stochastic volatility of asset prices and to give theoretical arguments for empirically well documented facts. We show that … stochastic volatility. …

In this paper we present an exact maximum likelihood treatment forthe estimation of a Stochastic Volatility in Mean …(SVM) model based on Monte Carlo simulation methods. The SVM modelincorporates the unobserved volatility as anexplanatory variable … Stochastic Volatility (SV)model. However, efficient Monte Carlo simulationmethods for SV models have been developed to overcome …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

In this paper, we reexamine and extend the stochastic volatility model of Stein and Stein (1991) where volatility …

depict this fact. In this paper we incorporate excess volatility into a simple DCF model by considering an autoregressive … (respectively dividend-price ratio) is stochastic and our model represents excess volatility. We discuss whether our assumptions are …

motive than the agency theory. High cash reserve, to a great extent, indicates growth and overvaluation rather than agency …

, leistet das Working Paper einen Beitrag zur Theorie der Regionalen Führungsmächte aus wirtschaftswissenschaftlicher … im Folgenden durch beschreibende Statistik und Regressionsanalyse an den Beispielländern Brasilien, China, Indien und …