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Some exact results for an asset pricing test based on the average F distribution

Hwang, Soosung; Satchell, Stephen - In: Theoretical economics letters 2 (2012) 5, pp. 435-437

Persistent link: https://www.econbiz.de/10009746710

Testing linear factor models on individual stocks using the average F-test

Hwang, Soosung; Satchell, Stephen - In: The European journal of finance 20 (2014) 4/6, pp. 463-498

Persistent link: https://www.econbiz.de/10010461963

Asymptotic properties of the maximum likelihood an non-linear least squares estimators for noninvertible moving average models

Tanaka, Katsuto - 1987

Persistent link: https://www.econbiz.de/10013400520

The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models

Hwang, Soosung; Valls Pereira, Pedro L. - 2009

We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...

Persistent link: https://www.econbiz.de/10014214849