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Robust estimation for the orthogonal GARCH model

Iqbal, Farhat - In: The Manchester School 81 (2013) 6, pp. 904-924

Persistent link: https://www.econbiz.de/10010341578

Some asymptotic results on non-standard likelihood ratio tests, and Cox process modeling in finance

Szimayer, Alexander (contributor) - 2002 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001758056

Efficient estimation of conditional asset-pricing models

Hodgson, Douglas J.; Vorkink, Keith P. - In: Journal of business & economic statistics : JBES ; a … 21 (2003) 2, pp. 269-283

Persistent link: https://www.econbiz.de/10001757481

A Step Towards Demystifying High-Beta Stocks Asset Pricing Puzzles : A New Bootstrap Pricing Error Test for High-Beta Stocks Under Conditional Correlation and Heteroskedasticity

Grobys, Klaus - 2017

High-beta stocks seem to be an asset pricing mystery involving puzzles that have been intensively discussed in the most recent finance literature (Christoffersen and Simutin, 2017; Moreira and Muir, 2017). This papers derives novel implications for pricing high-beta stocks in the presence of dynamic...

Persistent link: https://www.econbiz.de/10012941317

Information flow interpretation of heteroskedasticity for capital asset pricing : an expectation-based view of risk

Senarathne, Chamil W.; Jayasinghe, Prabhath - In: Economic issues 22 (2017), pp. 1-24

Persistent link: https://www.econbiz.de/10011771053

Microfoundations of Heteroscedasticity in Asset Prices : A Loss-Aversion-Based Explanation of Asymmetric GARCH Models

Ormos, Mihály - 2016

This paper provides a theoretical explanation for the heteroscedasticity of asset returns. In line with existing … assumptions that investors behave according to Prospect Theory and are subject to mental accounting in a dynamic setting, we … analytically derive the unit-root versions of two of the best fitting heteroscedasticity models (EGARCH and TGARCH). The model is …

Persistent link: https://www.econbiz.de/10012998364