Giovanni Barone-Adesi
Biographic Data
| ID | 8921415 |
|---|---|
| NAME | Giovanni Barone-Adesi |
| GIVEN NAMES | Giovanni |
| FAMILY NAME | Barone-Adesi |
| SIGNATURE | BARONE-ADESI G |
| VERIFIED | No |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1983 |
| LATEST PUBLICATION YEAR | 1983 |
| H-INDEX | 0 |
Market Models and Heteroscedasticity of Residual Security Returns
Bickel's tests provide attractive robust alternatives to traditional tests of heteroscedasticity. NYSE securities have homoscedastic residuals once nonnormality of security returns is allowed. Some portfolio designs may generate some heteroscedastic residuals, but this heteroscedasticity is reduced by the Kraus-Litzenberger quadratic market model. This result suggests a misspecification in the traditional market model
No prominent works on this page.
Market Models and Heteroscedasticity of Residual Security Returns
Bickel's tests provide attractive robust alternatives to traditional tests of heteroscedasticity. NYSE securities have homoscedastic residuals once nonnormality of security returns is allowed. Some portfolio designs may generate some heteroscedastic residuals, but this heteroscedasticity is reduced by the Kraus-Litzenberger quadratic market model. This result suggests a misspecification in the traditional market model
Complex Systems and Time Series Analysis (1 work) · Econometrics (1 work) · Economics (1 work) · Financial economics (1 work) · Financial Markets and Investment Strategies (1 work) · Heteroscedasticity (1 work) · Mathematics (1 work) · Monetary Policy and Economic Impact (1 work) · Residual (1 work)