Listar por autoría "2b659b57-c260-4484-9633-59704e36c85f"
Mostrando ítems 1-4 de 4
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A Nonparametric approach to the noise density in stochastic volatility models
Taylor & Francis (2008-09)We propose a nonparametric method to determine the functional form of the noise density in discrete-time stochastic volatility models of financial returns. Our approach suggests that the assumption of Gaussian noise is ... -
Firm profitability and the network of organizational capabilities
Elsevier (2010)A Laplace distribution for firm profit rates (or returns on assets) can be obtained through the sum of many independent shocks if the number of shocks is Poisson distributed. Interpreting this as a linear chain of events, ... -
Time variation of higher moments in a financial market with heterogeneous agents: An analytical approach
Elsevier (2008-01)A growing body of recent literature allows for heterogenous trading strategies and limited rationality of agents in behavioral models of financial markets. More and more, this literature has been concerned with the explanation ...
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What distinguishes individual stocks from the index?
Springer-Verlag (2010)Stochastic volatility models decompose the time series of financial returns into the product of a volatility factor and an iid noise factor. Assuming a slow dynamic for the volatility factor, we show via nonparametric tests ...
