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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 ...
Investigating long-run stock returns after corporate events : the UK evidence
(Virtus Interpress, 2014)
- article
The 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 ...
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 ...