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Parametric and nonparametric event study tests : a review
(Canadian Center of Science and Education (CCSE), 2014-11-25)
- article
This 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 ...
Does calendar time portfolio approach really lack power?
(Canadian Center of Science and Education (CCSE), 2014-08-22)
- article
This 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 ...
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
(VTeX, 2015-05-11)
- article
We 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 ...
Maximum likelihood estimators from discrete data modeled by mixed fractional Brownian motion with application to the Nordic stock markets
(Taylor & Francis, 2020-05-30)
- article
Mixed fractional Brownian motion is a linear combination of Brownian motion and independent Fractional Brownian motion that is extensively used for option pricing. The consideration of the mixed process is able to capture ...