Similar Search Results - EconBiz

Some exact results for an asset pricing test based on the average F distribution

Hwang, Soosung; Satchell, Stephen - In: Theoretical economics letters 2 (2012) 5, pp. 435-437

Persistent link: https://www.econbiz.de/10009746710

Asymptotic properties of the maximum likelihood an non-linear least squares estimators for noninvertible moving average models

Tanaka, Katsuto - 1987

Persistent link: https://www.econbiz.de/10013400520

The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models

Hwang, Soosung; Valls Pereira, Pedro L. - 2009

We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...

Persistent link: https://www.econbiz.de/10014214849

The Effects of Structural Breaks in Arch and GARCH Parameters on Persistence of GARCH Models

Hwang, Soosung; Valls Pereira, Pedro L. - 2004

We show that persistence of conditional volatility in large samples could be exaggerated by the existence of structural breaks in the ARCH and GARCH parameters. Our results suggest that extreme persistence frequently observed in index volatility does not necessarily indicate the same level of...

Persistent link: https://www.econbiz.de/10014068444

Forecasting (LOG) volatility models

Christodoulakis, George A.; Satchell, Stephen - 1998

Persistent link: https://www.econbiz.de/10000998647

A theorem of validity for edgeworth expansions

Sargan, John Denis - In: Econometrica : journal of the Econometric Society, an … 54 (1986) 1, pp. 189-213

Persistent link: https://www.econbiz.de/10001007663

Option pricing with GARCH and systematic consumption risk

Satchell, Stephen; Timmermann, Allan - 1993

Persistent link: https://www.econbiz.de/10000930377

Existence of unbiased estimators of the Black Scholes option price, other derivatives, and hedge ratios

Knight, John L. - In: Econometric theory 13 (1997) 6, pp. 791-807

Persistent link: https://www.econbiz.de/10001236167

Asymptotic expansions for random walks with normal errors

Knight, John L. - In: Econometric theory 9 (1993) 3, pp. 363-376

Persistent link: https://www.econbiz.de/10001151129

Estimating the volatility of stock prices : a comparison of methods that use high and low prices

Rogers, Leonard C. G. - In: Applied financial economics 4 (1994) 3, pp. 241-247

Persistent link: https://www.econbiz.de/10001164929

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