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Do we need stochastic volatility and generalised autoregressive conditional heteroscedasticity? : Comparing squared end-of-day returns on ftse

Allen, David E.; McAleer, Michael - In: Risks : open access journal 8 (2020) 1/12, pp. 1-20

The paper examines the relative performance of Stochastic Volatility (SV) and Generalised Autoregressive Conditional … Heteroscedasticity (GARCH) (1,1) models fitted to ten years of daily data for FTSE. As a benchmark, we used the realized volatility (RV … two standard volatility models if the simple expedient of using lagged squared demeaned daily returns provides a better RV …

Persistent link: https://www.econbiz.de/10012203997

Return-volatility relationship : insights from linear and non-linear quantile regression

Allen, David E.; Singh, Abhay Kumar; Powell, Robert; … - 2013

Persistent link: https://www.econbiz.de/10009724826

Asset pricing, the Fama-French factor model and the implications of Quantile Regression analysis

Allen, David E.; Singh, Abhay Kumar; Powell, Robert - 2009

Persistent link: https://www.econbiz.de/10008667282

Stock returns and equity premium evidence using dividend price ratios and dividend yields in Malaysia

Allen, David E.; Imbarine Bujang - 2009

Persistent link: https://www.econbiz.de/10008667285

Asset Pricing, the Fama-French Factor Model and the Implications of Quantile Regression Analysis

Allen, David E. - 2010

In traditional tests of asset pricing theory Ordinary Least Squares (OLS) regression methods are used in empirical tests of factor models, which implies a focus on the means of the distributions of covariates. The work of Koenker and Basset (1982) and Koenker (2005) provides an alternative via...

Persistent link: https://www.econbiz.de/10013151093