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This paper investigates the connection between the forecast precision of security analysts and the superior performance of portfolios constructed optimally on the basis of their predictions. In particular, we are interested in the threshold of predictive power that makes for a positive economic...
This paper studies the asymmetric behavior of negative and positive values of analysts earnings revisions and links it to the conservatism principle of accounting. Using a new three-state mixture of lognormal models that accounts for differences in the magnitude and persistence of positive,...
In this paper we introduce an ACD-ECOGARCH(1,1) model. An exponential autoregressive conditional duration model is used to describe the dependence structure in durations of ultra-high-frequency financial data. The innovation process of the ACD model then defines the interarrival times of a...
Autoregressive conditional duration(ACD) models have been shown to be important for several applications in empirical finance. In this paper, we consider a set of generalized moment tests for the conditional mean specifications, the IIDness assumption of the error terms, and the distribution...
A small strand of recent literature is occupied with identifying simultaneity in multiple equation systems through autoregressive conditional heteroscedasticity. Since this approach assumes that the structural innovations are uncorrelated, any contemporaneous connection of the endogenous...
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