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Search Results for Collection: Conference or Workshop Item (Seminar, Speech or Other Presentation)

Now showing items 1-8 of 8

Estimation and inference in ARCH models in the presence of outliers

Gregory, Allan W; Reeves, Jonathan J (Conference or Workshop Item (Seminar, Speech or Other Presentation), Finance Seminars for 2001, 2001)

In this paper we show the effects that outliers have on estimation and inference for ARCH models. We propose an empirically tractable solution to this problem by replacing outliers with their conditional expectations ...
Modeling the bid/ask spread: On the effects of hedging costs and competition

Bollen, Nicolas P B; Smith, Tom; Whaley, Robert E (Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)

The need to understand and measure market maker bid/ask spreads is crucial in evaluating the merits of competing market structures and security designs. Prior studies of bid/ask spreads suffer from several forms of ...
Why are those options smiling?

Ederington, Louis H; Guan, Wei (Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)

This paper tests whether the true smile in implied volatilities is flat. The smile in observed Black-Scholes implied volatilities has often been attributed to deficiencies in the B-S model, such as the assumption of constant ...
The UK stock market’s relationship with US and European stock markets: Is the UK stock market snuggling-up to the US - or to Europe?

Fraser, Patricia; Oyefeso, Oluwatobi (Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)

Using 27 years of data this paper considers short-run, bi-lateral, and long-run, linkages between the US, UK and nine European equity markets. Using time-varying parameter and multivariate cointegration modelling techniques, ...
US stock prices and macroeconomic fundamentals

Black, Angela; Fraser, Patricia; Groenewold, Nicolaas (Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)

Using 54 years of US quarterly data and a VAR model underpinned by a theory of the relationship between stock prices and output, this paper considers the deviations of US stock prices from their fundamental value. To do ...
Do the trades and stockholdings of fund managers reveal private information?

Pinnuck, Matt (Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar 2001, 2001)

This paper examines the performance of the stock holdings and trades of a sample of Australian fund managers over the period from 1990 to 1997. When stockholdings are observable, performance measures can be constructed ...
Investment, uncertainty, and liquidity

Boyle, Glenn; Guthrie, Graeme (Conference or Workshop Item (Seminar, Speech or Other Presentation), University of Otago, Finance department, Seminar, 2001)

Despite extensive research, the exact nature of the dependence of corporate investment on firm liquidity, uncertainty, and hedging policy remains obscure. First, although it is widely recognized that external financing can ...
Volatility prediction during prolonged crises: Evidence from Korean index options

Bhabra, Gurmeet S; Gonzalez, Maria Liliana; Kim, Myeong Sup; Powell, John G (Conference or Workshop Item (Seminar, Speech or Other Presentation), 2001 University of Otago Seminar 16 March 2001, 2001)

This paper examines KOSPI200 index option prices in order to investigate whether index option implied volatilities foreshadowed the 1997 economic crisis in Korea. Results indicate the absence of strong fears of an impending ...