Similar Search Results

Estimating the structural credit risk model when equity prices are contaminated by trading noises

Duan, Jin-Chuan; Fulop, Andras - 2005

The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan (1994) is extended to account for the fact that observed equity prices may have been contaminated by trading noises. With the presence of trading noises, the likelihood function...

Persistent link: https://www.econbiz.de/10011560691

Bond pricing with a time-varying price of risk in an estimated medium-scale Bayesian DSGE model

Dew-Becker, Ian - In: Journal of money, credit and banking : JMCB 46 (2014) 5, pp. 837-888

Persistent link: https://www.econbiz.de/10010466708

On the properties of the coefficient of determination in regression models with infinite variance variables

Kurz-Kim, Jeong-Ryeol; Loretan, Mico - In: Journal of econometrics 181 (2014) 1, pp. 15-24

Persistent link: https://www.econbiz.de/10010473444

New estimates of time-varying currency betas : a trivariate BEKK approach

Jayasinghe, Prabhath; Tsui, Albert K.; Zhang, Zhaoyong - In: Economic modelling 42 (2014), pp. 128-139

Persistent link: https://www.econbiz.de/10010478223

An empirical investigation of asset pricing models under divergent lending and borrowing rates

Hammami, Yacine - In: Financial markets and portfolio management 28 (2014) 3, pp. 263-279

Persistent link: https://www.econbiz.de/10010399273

Cumulant instrument estimators for hedge fund return models with errors in variables

Racicot, François-Éric; Théoret, Raymond - In: Applied economics 46 (2014) 10/12, pp. 1134-1149

Persistent link: https://www.econbiz.de/10010399380

One-factor-Garch models for German stocks : estimation and forecasting

Kaiser, Thomas - 1996

This paper presents theoretical models and their empirical results for the return and variance dynamics of German stocks. A factor structure is used in order to allow for a parsimonious modeling of the first two moments of returns. Dynamic factor models with GARCH dynamics (GARCH(1,1)-M,...

Persistent link: https://www.econbiz.de/10010407100

Cross-sectional regression of returns on betas and portfolio grouping procedures

Hur, Jungshik; Kumar, Raman; Vivek Singh - In: International journal of business and systems research 8 (2014) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10010423288

Non-parametric and semi-parametric asset pricing : an application to the Colombian stock exchange

Gómez González, José Eduardo; Sanabria-Buenaventura, … - In: Economic systems 38 (2014) 2, pp. 261-268

Persistent link: https://www.econbiz.de/10010460969

Evaluating option pricing model performance using model uncertainty

Bams, Dennis; Blanchard, Gildas; Lehnert, Thorsten - 2014

Persistent link: https://www.econbiz.de/10010502926