搜索结果: 1-15 共查到“货币银行学 returns”相关记录30条 . 查询时间(0.053 秒)
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
Equity Profit Risk and Uncertainty Compensation and Benefits
2015/5/13
Do a Firm's Equity Returns Reflect the Risk of Its Pension Plan?
The Maturity of Debt Issues and Predictable Variation in Bond Returns
Borrowing and Debt Bonds Investment Return Financial Markets Forecasting and Prediction
2015/5/13
The maturity of new debt issues predicts excess bond returns. When the share of long term debt issues in total debt issues is high, future excess bond returns are low. This predictive power comes in t...
Analyzing the Spectrum of Asset Returns: Jump and Volatility Components in High Frequency Data
Analyzing the Spectrum Asset Returns Jump Volatility Components High Frequency Data
2014/3/13
This paper reports some of the recent developments in the econometric analysis of semimartingales estimated using high frequency financial returns. It describes a simple yet powerful methodology to de...
The Variance of Standard Option Returns
Variance of Standard Option Returns Pricing of Securities
2012/4/28
The vast majority of works on option pricing operate on the assumption of risk neutral valuation, and consequently focus on the expected value of option returns, and do not consider risk parameters, s...
The Effects of Credit Ratings on Stock Returns in China
Domestic credit-rating agencies decisions of investors credit ratings rating outlooks
2011/9/2
Domestic credit-rating agencies in China have been criticized for having no effect on the decisions of investors. We examine whether credit ratings and rating outlooks of the listed companies that are...
Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeli...
Constrained Mixture Models for Asset Returns Modelling
return distributions trading strategies Maximisation
2011/3/31
The estimation of asset return distributions is crucial for determining optimal trading strategies. In this paper we describe the constrained mixture model, based on a mixture of Gamma and Gaussian di...
A Comparative Anatomy of REITs and Residential Real Estate Indexes: Returns, Risks and Distributional Characteristics
A Real Estate Investment REITs SCS
2011/3/31
Real Estate Investment Trusts (REITs) are the only truly liquid assets related to real estate investments. We study the behavior of U.S. REITs over the past three decades and document their return cha...
The nature of price returns during periods of high market activity
price returns periods market activity
2010/10/22
By studying all the trades and best bids/asks of ultra high frequency snapshots recorded from the order books of a basket of 10 futures assets, we bring qualitative empirical evidence that the impact...
On dependence of the implied volatility on returns for stochastic volatility models
stochastic volatility the Heston model
2010/10/21
We study the dependence of volatility on the stock price in the stochastic volatility framework on the example of the Heston model.To be more specific, we consider the conditional expectation of vari...
The joint distribution of stock returns is not elliptical
joint distribution stock returns elliptical
2010/10/21
Using a large set of daily US and Japanese stock returns, we test in detail the relevance of Student models, and of more general elliptical models, for describing the joint distribution of returns. W...
In terms of the stock exchange returns, we compute the analytic expression of the probability distributions F{DAX,+} and F{DAX,-} of the normalized positive and negative DAX (Germany) index daily ret...
Investigating Causal Relationships in Stock Returns with Temporal Logic Based Methods
Investigating Stock Returns Temporal Logic Based Methods
2010/10/20
We describe a new framework for causal inference and its application to return time series. In this system, causal relationships are represented as logical formulas, allowing us to test arbitrarily co...
The Impact of Credit Risk and Implied Volatility on Stock Returns
Credit Risk Implied Volatility Stock Returns
2010/10/20
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of...
Intraday Patterns in the Cross-section of Stock Returns
Intraday Patterns Cross-section Stock Returns
2010/10/20
Motivated by the literature on investment flows and optimal trading, we examine intraday predictability in the cross-section of stock returns. We find a striking pattern of return continuation at hal...