Showing 1 - 10 of 41,117
Persistent link: https://www.econbiz.de/10011762113
In this article, we have tested the volatility of the monthly returns of an equity hedge fund for changing conditional variances by using a log likelihood model. Generalized autoregressive conditional heteroskedastic models, (GARCH) with t-distributed errors, and exponential generalized...
Persistent link: https://www.econbiz.de/10012890419
The equity premium, namely the expected return on the aggregate stock market less the government bill rate, is of central importance to the portfolio allocation of individuals, to the investment decisions of firms, and to model calibration and testing. This quantity is usually estimated from the...
Persistent link: https://www.econbiz.de/10013072344
Persistent link: https://www.econbiz.de/10010337860
Persistent link: https://www.econbiz.de/10010494128
Persistent link: https://www.econbiz.de/10011311193
Persistent link: https://www.econbiz.de/10011326796
Persistent link: https://www.econbiz.de/10011743787
Persistent link: https://www.econbiz.de/10011575057