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Bayesian Estimation of Generalized Hyperbolic Skewed Student GARCH Models
Deschamps, Philippe J. - 2012
Efficient posterior simulators for two GARCH models with generalized hyperbolic disturbances are presented. The first model, GHt-GARCH, is a threshold GARCH with a skewed and heavy-tailed error distribution; in this model, the latent variables that account for skewness and heavy tails are...
Persistent link: https://www.econbiz.de/10013105412
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Modeling and forecasting exchange rate volatility in Bangladesh using GARCH models : a comparison based on normal and Student's t-error distribution
Abdullah, S. M.; Siddiqua, Salina; Siddiquee, Muhammad … - In: Financial innovation : FIN 3 (2017) 18, pp. 1-19
heteroscedstic (IGARCH) processes under both normal and Student’s t-distribution assumptions for errors. Results and Conclusions: It … was found that, in contrast with the normal distribution, the application of Student’s t-distribution for errors helped …
Persistent link: https://www.econbiz.de/10011747702
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Panel data evidence on the role of education in the growth-volatility relationship
Kedir, Abbi Mamo; Bani, Nor Yasmin Mhd - 2012
Persistent link: https://www.econbiz.de/10009545920
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Learning about CEO ability and stock return volatility
Pan, Yihui; Wang, Tracy Yue; Weisbach, Michael S. - In: The review of financial studies 28 (2015) 6, pp. 1623-1666
Persistent link: https://www.econbiz.de/10011376073
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Learning about CEO ability and stock return volatility
Pan, Yihui; Wang, Tracy Yue; Weisbach, Michael S. - 2013
When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's value for two reasons: Updates occur because of the direct effect of the news, and also because news leads investors to update their assessment of the CEO's...
Persistent link: https://www.econbiz.de/10009724571
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Learning about CEO ability and stock return volatility
Pan, Yihui; Wang, Tracy Yue; Weisbach, Michael S. - 2013
Persistent link: https://www.econbiz.de/10009733004
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Tests of investor learning models using earnings innovations and implied volatilities
Neururer, Thaddeus; Papadakis, George; Riedl, Edward J. - In: Review of accounting studies 21 (2016) 2, pp. 400-437
Persistent link: https://www.econbiz.de/10011488222
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Learning to smile : can rational learning explain predictable dynamics in the implied volatility surface?
Bernales, Alejandro; Guidolin, Massimo - In: Journal of financial markets 26 (2015), pp. 1-37
Persistent link: https://www.econbiz.de/10011477269
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Boosting-based frameworks in financial modeling : application to symbolic volatility forecasting
Gavrishchaka, Valeriy V. - 2006
Persistent link: https://www.econbiz.de/10003350087
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Learning About CEO Ability and Stock Return Volatility
Pan, Yihui - 2013
When there is uncertainty about a CEO's quality, news about the firm causes rational investors to update their expectation of the firm's profitability for two reasons: Updates occur because of the direct effect of the news, and also because the news can cause an updated assessment of the CEO's...
Persistent link: https://www.econbiz.de/10013085131