Similar Search Results

Lüders, Erik - 2002

Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant. Declining [Increasing] elasticity of the pricing kernel leads to mean reversion and negatively autocorrelated asset...

Persistent link: https://www.econbiz.de/10010297953

Can we make money with fifth-order autocorrelation in Japanese stock prices?

Tsutsui, Yoshiro; Hirayama, Kenjiro; Tanaka, Takahiro; … - 2005

We first report that one-minute returns on TOPIX have exhibited significant autocorrelation at five-minute intervals … jump in excess of a predetermined band seem to be the source of this autocorrelation, since these have been updated at five …-minute intervals since August 1998. Individual stock returns also exhibit fifth-order autocorrelation, but this disappears when the …

Persistent link: https://www.econbiz.de/10010332467

Profitability of Technical Stock Trading: Has it Moved from Daily to Intraday Data?

Schulmeister, Stephan - 2008

This paper investigates how technical trading systems exploit the momentum and reversal effects in the S&P 500 spot and futures market. When based on daily data, the profitability of 2,580 technical models has steadily declined since 1960, and has been unprofitable since the early 1990s....

Persistent link: https://www.econbiz.de/10011435253

Finite sample of the Durbin-Watson test against fractionally integrated disturbances

Kleiber, Christian; Krämer, Walter - 2004

We consider the finite sample power of various tests against serial correlation in the disturbances of a linear regression when these disturbances follow a stationary long memory process. It emerges that the power depends on the form of the regressor matrix and that, for the Durbin-Watson test...

Persistent link: https://www.econbiz.de/10010306236

Risk Measures for Autocorrelated Hedge Fund Returns

Cesare, Antonio Di; Stork, Philip A.; de Vries, Casper G. - 2011

Standard risk metrics tend to underestimate the true risks of hedge funds becauseof serial correlation in the reported returns. Getmansky et al. (2004) derive mean,variance, Sharpe ratio, and beta formulae adjusted for serial correlation. Followingtheir lead, adjusted downside and global...

Persistent link: https://www.econbiz.de/10010326197

Why Do Asset Prices Not Follow Random Walks?

Franke, Günter; Lüders, Erik - 2004

This paper analyzes the effect of non-constant elasticity of the pricing kernel on asset return characteristics in a rational expectations model. It is shown that declining elasticity of the pricing kernel can lead to predictability of asset returns and high and persistent volatility. Also,...

Persistent link: https://www.econbiz.de/10010263423

A stochastic Gordon-Shapiro formula with excess volatility

Kruschwitz, Lutz; Löffler, Andreas - 2020

It is well-known that stock prices fluctuate far more than dividends. Traditional valuation methods are not able to depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive cash flows process with random coefficients. We show that...

Persistent link: https://www.econbiz.de/10012230962

Sources of Predictability of European Stock Markets for High-Technology Firms

Pierdzioch, Christian; Schertler, Andrea - 2005

-order autocorrelation coefficients, and find evidence for return predictability of stock indexes of smaller hightechnology firms, but no …

Persistent link: https://www.econbiz.de/10010260517

Implied market price of weather risk

Härdle, Wolfgang Karl; López Cabrera, Brenda - 2009

Weather influences our daily lives and choices and has an enormous impact on cooperate revenues and earnings. Weather derivatives differ from most derivatives in that the underlying weather cannot be traded and their market is relatively illiquid. The weather derivative market is therefore...

Persistent link: https://www.econbiz.de/10010274151

Localized realized volatility modelling

Chen, Ying; Härdle, Wolfgang Karl; Pigorsch, Uta - 2009

With the recent availability of high-frequency Financial data the long range dependence of volatility regained researchers' interest and has lead to the consideration of long memory models for realized volatility. The long range diagnosis of volatility, however, is usually stated for long sample...

Persistent link: https://www.econbiz.de/10010274152

1
2
3
4
5
6
7
8
9
10
Next
Last