This paper examines the issue of the fractional dynamics in Irish stock returns. The finding of evidence of fractional dynamics indicates that a long memory process is operational in the series. The paper looks for these dynamics using the Fractional Differencing Model of Geweke and Porter-Hudak...

New insights about the connections between stock market volatility and returns, the pricing of long-run claims, or return predictability have recently revived interest in consumption-based equilibrium asset pricing. The recursive utility model is prominently used in these contexts to determine...

The open financial economic systems of six Asian countries Taiwan, Malaysia, Singapore, Philippines, Indonesia and Japan - over the period 1986 through 1995 are identified from empirical data to determine how their stock markets, economies and financial markets are interrelated. The objective is...

The paper considers a volatility model which introduces a persistent, integrated or nearly integrated, covariate to the standard ARCH(1) model. For such a model, we derive asymptotic theory of quasi-maximum likelihood estimator. In particular, we establish consistency and obtain limit...

The article shows statistically that the VIX Implied Volatility Index is an important driver of the Samp;P 500 future returns. The statistical analysis is performed by means of a regression based on dummy variables in order to circumvent the difficulties posed by the lack of linearity between...

In the article the two approaches to the market's valuation are considered. The first one is based on using of the model of alternative investments, which is the second approximation for the Fed's model. The role of the model of alternative investments has increased for last 25 years since it...

We develop a theory for option pricing with perfect hedging in an inefficient market model where the underlying price variations are autocorrelated over a time. This is accomplished by assuming that the underlying noise in the system is derived by an Ornstein-Uhlenbeck, rather than from a Wiener...

In the article it is shown that year-to-year change of the Samp;P 500 does not depend on profits cycle. On the other hand, year-to-year change of earnings multiple P/E tends to anticorrelate with profits cycle. It shows sluggishness of market response in relation to profits cycle. It is shown...

There are a lot of approaches for estimation of the equity market attractiveness. Fed's model has received a wide prevalence. However this model has a number of essential restrictions. In particular the Fed's model uses current earnings yield, which is based on analysts' estimates of earnings...

This paper investigates the empirical characteristics of investor risk aversion over equity return states by estimating a time-varying pricing kernel, which we call the empirical pricing kernel (EPK). We estimate the EPK on a monthly basis from 1991 to 1995, using Samp;P 500 index option data...