Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue3-4.2000:
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volatility FIGARCH models are now standard, as are multivariate GARCH models. In this paper, we adopt a combination of the two methodologies. There is as yet little consensus on
document that the conditional variances, covariances, and correlations of bond excess returns are significantly larger on macroeconomic announcement days. The excess returns of
The attractiveness of floor trading versus anonymous electronic trading systems for traders is analysed. We hypothesize that in times of low information intensity, the insight into
macroeconomic announcement effects in the US Treasury bond market 37 Bowden, R.J., The ordered mean difference as a portfolio performance measure 195 Brockman, P.. Chung, An
As it turns out, Swiss industrials manage long-run exposure with tools such as contractual clauses, money market hedges, and operating adjustments. We call these tools
The size premium for smaller companies is one of the best-known academic market anomalies. The relevant issue for investors is whether size premium for small-cap stocks is
Tests based on the put–call parity conditions, though weak tests of market efficiency, have been widely used in the empirical literature. However, the error induced in the results
The ordered mean difference OMD function is a running mean of the difference between returns on a given fund or security and a benchmark such as the market portfolio, ordered by
