Showing 81 - 90 of 218
This article proposes a new approach to exploit the information in high-frequency data for the statistical inference of continuous-time affine jump diffusion (AJD) models with latent variables. For this purpose, we construct unbiased estimators of the latent variables and their power functions...
Persistent link: https://www.econbiz.de/10012716522
This article proposes stochastic conditional duration (SCD) models with quot;leverage effectquot; for financial transaction data, which extends both the autoregressive conditional duration (ACD) model (Engle and Russell, 1998, Econometrica, 66, 1127-1162) and the existing SCD model (Bauwens and...
Persistent link: https://www.econbiz.de/10012761944
Previous research finds insignificant market-timing ability for mutual funds using tests based on fund returns. The return-based tests, however, are subject to the lsquo;lsquo;artificial timing'' bias. In this paper, we propose and implement new measures of market timing based on mutual fund...
Persistent link: https://www.econbiz.de/10012705907
The Chicago Board Options Exchange (CBOE) recently redesigned its widely followed VIX volatility index. While the new VIX is conceptually more appealing than its predecessor, the CBOE's implementation of the index is flawed. Using option prices simulated under typical market conditions, we show...
Persistent link: https://www.econbiz.de/10012709887
We identify large discontinuous changes, known as jumps, in daily stock prices and explore the role of jumps in cross-sectional stock return predictability. Our results show that small and illiquid stocks have higher jump returns, to the extent that cross-sectional differences in jumps fully...
Persistent link: https://www.econbiz.de/10012710973
In this paper, we identify jumps in U.S. Treasury-bond (T-bond) prices and investigate what causes such unexpected large price changes. In particular, we examine the relative importance of macroeconomic news announcements versus variation in market liquidity in explaining the observed jumps in...
Persistent link: https://www.econbiz.de/10012711183
This paper proposes a new approach to exploit the information in high frequency data for the statistical inference of continuous-time affine jump diffusion (AJD) models with latent variables. For this purpose, we construct unbiased estimators of the latent variables and their power functions...
Persistent link: https://www.econbiz.de/10012711642
Horizon-matched historical volatility is commonly used to forecast future volatility for option valuation under the Statement of Financial Accounting Standards 123R. In this paper, we empirically investigate the performance of using historical volatility to forecast long-term stock return...
Persistent link: https://www.econbiz.de/10012754365
Under efficient market hypothesis, option-implied forward variance forms a martingale and changes in forward variance follow a random walk. In this paper, we extract forward variance from option prices following a model-free approach and empirically test the random walk hypothesis. Although...
Persistent link: https://www.econbiz.de/10012754855
Illiquid common stock is worth less than stock that can be readily sold because the investor incurs an opportunity cost by being locked into the investment. Quantifying the amount of this illiquidity discount is an important issue in valuing certain common stock, especially for estate...
Persistent link: https://www.econbiz.de/10012770281