Similar Search Results

On stock market returns and returns on investment

Rockinger, Michael; Restoy, Fernando - 1993

Persistent link: https://www.econbiz.de/10000881687

Predicting tail-related risk measures : the consequences of using GARCH filters for non-GARCH data

Jalal, Amine; Rockinger, Michael - In: Journal of empirical finance 15 (2008) 5, pp. 868-877

Persistent link: https://www.econbiz.de/10003776390

Fourth order pseudo maximum likelihood methods

Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2009

The objective of this paper is to extend the results on Pseudo Maximum Likelihood (PML) theory derived in Gourieroux, Monfort, and Trognon (GMT) (1984) to a situation where the first four conditional moments are specified. Such an extension is relevant in light of pervasive evidence that...

Persistent link: https://www.econbiz.de/10003970462

Fourth order pseudo maximum likelihood methods

Holly, Alberto; Monfort, Alain; Rockinger, Michael - 2010

Persistent link: https://www.econbiz.de/10009406538

Market liquidity and institutional trading during the 2007 - 8 financial crisis

Poon, Ser-Huang; Rockinger, Michael; Stathopoulos, … - 2011

During the financial crisis in 2007-8, the quoted spread for the average S&P 1500 firm increased by 50%, while the systematic liquidity risk increased by 34%. We find that the trading of a firm's equity by institutional investors increased the firms' quoted spreads, and led to a higher liquidity...