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Detecting Volatility Persistence in GARCH Models in the Presence of Leverage Effect
Beg, Rabiul - 2013
Most asset prices are subject to significant volatility. Arrival of new information is viewed as the main source of volatility. As new information is continually released, financial asset prices exhibit volatility persistence, which affects financial risk analysis and risk management strategies....
Persistent link: https://www.econbiz.de/10013072216
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Chapter 17 : Insurance and Risk Management
Moten, James - 2017
According to modern portfolio theory (MPT), rational market participants make most decisions and seek to be compensated …
Persistent link: https://www.econbiz.de/10012954643
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Understanding prices at art auctions : a conceptual framework for the auction price mechanism
Noll, Laura - 2022
is no comprehensive theory of auction prices that combines both perspectives. To fill this gap, the author conducts three … ambiguities between theory and practice and elucidate the role of marketing for auction prices. The result is a conceptual … academic interest in art, understanding of auction prices is limited. Price intransparency is exacerbated by contrasting …
Persistent link: https://www.econbiz.de/10013450820
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Pricing Art and the Art of Pricing : On Returns and Risk in Art Auction Markets
Li, Yuexin; Ma, Marshall Xiaoyin; Renneboog, Luc - 2021
transactions by reputable auction houses. The risk-return tradeoff of paintings underperforms that of other passion investments …
Persistent link: https://www.econbiz.de/10013218673
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On Wigner-Ville spectra and the unicity of time-varying : quantile-based spectral densities
Birr, Stefan; Dette, Holger; Hallin, Marc; Kley, Tobias; … - 2016
Persistent link: https://www.econbiz.de/10011672494
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Modeling the Deutsche Telekom IPO using a new ACD specification : an application of the Burr-ACD model using high frequency Ibis data
Grammig, Joachim (contributor) - 1998
Persistent link: https://www.econbiz.de/10000992448
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Ökonometrische Modellierung von Transaktionsintensitäten auf Finanzmärkten
Grammig, Joachim (contributor) - 1998
Persistent link: https://www.econbiz.de/10013444373
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State Space Modelling and Kalman Filterring of Interest Rate in Nigeria : Implications for Investment
Iorember, Paul T - 2018
The volatile nature of interest rate in the Nigerian economy has informed various interest rate policies and regimes to ensure its stability with a view to enhancing investment in the country. Yet, it is not certain whether interest rate would be investment friendly to galvanize investment in...
Persistent link: https://www.econbiz.de/10012916906
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An inflated Multivariate Integer Count Hurdle model : an application to bid and ask quote dynamics
Korycka-Bień, Katarzyna (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003449949
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Pre-averaging based estimation of quadratic variation in the presence of noise and jumps : theory, implementation, and empirical evidence
Hautsch, Nikolaus; Podolskij, Mark - 2010
This paper provides theory as well as empirical results for pre-averaging estimators of the daily quadratic variation …
Persistent link: https://www.econbiz.de/10008663394