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The day-of-the-week effect revisited : an alternative testing approach
Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002
This paper questions traditional approaches for testing the day-of-the-week effect on stock returns. We propose an … studies, but find no evidence for the 1990's. -- day-of-the-week effect ; multiple hypotheses testing ; multiple comparisons …
Persistent link: https://www.econbiz.de/10009725480
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The day-of-the-week effect revisited : an alternative testing approach
Alt, Raimund; Fortin, Ines; Weinberger, Simon - 2002
Persistent link: https://www.econbiz.de/10001736260
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Nonparametric change-point analysis of volatility
Bibinger, Markus; Jirak, Moritz; Vetter, Mathias - 2015
This work develops change-point methods for statistics of high-frequency data. The main interest is the volatility of an Itô semi-martingale, which is discretely observed over a fixed time horizon. We construct a minimax-optimal test to discriminate different smoothness classes of the...
Persistent link: https://www.econbiz.de/10010477582
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Optimal Trading in a Limit Order Book Using Linear Strategies
Pellizzari, Paolo - 2011
We numerically determine the equilibrium trading strategies in a Continuous Double Auction (CDA). We consider heterogeneous and liquidity motivated agents, with private values and costs that trade sequentially in random order under time constraints and are not aware of the type of the other...
Persistent link: https://www.econbiz.de/10013119065
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Competition in Schedules with Traders that Neglect the Informational Content of the Price
Bayona, Anna; Manzano, Carolina - 2022
We study a market with competition in schedules, such as in asset auctions or wholesale electricity markets, with boundedly rational sellers that partially neglect the informational content of the price. Using the cursed equilibrium concept, we find that the unique symmetric linear equilibrium...
Persistent link: https://www.econbiz.de/10013291358
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Price Dynamics on a Stock Market with Asymmetric Information
De Meyer, Bernard - 2007
The appearance of a Brownian term in the price dynamics on a stock market was interpreted in [De Meyer, Moussa-Saley (2003)] as a consequence of the informational asymmetries between agents. To take benefit of their private information without revealing it to fast, the informed agents have to...
Persistent link: https://www.econbiz.de/10014052529
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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach
Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009
; multivariate Spearman's rho ; time-varying copula ; asymptotic test theory ; hierarchical testing ; control chart theory … so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence …
Persistent link: https://www.econbiz.de/10003846947
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On the Properties of Regression Tests of Asset Return Predictability
Velasco, Carlos - 2011
This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...
Persistent link: https://www.econbiz.de/10013132892
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra - 2016
so far. One reason is certainly the increasing complexity of the statistical theory, which is commonly referred to as the … the copula theory with the aim of detecting significant long-term level changes in the supervisory portfolio's dependence …
Persistent link: https://www.econbiz.de/10012989258
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Detecting serial dependence in tail events
Diks, Cees G. H. - 2002
A test for serial independence is proposed which is related to the BDS test but focuses on tail event probabilities rather than probabilities near the center of the distribution. The motivation behind this approach is to obtain a test more suitable for detecting structure in the tails, such as...
Persistent link: https://www.econbiz.de/10011327543