Aineistot 1-2 / 2
Asymptotic normality of randomized periodogram for estimating quadratic variation in mixed Brownian–fractional Brownian model
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 ...
Parametric and nonparametric event study tests : a review
(Canadian Center of Science and Education (CCSE), 2014-11-25)
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 ...