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Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo (contributor); Härdle, Wolfgang (contributor) - 2008
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10003727490
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The impact of news on higher moments
Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006
In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...
Persistent link: https://www.econbiz.de/10003394353
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Geld- und Fiskalpolitik in gleichgewichtigen Finanzmarktmodellen
Müller, Markus - 2001
Persistent link: https://www.econbiz.de/10001624655
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Kapitalmarktmodelle und erwartete Renditen am deutschen Aktienmarkt
Schneider, Sebastian - 2001
Persistent link: https://www.econbiz.de/10001530439
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One-factor-Garch models for German stocks : estimation and forecasting
Kaiser, Thomas - 1996
This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...
Persistent link: https://www.econbiz.de/10010407100
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The Stable Long-Run CAPM and the Cross-Section of Expected Returns
Kim, Jeong-Ryeol - 2016
The capital-asset-pricing model (CAPM) is one of the most popular methods ofDas Capital-Asset-Pricing-Modell (CAPM) ist …
Persistent link: https://www.econbiz.de/10012991283
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The stable long-run CAPM and the cross-section of expected returns
Kim, Jeong-Ryeol; Kurz-Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10001650360
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The stable long-run CAPM and the cross-section of expected returns
Kurz-Kim, Jeong-Ryeol - 2002
The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …
Persistent link: https://www.econbiz.de/10011431316
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The uncovered return parity condition
Cappiello, Lorenzo; De Santis, Roberto A. - 2007
This paper proposes an equilibrium relationship between expected exchange rate changes and differentials in expected returns on risky assets. We show that when expected returns on a risky asset in a certain economy are higher than the returns that are expected from investing in a risky asset in...
Persistent link: https://www.econbiz.de/10011604858
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Dynamic semiparametric factor models in risk neutral density estimation
Giacomini, Enzo; Härdle, Wolfgang Karl; Krätschmer, Volker - 2008
Dimension reduction techniques for functional data analysis model and approximate smooth random functions by lower dimensional objects. In many applications the focus of interest lies not only in dimension reduction but also in the dynamic behaviour of the lower dimensional objects. The most...
Persistent link: https://www.econbiz.de/10010274146