Journal of Empirical Finance (New)
Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue3-4.2000:
... Institute of Financial Economics and Journal of Empirical Finance Conference on Risk Management held at Albufeira, Portugal, November 1999; participants at the Canadian Econometrics ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1.2000:
... impact of regularly released US macroeconomic ...each of the announcements, both at the daily and intradaily ...source of bond market volatility, even at the daily ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue3-4.2000:
... variance of inflation risk goes to infinity when inflation is an integrated ...absence of the Fisher effect, nominal stock returns do not offer any expected compensation for this infinite ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:
... release of information by managers reduces asymmetric information in the sense that it makes private information ...importance of whatever private information managers still ...importance of ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1.2000:
... estimate of US$54–64 billion of long hedge fund positions in European bonds was a very sizable fraction of the market’s ...convergence of opinion between GlobalrMacro funds and Trend-Following ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:
... spirit of Fama and French 1992 , the bubble graphs treat the slope of the relation between size and returns as a random ...draw of the slope ...each of the 17 years and 10 size ...location ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue3-4.2000:
... terms of securing a minimal return level with a high ...use of the Chebyshev bound on the probability of ...principle of absolute preference. By considering a lexicographic form of the ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue3-4.2000:
... each of the n available single period returns as an observation from which to infer the prevailing ...intervals of length ts with n sm ...interval of length ts and we model the correlation as ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue3-4.2000:
... Fourth, the questionnaire contains questions about sales, equity ratios, current ratios, and dividends, which we can verify with published data. This enables us to identify all traded firms in the sample. A large ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue3-4.2000:
... distribution of a portfolio is simply given by the empirical distribution of past gains and losses on this ...form of the P & L ...periods of high and low ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue3-4.2000:
... use of the summability property to effectively test the stable Paretian hypothesis in finite samples requires the data to be ...handful of models chosen to be fitted by the ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:
... several empirical conclusions one can draw from the graphs in ...First of all, going from the first to the last graph, one can clearly observe that there seem to emerge three clusters, which show similar ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:
... independent of the observer’s utility function, provided only that he or she is risk ...estimate of the COMD ...fitting of a hypothesised theoretical regression to directly estimate the COMD, and the ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:
... consisting of daily data was used for the present ...frequency of the data, but also because in this sample, apart from Aat-the-moneyB options, also AinB and Aout-of-the-moneyB options are ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue5.2000:
... findings of the empirical work can be summarized as follows: The conditional variances, conditional covariances, and correlations are greater on announcement days than on non-announcement ...releases ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1.2000:
... state of financial ...perceptions of the state of the economy to form forecasts of financial market conditions and possibly of excess ...forecasts of the estimated coincident ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue5.2000:
... Potter, Coincident and leading indicators of the stock market 87 Christiansen, C., Macroeconomic announcement effects on the covariance structure of govern-ment bond returns 479 Chung,[r] ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue5.2000:
... attractiveness of floor trading versus anonymous electronic trading systems for traders is ...times of low information intensity, the insight into the order book of the electronic trading system ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue5.2000:
... substantial empirical evidence Hsieh, 1988; Meese, 1986 that the distribution of returns on equities and other assets is typically leptokurtic, that is, the unconditional return distribution shows high ...
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Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue5.2000:
... nature of the hypotheses and the lack of nesting structure suggests that it may be preferable to test for cointegration in a less model-dependent ...test of whether the two volatility processes are ...
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