Zobrazeno 1 - 10
of 22
pro vyhledávání: '"Todd Prono"'
Publikováno v:
Finance Research Letters. 47:102704
Autor:
Todd Prono
Publikováno v:
Finance and Economics Discussion Series. 2019
Simple, multi-step estimators are developed for the popular GARCH(1,1) model, where these estimators are either available entirely in closed form or dependent upon a preliminary estimate from, for example, quasi-maximum likelihood. Identification sou
Autor:
Todd Prono
Publikováno v:
SSRN Electronic Journal.
Contained herein are detailed proofs of the lemmas that support the theorems presented in the main paper under the same title. In addition, this supplemental appendix also contains an additional theorem (and accompanying proof) that is referenced, bu
Autor:
Jonathan J. Reeves, Konark Saxena, Andrew Phin, New South Wales, Sydney, Nsw , Australia, Todd Prono
Publikováno v:
Finance and Economics Discussion Series. 2018
Using high frequency data, we develop an event study method to test for level shifts in beta and measure abnormal returns for events that produce such level shifts. Using this method, we estimate abnormal returns for the Troubled Asset Relief Program
Autor:
Todd Prono
Publikováno v:
Studies in Nonlinear Dynamics & Econometrics. 22
Strong consistency and (weak) distributional convergence to highly non-Gaussian limits are established for closed-form, two stage least squares (TSLS) estimators of linear and threshold ARCH (p) models, with special attention paid to the ARCH (1) and
Autor:
Todd Prono
Publikováno v:
Journal of Empirical Finance. 31:36-53
A new model misspecification measure for linear asset pricing models is proposed for the case where misspecification maps to latency of one of the pricing factors; in this case, the market return. This measure is suited both for testing models that i
Autor:
Todd Prono
Publikováno v:
Finance and Economics Discussion Series. 2017
Linear GARCH(1,1) and threshold GARCH(1,1) processes are established as regularly varying, meaning their heavy tails are Pareto like, under conditions that allow the innovations from the, respective, processes to be skewed. Skewness is considered a s
Autor:
Todd Prono
Publikováno v:
Finance and Economics Discussion Series. 2016
Strong consistency and weak distributional convergence to highly non-Gaussian limits are established for closed-form, two stage least squares (TSLS) estimators for a class of ARCH(p) models. Conditions for these results include (relatively) mild mome
Autor:
Todd Prono
Publikováno v:
SSRN Electronic Journal.
Contained herein are detailed proofs of all the Lemmas that support the main Theorems discussed in the paper, "Simple Estimators for GARCH models." Original paper can be found at: https://ssrn.com/abstract=2897867