M&A rumors about unlisted firms

Autor: Alexander Peter Groh, Yan Alperovych, Veronika Czellar, Douglas J. Cumming

Publikováno v: Journal of Financial Economics. 142:1324-1339

We examine 68,044 completed or abandoned M&A transactions involving unlisted targets to determine the effect of transaction rumors on deal-closing propensity and transaction values. Estimation is challenging because rumors may be spread on purpose or

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::5e7adce08a7bcbc2f140f20678082c81
https://doi.org/10.1016/j.jfineco.2021.05.012

Online Appendix for: Uncovering Asset Market Participation from Household Consumption and Income

Autor: Veronika Czellar, René Garcia, François Le Grand

Publikováno v: SSRN Electronic Journal.

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_________::969d601b004f0ed0238cc7b4452f0c58
https://doi.org/10.2139/ssrn.3976525

Asymmetric stochastic volatility models: properties and particle filter-based simulated maximum likelihood estimation

Autor: Esther Ruiz, Veronika Czellar, Helena Veiga, Xiuping Mao

Publikováno v: Repositório Científico de Acesso Aberto de Portugal
Repositório Científico de Acesso Aberto de Portugal (RCAAP)
instacron:RCAAP
e-Archivo. Repositorio Institucional de la Universidad Carlos III de Madrid
instname

The statistical properties of a general family of asymmetric stochastic volatility (A-SV)models which capture the leverage effect in financial returns are derived providing analyt- ical expressions of moments and autocorrelations of power-transformed

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9c44027da432a040cccfe262686f2359

Through the looking glass: Indirect inference via simple equilibria

Autor: Veronika Czellar, Laurent E. Calvet

Publikováno v: Journal of Econometrics
Journal of Econometrics, 2015, pp.343-358 P

International audience; This paper proposes an indirect inference (Gourieroux, Monfort and Renault, 1993; Smith, 1993) estimation method for a large class of dynamic equilibrium models. Our approach is based on the observation that the econometric st

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::537d042d4e68f396b1083aaddd664e62
https://doi.org/10.1016/j.jeconom.2014.11.003

Accurate Methods for Approximate Bayesian Computation Filtering

Autor: Veronika Czellar, Laurent E. Calvet

Publikováno v: Journal of Financial Econometrics
Journal of Financial Econometrics, 2015, pp.798-838 P

International audience; The Approximate Bayesian Computation (ABC) filter extends the particle filtering methodology to general state-space models in which the density of the observation conditional on the state is intractable. We provide an exact up

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::16f35bd411a3a2cd3f41be61222296f1
https://hal.archives-ouvertes.fr/hal-02313212