The Financial Econometrics Seminar: 
Time: 11:30 pm
Date: 9th of June 2022
Room 3001

HAMDI Raissi (PUCV, Chile) “DIAGNOSTIC TESTS FOR STOCKS WITH TIME-VARYING ZERO RETURNS PROBABILITY”

Abstract : The first and second order serial correlations of illiquid stock’s price changes are studied, allowing for unconditional heteroscedasticity and time-varying zero returns probability. Depending on the set up, we investigate how the usual autocorrelations can be accommodated, to deliver an accurate representation of the price changes serial correlations. We shed some light on the properties of the different tools, by means of Monte Carlo experiments. The theoretical arguments are illustrated considering shares from the Chilean stock market.and Facebook 1-minute returns.

Organizers:

Jean-Michel ZAKOIAN  (CREST)

Sponsors:
CREST