Showing 1 - 10 of 130,474
Persistent link: https://www.econbiz.de/10012113737
model in several ways, it allows for all the primary stylized facts of financial asset returns, including volatility … volatility, but without the estimation problems associated with the latter, and being applicable in the multivariate setting for …
Persistent link: https://www.econbiz.de/10010256409
few explanations for this finding. This study presents evidence that time-varying volatility can account for the power law … nonparametric volatility show a striking correspondence to the power law coefficients estimated from returns data for stocks in the …
Persistent link: https://www.econbiz.de/10011500196
Persistent link: https://www.econbiz.de/10011518800
Persistent link: https://www.econbiz.de/10011774954
Persistent link: https://www.econbiz.de/10015396503
Persistent link: https://www.econbiz.de/10012001008
Persistent link: https://www.econbiz.de/10015334594
Persistent link: https://www.econbiz.de/10015416198
We report strong evidence that changes of momentum, i.e. "acceleration", defined as the first difference of successive returns, provide better performance and higher explanatory power than momentum. The corresponding Γ-factor explains the momentum-sorted portfolios entirely but not the reverse....
Persistent link: https://www.econbiz.de/10011411974