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Thus in Megawati’s view, holding the general elections after the presidential election could be expected to disentangle support for political parties from support for
The analy- sis aims to provide an insight into the constraints faced by policy makers, the roles of various influential actors, and in particular the impact on the process of the
I use flexible jump–diffusion models and the Hull–White (1987) option valuation approach to derive the relationship between the future quadratic variation of returns and
Using a lognormal model and a Gamma model, we illustrate for both Gaussian and non-Gaussian responses that imposing monotonicity con- straints on the nonparametric terms for
Similar to the conventional PC approach, the dynamic method used in this study is capa- ble of extracting all possible latent factors from large samples of stock returns;
As an example, we use the Bayesian investor’s portfolio allocation problem to show that failure to include probability point mass on the null hypothesis that returns are not
(2004), “Why Do Absolute Returns Predict Volatility so Well?” working paper, University of North Carolina, Dept. (1988), “A Study Towards a Dynamic Theory of Seasonality for
But the main drawback of this density is that it is symmetric, whereas the distribution of financial returns may be skewed. Consequently, using a more appropriate distribution may
