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Empirical risk factors in realized stock returns

Novák, Jiří; Petr, Dalibor - 2009

Measuring risk in the stock market context is one of the key challenges of modern finance. Despite of the substantial … significance of the topic to investors and market regulators, there is a controversy over what risk factors should be used to price … the assets or to determine the cost of capital. We empirically investigate the ability of several commonly proposed risk …

Persistent link: https://www.econbiz.de/10010322253

The stable long-run CAPM and the cross-section of expected returns

Kim, Jeong-Ryeol - 2002

The capital-asset-pricing model (CAPM) is one of the most popular methods of financial market analysis. But, evidence … of the poor empirical performance of the CAPM has accumulated in the literature. For example, based on their empirical … results regarding the relation between market Beta and average return, Fama and French (1996) conclude that the CAPM is no …

Persistent link: https://www.econbiz.de/10010295722

Returns and Volatility of Eurozone Energy Stocks

Oberndorfer, Ulrich - 2008

This paper constitutes a first analysis on stock returns and stock return volatility of energy corporations from the Eurozone. According to our results, the gas market does not play a role for the pricing of Eurozone energy stocks. However, changes in the Euro to U.S. Dollar exchange rate as...

Persistent link: https://www.econbiz.de/10010298026

Forecasting the price of crude oil via convenience yield predictions

Knetsch, Thomas A. - 2006

The paper develops an oil price forecasting technique which is based on the present value model of rational commodity pricing. The approach suggests shifting the forecasting problem to the marginal convenience yield which can be derived from the cost-of-carry relationship. In a recursive...

Persistent link: https://www.econbiz.de/10010295802

High and low frequency correlations in global equity markets

Engle, Robert; Rangel, José Gonzalo - 2009

This study models high and low frequency variation in global equity correlations using a comprehensive sample of 43 countries that includes developed and emerging markets, during the period 1995-2008. These two types of variations are modeled following the semi-parametric Factor-Spline-GARCH...

Persistent link: https://www.econbiz.de/10010322613

Mitigation Strategies and Costs of Climate Protection: The effects of ETC in the hybrid Model MIND

Lessmann, Kai; Edenhofer, Ottmar; Bauer, Nico - 2005

MIND is a hybrid model incorporating several energy related sectors in an endogenous growth model of the world economy. This model structure allows a better understanding of the linkages between the energy sectors and the macro-economic environment. We perform a sensitivity analysis and...

Persistent link: https://www.econbiz.de/10010312307

Updating the Option Implied Probability of Default Methodology

Vilsmeier, Johannes - 2011

literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose …

Persistent link: https://www.econbiz.de/10010294741

A Data-Reconstructed Fractional Volatility Model

Mendes, Rui Vilela; Oliveira, Maria J. - 2008

Based on criteria of mathematical simplicity and consistency with empirical market data, a stochastic volatility model is constructed, the volatility process being driven by fractional noise. Price return statistics and asymptotic behavior are derived from the model and compared with data....

Persistent link: https://www.econbiz.de/10010295279

Local adaptive multiplicative error models for high-frequency forecasts

Härdle, Wolfgang Karl; Hautsch, Nikolaus; Mihoci, Andrija - 2012

We propose a local adaptive multiplicative error model (MEM) accommodating timevarying parameters. MEM parameters are adaptively estimated based on a sequential testing procedure. A data-driven optimal length of local windows is selected, yielding adaptive forecasts at each point in time....

Persistent link: https://www.econbiz.de/10010330969

Building Neural Network Models for Time Series: A Statistical Approach

Medeiros, Marcelo C.; Terasvirta, Timo; Rech, Gianluigi - 2002

This paper is concerned with modelling time series by single hidden layer feedforward neural network models. A coherent modelling strategy based on statistical inference is presented. Variable selection is carried out using existing techniques. The problem of selecting the number of hidden units...

Persistent link: https://www.econbiz.de/10011807289