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University of British Columbia (UBC) - Sauder School of Business
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Event studies, SEOs, Long-Run Performance, dynamic corporate decisions
Real options, dynamics of firm and industry risk, asset pricing, corporate investment, valuation, cost-of-capital
Seasoned Equity Offering, Real Options, Dynamic Risk, Dynamic Beta, Investment Commitment, Time-to-Build, Long Run Event Studies, Abnormal Return
Seasoned Equity Offering, Real Options, Dynamic Risk, Dynamic Beta, Investment
Term structure of interest rates, cascade model, dimension-invariance, interest rate forecasting, yield curve stripping, forward rate correlations
Forecasting, Long Memory, Markov Regime-switching, Maximum Likelihood Estimation, Scaling, Stochastic Volatility, Time Deformation, Volatility Component, Vuong Test
Forecasting, long memory, Markov regime-switching, maximum likelihood estimation, scaling, stochastic volatility, time deformation, volatility component, Vuong test
Cross-Section of Returns, Size Effect, Book-to-Market Effect, Corporate Investment, Real Options, Simulated Method of Moments
equity risk premium, dividend strips, term structure of equity risk premia, limits to arbitrage, microstructure frictions
Overconditioning, Conditional CAPM, Performance Evaluation, Momentum
Multivariate MSM, comovement, maximum likelihood, particle filter, Markov-switching, stochastic volatility, multifrequency volatility decomposition, value at risk, quantile forecasts
Markov-switching multifractal, particle filter, regime-switching, stochastic volatility, jump-risk premium, option pricing
Forecasting, Implied Volatility, Long Memory, Multifractal Model of Asset Returns, Option Pricing, Poisson Multifractal, Trading Time, Volatility Smile
Monetary policy, interest rate rule, corporate default, capital structure, leverage, credit spreads
Multifrequency news, volatility feedback, learning, information quality, endogenous skewness and kurtosis, Epstein-Zin utility
Reputation, Information, Truth-telling, Self-insurance, Managerial Compensation
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Multifractal Model of Asset Returns, Compound Stochastic Process, Time Deformation, Scaling, Self-Similarity, Multifractal Spectrum, Stochastic Volatility
Endogenous jumps, general equilibrium, Markov regime-switching, multifrequency, fat tails, stochastic volatility, time deformation, volatility component
Attention Dynamics, Macroeconomic Fundamentals, Stock Market
forecasting, long memory, Markov-switching multifractal (MSM), closed-form likelihood, scaling, stochastic volatility, volatility component, Vuong test
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