Narrow search
Showing 1 - 10 of 39,017
Cover Image
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
Cover Image
Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
estimation of the state vector and of the time-varying parameters. We use this method to study the timevarying relationship …
Persistent link: https://www.econbiz.de/10012156426
Cover Image
Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship …
Persistent link: https://www.econbiz.de/10012842441
Cover Image
A Mixed Frequency Stochastic Volatility Model for Intraday Stock Market Returns
Bekierman, Jeremias - 2019
five New York Stock Exchange traded stocks. The estimation results indicate distinct dynamic patterns for daily and …
Persistent link: https://www.econbiz.de/10012903646
Cover Image
Measuring High-Frequency Causality between Returns, Realized Volatility and Implied Volatility
Dufour, Jean-Marie - 2011
theory assumes that return shocks can be caused by changes in conditional volatility through a time-varying risk premium. On …
Persistent link: https://www.econbiz.de/10013128856
Cover Image
Duration and Bond Return Approximation : The Quasi-Convexity Effect
Hallerbach, Winfried G. - 2009
Duration is often applied to relate bond price changes to changes in the yield to maturity (or key interest rates). As … first order approximation. In this paper, we show that knowledge of a bond's duration (or key rate durations) allows a …-at-Risk analyses where duration (and convexity) approximations are used as fast alternatives for full revaluation. Our main …
Persistent link: https://www.econbiz.de/10013158344
Cover Image
Review of Econometric Models Applicable to Hedge Fund Returns Capturing Serial Correlation and Illiquidity
Dubrana, Ludovic - 2011
Hedge Fund returns are often highly serially correlated mainly due to illiquidity exposures given that investments in such securities tend to be inactively traded and associated market prices are not always readily available. Following that, observed returns of such alternative investments tend...
Persistent link: https://www.econbiz.de/10013118101
Cover Image
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...
Persistent link: https://www.econbiz.de/10011398115
Cover Image
Jump factor models in large cross‐sections
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456
We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...
Persistent link: https://www.econbiz.de/10012042424
Cover Image
Modelling UK Stock Returns : A Multiple-Regime Framework
Khadaroo, Ahmad Jameel - 2012
Through the use of regime-switching models, recent empirical research has essentially demonstrated that the dynamics of stock returns depend on the state of one stock market. The present paper extends this analytical framework by allowing the dynamics of returns to depend on the joint-states of...
Persistent link: https://www.econbiz.de/10013101775