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Volatility models with innovations from new maximum entropy densities at work

Fischer, Matthias J.; Gao, Yang; Herrmann, Klaus - 2010

Generalized autoregressive conditional heteroskedasticity (GARCH) processes have become very popular as models for financial return data because they are able to capture volatility clustering as well as leptokurtic unconditional distributions which result from the assumption of conditionally...

Persistent link: https://www.econbiz.de/10010299994

An alternative conditional asymmetry specification for stock returns

Brännäs, Kurt; Nordman, Niklas - 2001

The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the … NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a … skewness that varies between sizeable negative skewness and almost symmetry. The conditional variance and skewness measures are …

Persistent link: https://www.econbiz.de/10011398115

Do investors overpay for stocks with lottery-like payoffs? : an examination of the returns of OTC stocks

Eraker, Bjørn; Ready, Mark J. - In: Journal of financial economics 115 (2015) 3, pp. 486-504

Persistent link: https://www.econbiz.de/10011347448

Higher moments and beta asymmetry : evidence from Australia

Doan, Minh-Phuong; Lin, Chien-ting; Chng, Michael - In: Accounting and finance : journal of the Accounting … 54 (2014) 3, pp. 779-807

Persistent link: https://www.econbiz.de/10011348087

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

Both unconditional mixed-normal distributions and GARCH models with fat-tailed conditional distributions have been employed for modeling financial return data. We consider a mixed-normal distribution coupled with a GARCH-type structure which allows for conditional variance in each of the...

Persistent link: https://www.econbiz.de/10009767120

Prerequisites for modeling price and return data series for the Bucharest Stock Exchange

Tinca, Andrei - In: Theoretical and applied economics : GAER review 20 (2013) 11, pp. 117-126

Persistent link: https://www.econbiz.de/10010224748

Book-to-market ratio and skewness of stock returns

Zhang, Xiao-jun - In: The accounting review : a publication of the American … 88 (2013) 6, pp. 2213-2240

Persistent link: https://www.econbiz.de/10010231036

Are extreme returns priced in the stock market? : European evidence

Annaert, Jan; De Ceuster, Marc J.; Verstegen, Kurt - In: Journal of banking & finance 37 (2013) 9, pp. 3401-3411

Persistent link: https://www.econbiz.de/10010126415

Testing for linear and non-linear causality in spot and future prices of national multi-commodity indices

Shah, Paresh - In: Research bulletin / The Institute of Cost Accountants … 41 (2015) 3, pp. 174-185

Persistent link: https://www.econbiz.de/10011543236

Essays on persistence in growth rates and the success of the British Premium Bond

Hölzl, Alexander - 2014

Persistent link: https://www.econbiz.de/10010468927