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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

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

Multivariate tests of mean-variance efficiency and spanning with a large number of assets and time-varying covariances

Gungor, Sermin; Luger, Richard - 2013

We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...

Persistent link: https://www.econbiz.de/10009746573

High Dimensional Beta Test with High Frequency Data

Chen, Dachuan; Feng, Long; Mykland, Per A.; Zhang, Lan - 2022

the number of regressors can be larger than the number of observations within each estimation block and can also grow to …

Persistent link: https://www.econbiz.de/10013405238

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

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

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

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

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

Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach

Gaißer, Sandra Caterina - 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