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Discrete-time stochastic volatility models and MCMC-based statistical inference
Hautsch, Nikolaus (contributor); Ou, Yangguoyi (contributor) - 2008
In this paper, we review the most common specifications of discrete-time stochastic volatility (SV) models and illustrate the major principles of corresponding Markov Chain Monte Carlo (MCMC) based statistical inference. We provide a hands-on ap proach which is easily implemented in empirical...
Persistent link: https://www.econbiz.de/10003770817
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Is ESG a Systematic Risk Factor for US Equity Mutual Funds?
Jin, Ick - 2021
investing within the well-known risk-return paradigm. From the viewpoint of ex-ante equity risk premium (ERP), the five factor …-related systematic risk, ii) the exposure to ESG-related systematic risk is significantly priced in the market, and iii) equity funds …
Persistent link: https://www.econbiz.de/10013252157
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Capital Share Risk in U.S. Asset Pricing
Lettau, Martin - 2018
power for expected returns across a range of equity characteristic portfolios and non-equity asset classes, with risk price … estimates that are of the same sign and similar in magnitude. Positive exposure to capital share risk earns a positive risk …
Persistent link: https://www.econbiz.de/10012913073
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An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Estimation Accurate with Application on the US Stock Market Investment
Leung, Pui-lam - 2016
. Bai, Liu, and Wong (2009) propose a bootstrap-corrected estimator to correct the overestimation, but there is no closed … better than the bootstrap-corrected estimators for both the optimal return and its corresponding allocation. Another … advantage of our improved estimation of returns is that we can also obtain an explicit formula for the standard deviation of the …
Persistent link: https://www.econbiz.de/10013008389
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Risk and policy uncertainty on stock-bond return correlations : evidence from the US markets
Chiang, Thomas C. - In: Risks : open access journal 8 (2020) 2/58, pp. 1-16
This paper investigates dynamic correlations of stock-bond returns for different stock indices and bond maturities. Evidence in the US shows that stock-bond relations are time-varying and display a negative trend. The stock-bond correlations are negatively correlated with implied volatilities in...
Persistent link: https://www.econbiz.de/10012292914
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Data-snooping, technical trading rule performance, and the bootstrap
Sullivan, Ryan; Timmermann, Allan; White, Halbert - In: The journal of finance : the journal of the American … 54 (1999) 5, pp. 1647-1691
Persistent link: https://www.econbiz.de/10001430863
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Extreme value dependence in financial markets : diagnostics, models, and financial implications
Poon, Ser-Huang; Rockinger, Michael; Twan, Jonathan - In: The review of financial studies 17 (2004) 2, pp. 581-610
Persistent link: https://www.econbiz.de/10002028108
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Global Economic Uncertainty and the U.S. Equity Returns
Jahan-Parvar, Mohammad R.; Kitsul, Yuriy; Rahman, Jamil A. - 2021
We document the predictive ability and economic significance of global economic policy uncertainty for U.S. equity returns. After orthogonalizing global economic policy uncertainty (global EPU) with respect to the U.S. EPU, we find that it has significant predictive power for aggregate stock...
Persistent link: https://www.econbiz.de/10013242535
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Estimation and testing in models containing both jumps and conditional heteroscedasticity
Drost, Feike C. - In: Journal of business & economic statistics : JBES ; a … 16 (1998) 2, pp. 237-243
Persistent link: https://www.econbiz.de/10001244002
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The asymptotic distribution of extreme stock market returns
Longin, François M. - In: The journal of business : B 69 (1996) 3, pp. 383-408
Persistent link: https://www.econbiz.de/10001203930