Showing 1 - 10 of 3,233
This paper presents a new method for identifying triangular systems of time-series data. Identification is the product … of a bivariate GARCH process. Relative to the literature on GARCH-based identification, this method distinguishes itself …. Estimation follows OLS and standard univariate GARCH and ARMA techniques, or GMM. A Monte Carlo study of the GMM estimator is …
Persistent link: https://www.econbiz.de/10010280942
Many models have been suggested to describe how investors manage risk and value risky cash flows. Among them, the most widely used is the Sharpe-Lintner-Black Capital Asset Pricing Model (CAPM). However many anomalies and evidence against this version have been presented. To assume that the CAPM...
Persistent link: https://www.econbiz.de/10005434714
Robust estimation techniques based on symmetric probability distributions are often substituted for OLS to obtain efficient regression parameters with thick-tail distributed data. The empirical, simulation and theoretical results in this paper show that with skewed distributed data, symmetric...
Persistent link: https://www.econbiz.de/10010937085
endogeneity, the Sargan over-identification test and the Cragg-Donald weak instrument test. The relaationship between factors is …
Persistent link: https://www.econbiz.de/10012908985
Heterogeneous-agents asset pricing theories imply that stockholders' consumption has the first-order effect on equity premium. Motivated by these theories, we evaluate the performance of the conditional CCAPM in explaining time-variation in market returns and cross-sectional variation in...
Persistent link: https://www.econbiz.de/10012890965
Investors show different behaviour in falling markets and in rising markets. This paper demonstrates that the beta of individual stocks varies across the entire return distribution and that the variation depends on the frequency of the returns. While there is a symmetric u-shape increase for...
Persistent link: https://www.econbiz.de/10013148953
We provide theoretical and empirical justifications for linking the realised co-skewness between the VIX and the S&P 500 to conditional equity premiums. The realised co-skewness, as a measure of hedging benefits, shows a significant (and independent to that of the variance risk premium) negative...
Persistent link: https://www.econbiz.de/10013061254
set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM … differs from the GMM in that it can handle not only uniform conditional moment restrictions (i.e. valid for any value of the …
Persistent link: https://www.econbiz.de/10003973066
Robust estimation techniques based on symmetric probability distributions are often substituted for OLS to obtain efficient regression parameters with thick-tail distributed data. The empirical, simulation and theoretical results in this paper show that with skewed distributed data, symmetric...
Persistent link: https://www.econbiz.de/10013004467
We investigate how individual equity prices respond to continuous and jumpy market price moves and how these different market price risks, or betas, are priced in the cross section of expected stock returns. Based on a novel high-frequency data set of almost one thousand stocks over two decades,...
Persistent link: https://www.econbiz.de/10013005591