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Essays on the Predictability and Volatility of Asset Returns

Park, Joon Y. (contributor) - 2009

This dissertation collects two papers regarding the econometric and economic theoryand testing of the predictability of asset returns. It is widely accepted that stockreturns are not only predictable but highly so. This belief is due to an abundanceof existing empirical literature fi nding often...

Persistent link: https://www.econbiz.de/10009464841

Essays in Empirical Finance: Evaluating Risk in FinancialMarkets

Shcherbakova, Alysa - 2009

Essays in Empirical Finance: Evaluating Risk in FinancialMarketsBy Alysa V. ShcherbakovaThis dissertation is comprised of two parts, each addressing animportant type of financial risk. The first part is composed of anessay discussing Market Risk. This essay examines a causalrelationship between...

Persistent link: https://www.econbiz.de/10009480854

Price discovery and volatility spillovers in index futures markets: Some evidence from Mexico

Zhong, Maosen; Darrat, Ali F.; Otero, Rafael - 2004

This paper investigates the hypotheses that the recently established Mexican stock index futures market effectively serves the price discovery function, and that the introduction of futures trading has provoked volatility in the underlying spot market. We test both hypotheses simultaneously with...

Persistent link: https://www.econbiz.de/10009448857

Portfolio selection and hedge funds : linearity, heteroscedasticity, autocorrelation and tail-risk

Bianchi, Robert John - 2007

heteroscedasticity and autocorrelation in asset returns are the primary sources of test mis-specification in these linearity …-in-the-mean hypothesis tests. To address this problem, an innovative approach is proposed to control heteroscedasticity and autocorrelation … the theme of the previous two studies, the effects of heteroscedasticity and autocorrelation are examined in the portfolio …

Persistent link: https://www.econbiz.de/10009437793

Modeling physiological and anthropometric variables known to vary with body size and other confounding variables

Nevill, Alan M.; Bate, Stuart; Holder, Roger L. - 2005

This review explores the most appropriate methods of identifying population differences in physiological and anthropometric variables known to differ with body size and other confounding variables. We shall provide an overview of such problems from a historical point of view. We shall then give...

Persistent link: https://www.econbiz.de/10009458973

Efficiency and productivity analysis in ten Asian banking industries

Shen, Zhi - 2010

measure of determinants or heteroscedasticity. Both cases are considered in the empirical sections of this thesis. In the …

Persistent link: https://www.econbiz.de/10009461100

Conditional variance function checking in heteroscedastic regression models.

Samarakoon, Nishantha Anura - 2011

applicationsexhibit heteroscedasticity. The practical importance of detecting heteroscedasticityin regression analysis is widely …

Persistent link: https://www.econbiz.de/10009464098

Finansinio kintamumo modeliavimas apibendrintuoju Gegenbauer-LARCH modeliu

Osipavičiūtė, Aušra - 2009

Darbe siekiama aprašyti periodinį ilgos atminties finansinių laiko eilučių elgesį. Remiantis anksčiau sukurtais modeliais, siūlomas h-faktorių Gegenbauer-LARCH modelis, kuris į LARCH tipo proceso sąlyginės dispersijos lygtį įtraukia apibendrintą ilgos atminties filtrą, paremtą...

Persistent link: https://www.econbiz.de/10009479239

Estimating Farm Efficiency in the Presence of Double Heteroscedasticity Using Panel Data

Hadri, Kaddour; Guermat, Cherif; Whittaker, Julie - 2003

inefficiencies are sensitive to specification errors. One source of such errors is heteroscedasticity. This paper addresses this … issue by extending the Hadri (1999) correction for heteroscedasticity to stochastic production frontiers and to panel data …. It is argued that heteroscedasticity within an estimation can have a significant effect on results, and that correcting …

Persistent link: https://www.econbiz.de/10009445692

Robust Inference with Quantile Regression in Stochastic Volatility Models withapplication to Value at Risk calculation

Saha, Paramita - 2008

Stochastic Volatility (SV) models play an integral role in modeling time varyingvolatility, with widespread application in finance. Due to the absence of a closed form likelihoodfunction, estimation is a challenging problem. In the presence of outliers, and the highkurtosis prevalent in...

Persistent link: https://www.econbiz.de/10009431241