Asset Returns
Essays on Fine Structure of Asset Returns, Jumps, and Stochastic Volatility
... parameters of return-generating process are time-dependent or not (Gillemot et al., 2000). For example, time-independent models of asset returns include student t-distribution, Levy-type distribution, ...
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Consumption and Expected Asset Returns without Assumptions About Unobservables
... future asset returns and information about the future behavior of income and consumption, whereas Lettau and Ludvigson stress only the information about asset ...
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Rare Events, Financial Crises, and the Cross Section of Asset Returns
... This paper provides support for such a thesis by showing that, exactly because of their impact on the expectation mechanism, rare events play an important role in explaining the cross section of asset ...
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The predictability of asset returns in the BRICS countries: a nonparametric approach
... When analysing the time-series of share prices, it is noted that they display no serial dependency or “patterns” which leads to the conclusion that a model best equipped to predict asset returns would be ...
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Investor sentiment and the predictability of asset returns: Evidence from China
... the asset prices won’t be affected by investor sentiment ...of asset prices (Brown & Cliff, 2004, 2005; Feldman, ...the asset prices will become more overvalued before reverting to its intrinsic ...
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Modelling asymmetric conditional heteroskedasticity in financial asset returns: an extension of Nelson’s EGARCH model
... Recently, volatility modeling has been a very active and extensive research area in empirical finance and time series econometrics for both academics and practitioners. GARCH models have been the most widely used in this ...
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In the Shadow of the United States: The International Transmission Effect of Asset Returns
... stock returns (Model D) and TED spread (Model C) are the two most signi fi cant factors affecting the ...H.K. asset returns and ...H.K. asset returns and ...
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Consumption, housing and financial wealth, asset returns, and monetary policy
... real returns ,20 con su m p tion grow th, financial w ealth growth, h ousin g w ealth grow th, and labor incom e grow th im ply that: (i) lagged returns do not have forecasting power, but c day is an im ...
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Predictability in international asset returns : a re examination
... all asset returns at all horizons is economically as well as statistically ...stock returns mentioned above, we find that the mean forecast error for the excess return to German equity at the ...
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Models for Heavy tailed Asset Returns
... Many of the concepts in theoretical and empirical finance developed over the past decades – including the classical portfolio theory, the Black-Scholes-Merton option pricing model or the RiskMetrics variance-covariance ...
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Building a dynamic correlation network for fat-tailed financial asset returns
... Another important point to consider when calculating the time series of sample corre- lation matrices is how to choose an observation period. The true correlation between two asset returns at a specific ...
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Ambiguity, Learning, and Asset Returns
... Other models can also simultaneously generate the unconditional moments and dynamics of asset returns observed in the data. For example, Campbell and Cochrane (1999) introduce a slow moving habit or ...
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A Multifractal Model of Asset Returns
... This paper presents the multifractal model of asset returns (“MMAR”), based upon the pioneering research into multifractal measures by Mandelbrot (1972, 1974). The multifractal model incorporates two ...
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Dynamic correlation network analysis of financial asset returns with network clustering
... financial asset returns by using a network clustering algorithm to deal with high dimensionality ...stock returns as an empirical study of the correlation dynamics at the market level by applying the ...
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The Markov switching multifractal model of asset returns: GMM estimation and linear forecasting of volatility
... of asset returns as well: they have hyperbolically decaying autocovariances (long mem- ory) and fat ...of Asset Returns (MMAR) assumes that returns follow a compound process in which an ...
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Expectations, fundamentals, and asset returns: evidence from the commodity markets
... investors returns expectations to learn more about asset prices by showing that differences in analysts’ beliefs about future returns have an impact on option implied ...on asset prices is ...
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Conditional heteroskedasticity in crypto asset returns
... Although the cryptocurrency market is still relatively new and undeveloped, there have been a number of interesting developments. Just by way of illustration, in Q4 of 2017 alone, the following occurred: JP Morgan ...
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The fine structure of asset returns: an empirical investigation
... We conclude that the statistical and risk-neutral processes for equity prices are pure jump processes of infinite activity and finite variation.... Journal of BiLslness.[r] ...
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Essays in empirical finance
... of returns across ...currency returns, which is not considered by other ...high, returns can also be more dispersed than in normal periods, for example if there is a ‘flight to safety’ (or ‘flight ...
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Short term returns and the predictability of Finnish stock returns
... Returns on equity market portfolio, six size and seven industry portfolios are regressed on lagged information variables using daily, weekly, and monthly data frequencies. The information variable set consists of ...
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