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This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10003983206
This paper is concerned with empirical and theoretical basis of the Efficient Market Hypothesis (EMH). The paper begins with an overview of the statistical properties of asset returns at different frequencies (daily, weekly and monthly), and considers the evidence on return predictability, risk...
Persistent link: https://www.econbiz.de/10003985756
Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...
Persistent link: https://www.econbiz.de/10003965868
Persistent link: https://www.econbiz.de/10003981032
are analysed and insights from the theory of industrial organisation are given. Governments intervene in the market for …
Persistent link: https://www.econbiz.de/10002734112
Persistent link: https://www.econbiz.de/10002808264
Persistent link: https://www.econbiz.de/10002808714
that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …
Persistent link: https://www.econbiz.de/10003831142
that this will lead to a dynamic factor model with the dominant unit acting as the factor. The problems of estimation and …
Persistent link: https://www.econbiz.de/10003646695
Persistent link: https://www.econbiz.de/10003624878