Search Results - subject:"variance bound"

Variance bounds test of volatility expectations in eurodollar futures options markets

Kim, Kwanho; Poonvoralak, Wantanee - In: Global Business & Finance Review (GBFR) 24 (2019) 2, pp. 20-32

Persistent link: https://www.econbiz.de/10012286676

Variance bounds test of volatility expectations in eurodollar futures options markets

Kim, Kwanho; Poonvoralak, Wantanee - In: Global business and finance review 24 (2019) 2, pp. 20-32

Persistent link: https://www.econbiz.de/10012121276

Fixed-effect regressions on network data

Jochmans, Koen; Weidner, Martin - 2017

This paper studies inference on fixed effects in a linear regression model estimated from network data. An important special case of our setup is the two-way regression model, which is a workhorse method in the analysis of matched data sets. Networks are typically quite sparse and it is...

Persistent link: https://www.econbiz.de/10011941467

Fixed-effect regressions on network data

Jochmans, Koen; Weidner, Martin - 2017

Persistent link: https://www.econbiz.de/10011653757

Fixed-effect regressions on network data

Jochmans, Koen; Weidner, Martin - 2016

This paper studies inference on fixed effects in a linear regression model estimated from network data. We derive bounds on the variance of the fixed-effect estimator that uncover the importance of the smallest non-zero eigenvalue of the (normalized) Laplacian of the network and of the degree...

Persistent link: https://www.econbiz.de/10011594342

Fixed-effect regressions on network data

Jochmans, Koen; Weidner, Martin - 2016

Persistent link: https://www.econbiz.de/10011517838

Excess Volatility in European Equity Style Indices - New Evidence

Berneburg, Marian - 2006

Are financial markets efficient? One proposition that seems to contradict this is Shiller's finding of excess volatility in asset prices and its resulting rejection of the discounted cash flow model. This paper replicates Shiller's approach for a different data set and extends his analysis by...

Persistent link: https://www.econbiz.de/10010269960

Systematic Mispricing in European Equity Prices?

Berneburg, Marian - 2007

One empirical argument that has been around for some time and that clearly contra- dicts equity market efficiency is that market prices seem too volatile to be optimal estimates of the present value of future discounted cash flows. Based on this, it is deduced that systematic pricing errors...

Persistent link: https://www.econbiz.de/10010269909

Systematic Mispricing in European Equity Prices?

Berneburg, Marian - Institut für Wirtschaftsforschung Halle (IWH) - 2007

: Equity Market Efficiency; Discounted Cashflow; Excess Volatility; Variance Bound Test, Rational Expectations JEL-Codes: G12 …¨orter: Aktienmarkteffizienz; Discouned Cashflow; Excess Volatility; Variance Bound Tests; Rationale Erwartungen JEL-Codes: G12; G14 4 IWH … movements). This points to a disadvantage of Shiller’s variance bound: It is not a statistical test. In other words, one is …

Persistent link: https://www.econbiz.de/10005426773

Excess Volatility in European Equity Style Indices - New Evidence

Berneburg, Marian - Institut für Wirtschaftsforschung Halle (IWH) - 2006

market. Keywords: Equity Market Efficiency; Discounted Cashflow; Excess Volatility; Variance Bound Test, Cointegration Tests …¨orter: Aktienmarkteffizienz; Discouned Cashflow; Excess Volatility; Variance Bound Tests; Kointegration JEL-Codes: G12; G14 4 IWH … should not fundamentally change the series’ variance. So the final variance bound test looks as follows: var(p∗) ≥ var(p) (12 …

Persistent link: https://www.econbiz.de/10005426766