Conditional heteroskedasticity adjusted market model and

Corhay, A.; Rad, A. Tourani
January 1996
Quarterly Review of Economics & Finance;Winter96, Vol. 36 Issue 4, p529
Academic Journal
Presents information on the calculation of stock returns series. Models used in the calculation; Methodology and results from a study carried out on the calculation of stock returns.


Related Articles

  • Measuring wealth. Lee, Charles M.C. // CA Magazine;Apr96, Vol. 129 Issue 3, p32 

    Focuses on the Edwards-Bell-Ohlson (EBO) valuation model which is used to compute the value of publicly traded stock. Advantages of having a reliable measure of shareholders' wealth; Discussion of the EBO model; Comparison to the economic value added (EVA) model; Value of EVA; When can EBO be...

  • How to build a system framework. Ruggerio Jr., Murray A. // Futures: News, Analysis & Strategies for Futures, Options & Deri;Nov94, Vol. 23 Issue 13, p50 

    Part IV. Details the first three steps in building a Standard & Poor 500 trading system. Selection of market and time frame for trading system; Building a component library; Cataloging a system component; Filtering subcomponents. INSETS: Feedback revisited.;Rough sets make it easier..

  • Evidence of intertemporal systematic risks in daily stock prices revisited. Klock, Mark; Mansi, Sattar // Quarterly Journal of Business & Economics;Spring95, Vol. 34 Issue 2, p65 

    Investigates the intertemporal cross dependencies in daily stock price data following the approach of Hawawini and Vora using samples covering the period 1981-1990. Finding of intertemporal cross dependencies as a result of nonsynchronous trading; Analysis of separate samples of frequently and...

  • Box 5: A jump-diffusion model of stock prices. Fortune, Peter // New England Economic Review;Mar/Apr96, p37 

    Presents a jump-diffusion model of stock prices. Modification of Press's Compound Events Model.

  • Keys to successful trading. Hadik, Eric S. // Futures: News, Analysis & Strategies for Futures, Options & Deri;Nov97, Vol. 26 Issue 13, p34 

    Discusses how the key reversal, a classic technical price pattern can be capitalized to achieve success in trading. Brief review of key reversal; Three effective types of key reversals; Two filters used for price signals.

  • Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing. Kim, Myung-Jig; Oh, Young-Ho; Brooks, Robert // Journal of Financial & Quantitative Analysis;Dec94, Vol. 29 Issue 4, p609 

    This paper studies the diversifiability of jumps in stock returns. It presents a multivariate time-series model of the stochastic process for an index and its component stocks that explicitly admits discrete common jumps. Maximum likelihood estimation for such a model is developed and applied to...

  • HISTORY.  // Equities Special Situations;Jun2001, Issue 492, p5 

    Reports the partnership between RiboGene and Questcor Pharmaceuticals, Inc. in California. Issuance of shares of common and preferred stock of the company; Increase of total merger consideration due to stock options and transaction cost; Combination of clinical development portfolio and growing...

  • Industry differences in NAFTA's impact on the valuation of U.S. companies. AGGARWAL, RAJ; LONG, MICHAEL; MOORE, SCOTT; ERVIN, DANNY // International Review of Financial Analysis;1998, Vol. 7 Issue 2, p137 

    Investigates whether differences in market structures result in measurable differences in the components of the bid ask spread. Impact of North American Free Trade Agreement (NAFTA) differences on company valuation; Estimated components of the bid-ask spread; Elimination of tariffs on products...

  • Asymmetric ACD models: Introducing price information in ACD models. Bauwens, Luc; Giot, Pierre // Empirical Economics;2003, Vol. 28 Issue 4, p709 

    This paper proposes an asymmetric autoregressive conditional duration (ACD) model, which extends the ACD model of Engle and Russell (1998). The asymmetry consists of letting the duration process depend on the state of the price process. If the price has increased, the parameters of the ACD model...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics