Zobrazeno 1 - 6
of 6
pro vyhledávání: '"Frank J. Fabozzi"'
Publikováno v:
Applied Financial Economics. 23:1469-1482
We investigate whether the US equity market exhibits underreaction or overreaction. More specifically, we study the directional and magnitude effects associated with abnormal market reaction. The directional effect is the phenomenon that an extreme p
Publikováno v:
Applied Financial Economics. 23:1231-1238
In this article, we introduce two new six-parameter processes based on time-changing tempered stable distributions and develop an option pricing model based on these processes. This model provides a good fit to observed option prices. To demonstrate
Publikováno v:
Applied Financial Economics. 22:1305-1316
There is considerable empirical evidence that financial returns exhibit leptokurtosis and nonzero skewness. As a result, alternative distributions for modelling a time series of the financial returns have been proposed. A family of distributions that
Publikováno v:
Applied Financial Economics. 19:1401-1416
The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid–ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit r
Publikováno v:
Applied Financial Economics. 16:1085-1094
The study investigates whether the stable Paretian hypothesis is more adequate to explain the returns of US agency mortgage pass-through securities than the traditional normal distribution assumption. The daily returns of six representative index gen
Publikováno v:
Applied Financial Economics. 16:377-384
This paper investigates the sources of time-varying risk for the US stock and bond markets. The model captures the change in the risk premium due to each market's own volatility risk and the covariance risk. We test for the effects of macroeconomic n