Konferenzbeitrag
Are GARCH innovations independent - a long term assessment for the S&P 500
GARCH specifications have been widely applied in financial literature and practice. For purposes of (Quasi) ML (QML) estimation innovations to GARCH processes are assumed identically and independently distributed (iid) with mean zero and unit variance. In this note GARCH innovations entering daily S\&P 500 quotes are diagnosed to lack independence and to signal ex-ante the directions of stock price changes.
- Sprache
-
Englisch
- Erschienen in
-
Series: Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Financial Econometrics ; No. B22-V3
- Klassifikation
-
Wirtschaft
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Information and Market Efficiency; Event Studies; Insider Trading
Econometrics
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Herwartz, Helmut
- Ereignis
-
Veröffentlichung
- (wann)
-
2015
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:24 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Konferenzbeitrag
Beteiligte
- Herwartz, Helmut
Entstanden
- 2015
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