Patricia Fraser
Biographic Data
| ID | 10997201 |
|---|---|
| NAME | Patricia Fraser |
| GIVEN NAMES | Patricia |
| FAMILY NAME | Fraser |
| SIGNATURE | FRASER P |
| VERIFIED | No |
| TOTAL WORKS | 3 |
| TOTAL CITATIONS | 1 |
| WORKS AS AUTHOR | 3 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1990 |
| LATEST PUBLICATION YEAR | 1996 |
| H-INDEX | 1 |
Uk Excess Share Returns
A bstract Using the family of GARCH‐M(p, q) models and UK data comprising of the market portfolio and a portfolio of smaller company shares over the period January 1970 through June 1994, this paper provides support for the notion that the degree of market capitalisation is an important factor in the analysis of risk‐return relationships. The evidence reported supports the view that, although both portfolios appear to be driven by the persistence…
The Efficiency of CAC Stock Price Forecasts
[fre] The Efficiency of CAC Stock. Price Forecasts. A Survey Based Perspective Dans cet article, nous nous proposons d'analyser les problèmes relatifs à l'anticipation des cours boursiers en utilisant les réponses à une enquête qualitative sur l'indice général CAC. Nous examinons la rationalité des anticipations et le type de mécanisme qui caractérise le mieux les anticipations des agents. Nous trouvons, entre autres, que les anticipations sont n…
Modelling Risk in the Interwar Foreign Exchange Market
There is now evidence to reject the speculative efficiency hypothesis for the 1920s float. This paper investigates whether the rejection may be due to risk aversion. Two models of the risk premium are fitted: the ARCH-in-mean model and the DYMIMIC (kalman filter) model. Some support is found for the reichsmark, but the results are not otherwise supportive of either model. Copyright 1990 by Scottish Economic Society
Modelling Risk in the Interwar Foreign Exchange Market
There is now evidence to reject the speculative efficiency hypothesis for the 1920s float. This paper investigates whether the rejection may be due to risk aversion. Two models of the risk premium are fitted: the ARCH-in-mean model and the DYMIMIC (kalman filter) model. Some support is found for the reichsmark, but the results are not otherwise supportive of either model. Copyright 1990 by Scottish Economic Society
Modelling Risk in the Interwar Foreign Exchange Market
There is now evidence to reject the speculative efficiency hypothesis for the 1920s float. This paper investigates whether the rejection may be due to risk aversion. Two models of the risk premium are fitted: the ARCH-in-mean model and the DYMIMIC (kalman filter) model. Some support is found for the reichsmark, but the results are not otherwise supportive of either model. Copyright 1990 by Scottish Economic Society
The Efficiency of CAC Stock Price Forecasts
[fre] The Efficiency of CAC Stock. Price Forecasts. A Survey Based Perspective Dans cet article, nous nous proposons d'analyser les problèmes relatifs à l'anticipation des cours boursiers en utilisant les réponses à une enquête qualitative sur l'indice général CAC. Nous examinons la rationalité des anticipations et le type de mécanisme qui caractérise le mieux les anticipations des agents. Nous trouvons, entre autres, que les anticipations sont n…
Uk Excess Share Returns
A bstract Using the family of GARCH‐M(p, q) models and UK data comprising of the market portfolio and a portfolio of smaller company shares over the period January 1970 through June 1994, this paper provides support for the notion that the degree of market capitalisation is an important factor in the analysis of risk‐return relationships. The evidence reported supports the view that, although both portfolios appear to be driven by the persistence…
Economics (3 works) · Econometrics (2 works) · Financial economics (2 works) · Financial Markets and Investment Strategies (2 works) · Monetary Policy and Economic Impact (2 works) · Artificial Intelligence (1 work) · Artificial Intelligence (1 work) · Autoregressive conditional heteroskedasticity (1 work) · Banking stability, regulation, efficiency (1 work) · Business (1 work)