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Testing for rational bubbles in a co-explosive vector autoregression

Engsted, Tom; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2010

We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are...

Persistent link: https://www.econbiz.de/10008550314

A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure

Ghysels, Eric; Ng, Serena - Centre Interuniversitaire de Recherche en Analyse des … - 1997

Many continuous time term structure of interest rate models assume a factor structure where the drift and volatility functions are affine functions of the state variable process. These models involve very specific parametric choices of factors and functional specifications of the drift and...

Persistent link: https://www.econbiz.de/10005100561

STOCK DATA, TRADE DURATIONS, AND LIMIT ORDER BOOK INFORMATION

Simonsen, Ola - Institutionen för Nationalekonomi, Umeå Universitet - 2006

added. The model is empirically used to study duration dependence in four traded stocks, Nordea, Föreningssparbanken …, Handelsbanken and SEB A on the Stockholm Stock Exchange. The stocks are all active in the banking sector. It is found that including … announcements on trade durations in stocks on the Stockholm Stock Exchange. The news are categorized into four groups and the impact …

Persistent link: https://www.econbiz.de/10005651956

Volatility Spillovers between Equity and Bond Markets: Evidence from G7 and BRICS

Zhang, Jian; Zhang, Dongxiang; Wang, Juan; Zhang, Yue - In: Journal for Economic Forecasting (2013) 4, pp. 205-217

China. This has important implications for domestic cross-market portfolio allocation and risk management in both developed …

Persistent link: https://www.econbiz.de/10010734657

Testing conditional factor models

Ang, Andrew; Kristensen, Dennis - In: Journal of Financial Economics 106 (2012) 1, pp. 132-156

Using nonparametric techniques, we develop a methodology for estimating and testing conditional alphas and betas and long-run alphas and betas, which are the averages of conditional alphas and betas, respectively, across time. The estimators and tests can be implemented for a single asset or...

Persistent link: https://www.econbiz.de/10010593836

Liquidez en los mercados accionarios colombianos. Cuánto hemos avanzado en los últimos 10 años?

Rueda, Diego Alonso Agudelo - UNIVERSIDAD EAFIT - 2010

. Abstract:How to measure the liquidity of Colombian stocks and its recent evolution. In the context of market microstructure … literature, we define and estimate a measure of liquidity for Colombian stocks and provide evidence of the large improvement of … econometric model, to a significant improvement in liquidity for most of the individual stocks.We also explore the determinants …

Persistent link: https://www.econbiz.de/10010827926

Conditional market beta for REITs: A comparison of modeling techniques

Zhou, Jian - In: Economic Modelling 30 (2013) C, pp. 196-204

There has accumulated strong evidence in the literature that market beta (β) is time varying. This paper contributes to the literature by studying how to best model the time varying beta for REITs. We include several commonly used methods and evaluate their performances in terms of in-sample...

Persistent link: https://www.econbiz.de/10011048940

Investigating impact of volatility persistence, market asymmetry and information inflow on volatility of stock indices using bivariate GJR-GARCH

Sinha, Pankaj; Agnihotri, Shalini - Volkswirtschaftliche Fakultät, … - 2014

Joint dynamics of market index returns, volume traded and volatility of stock market returns can unveil different dimensions of market microstructure. It can be useful for precise volatility estimation and understanding liquidity of the financial market. In this study, the joint dynamics is...

Persistent link: https://www.econbiz.de/10011114116

Substitution, Risk Aversion, Taste Shocks and Equity Premia

Normandin, Michel; St-Amour, Pascal - EconWPA - 1996

relative risk aversion. This last result occurs because taste shocks reproduce the large observed equity premium by shifting … weight away from consumption risk in favor to taste risk. This paper is available at ftp …

Persistent link: https://www.econbiz.de/10005561766

Measuring causality between volatility and returns with high-frequency data

Dufour, Jean-Marie; García, René; Taamouti, Abderrahim - Departamento de Economía, Universidad Carlos III de Madrid - 2008

-varying risk premium. On observing that a central difference between these alternative explanations lies in the direction of … realized volatilities (the variance risk premium) and we find that a positive variance risk premium (an anticipated increase in … variance) has more impact on returns than a negative variance risk premium. …

Persistent link: https://www.econbiz.de/10008486971