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Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
(VTeX, 11.05.2015)
articleWe study asymptotic normality of the randomized periodogram estimator of quadratic variation in the mixed Brownian–fractional Brownian model. In the semimartingale case, that is, where the Hurst parameter H of the fractional ... -
Does calendar time portfolio approach really lack power?
(Canadian Center of Science and Education (CCSE), 22.08.2014)
articleThis paper investigates whether the calendar time methodology lacks power in detecting the long-run abnormalperformance of the firms after major corporate events. In addition, the study proposes a variant of calendar ... -
Investigating long-run stock returns after corporate events : the UK evidence
(Virtus Interpress, 2014)
articleThe objective of this paper is to assess the robustness of the existing long-run event study methodologies in the UK stock market. In doing so, the study employs the buy-and-hold abnormal return approach and the calendar ... -
Parametric and nonparametric event study tests : a review
(Canadian Center of Science and Education (CCSE), 25.11.2014)
articleThis paper presents a modest attempt to review the existing methodologies for measuring short-run abnormal performance of firms following certain corporate events. In doing so, the study discusses different parametric as ...
