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We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
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Common statistical measures of bond risk premia are volatile and countercyclical. This paper uses survey data on … interest rate forecasts to construct subjective bond risk premia. Subjective premia are less volatile and not very cyclical …
Persistent link: https://www.econbiz.de/10013158770
We propose a new methodology for abnormal return detection and correction, and evaluate the economic impacts of outliers on asset allocations with higher-order moments (Cf. Jurczenko et al., 2008). Indeed, extreme returns and outliers greatly affect empirical higher-order moment estimations (Cf....
Persistent link: https://www.econbiz.de/10013159253
Convertible bonds are an important segment of the corporate bond market, however, as hybrid instruments, convertible … variables. Moreover, the most challenging problem in convertible bond valuation is the underlying stock return process modeling … real-world convertible bond specifications compared with previous model-driven models. The experiments on the Chinese …
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