variables can explain long and short run stock returns in Pacific-basin countries. The countries examined include Australia, Japan, Korea, Malaysia, New Zealand and Singapore, whilst...

We investigate the provision of liquidity by different trader types on the Australian Securities Exchange using data that spans an extended sample period of 2003 to 2012. We find the familiar intraday U-shaped pattern in order volume and frequency where the lunch time session is associated with...