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Joint extreme events in equity returns and liquidity and their cross-sectional pricing implications
Ruenzi, Stefan; Ungeheuer, Michael; Weigert, Florian - 2020 - This version: January 2020
extreme downside return risk and is mainly driven by more recent years. There is no premium for stocks whose liquidity is …We merge the literature on downside return risk and liquidity risk and introduce the concept of extreme downside … same time when the market liquidity (return) is lowest. This effect is not driven by linear or downside liquidity risk or …
Persistent link: https://www.econbiz.de/10012175486
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Measuring the Relevance of the Microstructure Noise in Financial Data
Mancini, Cecilia - 2012
We show that the Truncated Realized Variance (TRV) of a semimartingale asset price converges to zero when observations are contaminated by microstructure noises. Under the additive iid noise assumption, a central limit theorem is also proved. In consequence it is possible to construct a feasible...
Persistent link: https://www.econbiz.de/10013113504
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Exploring Inefficiencies in the Primary Catastrophe Bond Market : Focus on the Issuer Effect
Chatoro, Marian; Pantelous, Athanasios A.; Shao, Jia - 2021
the primary catastrophe bond market remains inefficient, and that factors external to the underlying risk might still …
Persistent link: https://www.econbiz.de/10013222532
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The impact of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic
Abakah, Emmanuel Joel Aikins; Caporale, Guglielmo Maria; … - 2021
This paper analyses the effects of containment measures and monetary and fiscal responses on US financial markets during the Covid-19 pandemic. More specifically, it applies fractional integration methods to analyse their impact on the daily S&P500, the US Treasury Bond Index (USTB), the S&P...
Persistent link: https://www.econbiz.de/10012584220
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A road to assimilation : immigrants and financial markets
Chatterjee, Swarnankur; Zahirovic-Herbert, Velma - In: Journal of economics and finance 38 (2014) 2, pp. 345-358
Persistent link: https://www.econbiz.de/10010490970
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Testing for volatility interactions in the constant conditional correlation GARCH model
Nakatani, Tomoaki (contributor);  … - 2007 - Rev. May 4, 2008
In this paper we propose a Lagrange multiplier test for volatility interactions among markets or assets. The null hypothesis is the Constant Conditional Correlation GARCH model in which volatility of an asset is described only through lagged squared innovations and volatility of its own. The...
Persistent link: https://www.econbiz.de/10003400410
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Small-sample tests for stock return predictability with possibly non-stationary regressors and GARCH-type effects
Gungor, Sermin; Luger, Richard - 2017
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock...
Persistent link: https://www.econbiz.de/10011618038
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Testing linear factor pricing models with large cross-sections: A distribution-free approach
Gungor, Sermin; Luger, Richard - 2010
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...
Persistent link: https://www.econbiz.de/10010279873
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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
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Testing linear factor pricing models with large cross-sections : a distribution-free approach
Gungor, Sermin; Luger, Richard - 2010
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...
Persistent link: https://www.econbiz.de/10008771577