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Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

Beaulieu, Marie-Claude; Dufour, Jean-Marie; Khalaf, Lynda - Centre Interuniversitaire de Recherche en Analyse des … - 2005

distribution of stock returns is usually rejected in empirical studies, due to excess kurtosis and asymmetry. To model such data …, from which exact confidence sets for the unknown tail area and asymmetry parameters of the stable error distribution are …

Persistent link: https://www.econbiz.de/10005100963

TESTING FOR ASYMMETRY IN INTEREST RATE VOLATILITY IN THE PRESENCE OF A NEGLECTED LEVEL EFFECT

Henry, O.T.; Suardi, S. - Department of Economics, Faculty of Business and Economics - 2005

Empirical evidence documents a level effect in the volatility of short term rates of interest. That is, volatility is positively correlated with the level of the short term interest rate. Using Monte-Carlo simulations this paper examines the performance of the commonly used Engle-Ng (1993) tests...

Persistent link: https://www.econbiz.de/10005587595

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Département de Sciences Économiques, Université de … - 2005

Persistent link: https://www.econbiz.de/10005729882

Hedging Effectiveness under Conditions of Asymmetry

Cotter, John; Hanly, James - Volkswirtschaftliche Fakultät, … - 2007

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific … of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry …

Persistent link: https://www.econbiz.de/10005837212

The Asymmetric Effect of the Business Cycle on the Realtion between Stock Market Returns and their Volatility

Smith, P N; Sorensen, S; Wickens, M R - Department of Economics and Related Studies, University … - 2006

We examine the relation between US stock market returns and the US business cycle for the period 1960 - 2003 using a new methodology that allows us to estimate a time-varying equity premium. We identify two channels in the transmission mechanism. One is through the mean of stock returns via the...

Persistent link: https://www.econbiz.de/10005129594

The Asymmetric Effect of the Business Cycle on the Equity Premium (This is an extensively revised version of earlier paper No. 06/04)

Smith, Peter N; Sorensen, Steffen; Wickens, Mike - Department of Economics and Related Studies, University … - 2007

Persistent link: https://www.econbiz.de/10005129619

Hedging Effectiveness under Conditions of Asymmetry

Cotter, John; Hanly, Jim - Geary Institute, University College Dublin - 2011

We examine whether hedging effectiveness is affected by asymmetry in the return distribution by applying tail specific … number of hedging strategies including OLS and both Symmetric and Asymmetric GARCH models. Our findings show that asymmetry …

Persistent link: https://www.econbiz.de/10009194552

Short-horizon Asymmetry in Conditional Mean of Asean Stock Market Returns

Ibrahim, Mansor H. - In: Asian Academy of Management Journal of Accounting and … 6 (2010) 2, pp. 115-128

This paper describes the return patterns of six ASEAN markets (Indonesia, Malaysia, the Philippines, Singapore, Thailand, and Vietnam) using an autoregressive exponential GARCH-in mean model, also known as AR-EGARCH(1, 1)-M. Estimating the model for each market using daily data from August 2000...

Persistent link: https://www.econbiz.de/10010612028

Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions

BEAULIEU, Marie-Claude; DUFOUR, Jean-Marie; KHALAF, Lynda - Centre Interuniversitaire de Recherche en Économie … - 2005

Persistent link: https://www.econbiz.de/10008671570

Volume and Skewness Analysis in the Major Latin American Stock Markets

Kristjanpoller, Werner; Caballero, Víctor - In: Lecturas de Economía (2012) 76, pp. 119-141

The main objective of this article is to study the relation between volumes and return asymmetries for most of the Latin American Stock Markets, including Argentina, Brazil, Chile, Colombia, Mexico and Peru. The selected methodology for this study considers the first three moments of operational...

Persistent link: https://www.econbiz.de/10010692905