scholarly journals Specification Tests for GARCH Processes

2021 ◽  
Author(s):  
Giuseppe Cavaliere ◽  
Indeewara Perera ◽  
Anders Rahbek
Keyword(s):  
Specification Tests ◽  
Garch Processes

DAY-OF-THE-WEEK EFFECT IN US BIOTECHNOLOGY STOCKS — DO POLICY CHANGES AND ECONOMIC CYCLES MATTER?

2016 ◽  
Vol 11 (02) ◽  
pp. 1650008
Author(s):  
SWARN CHATTERJEE ◽  
AMY HUBBLE
Keyword(s):  
Stock Returns ◽  
Small Firm ◽  
Economic Cycles ◽  
Trading Decisions ◽  
Portfolio Managers ◽  
Small Investors ◽  
Garch Processes ◽  
Day Of The Week ◽  
Firm Effect ◽  
Daily Returns

This study examines the presence of the day-of-the-week effect on daily returns of biotechnology stocks over a 16-year period from January 2002 to December 2015. Using daily returns from the NASDAQ Biotechnology Index (NBI), we find that the stock returns were the lowest on Mondays, and compared to the Mondays the stock returns were significantly higher on Wednesdays, Thursdays, and Fridays. The day-of-the-week effect on returns of biotechnology stocks remained significant even after controlling for the Fama–French and Carhart factors. Moreover, the results from using the asymmetric generalized autoregressive conditional heteroskedastic (GARCH) processes reveal that momentum and small-firm effect were positively associated with the market risk-adjusted returns of the biotechnology stocks during this period. The findings of our study suggest that active portfolio managers need to consider the day of the week, momentum, and small-firm effect when making trading decisions for biotechnology stocks. Implications for portfolio managers, small investors, scholars, and policymakers are included.

Whittle estimation in multivariate CCC-GARCH processes

2018 ◽  
Vol 48 (15) ◽  
pp. 3921-3940
Author(s):  
Abdelouahab Bibi ◽  
Karima Kimouche
Keyword(s):  
Whittle Estimation ◽  
Garch Processes

scholarly journals Specification tests of calibrated option pricing models

2015 ◽  
Vol 189 (2) ◽  
pp. 397-414 ◽  
Author(s):  
Robert Jarrow ◽  
Simon Sai Man Kwok
Keyword(s):  
Option Pricing ◽  
Pricing Models ◽  
Specification Tests

Outliers in GARCH Processes

2012 ◽  
pp. 337-358 ◽  
Author(s):  
Luiz Hotta ◽  
Ruey Tsay
Keyword(s):  
Garch Processes
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