Modelling conditional heteroscedasticity and jumps in Australian short-term interest rates
Article Abstract:
An analysis on various jump-diffusion models for the Australian short-term interest rate is presented. The features of these models, which includes generalized autoregressive conditional heteroscedasticity, are also analyzed.
Publisher: Blackwell Publishers Ltd.
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2005
Interest Rates, Heteroscedasticity
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2005
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A best choice among asset pricing models? The Conditional Capital Asset Pricing Model in Australia
Article Abstract:
A study examining the effectiveness of the Conditional Capital Asset Pricing Model, using Australian data is presented.
Publisher: Blackwell Publishers Ltd.
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2004
Models, Capital assets
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2004
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In America's thrall: the effects of the US market and US security characteristics on Australian stock returns
Article Abstract:
The impact of American stock market patterns on Australian stock returns is evaluated.
Publisher: Blackwell Publishers Ltd.
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2006
United States, International economic relations, Evaluation, Economic aspects, Stock markets, Stock market
Publication Name: Accounting and Finance
Subject: Business
ISSN: 0810-5391
Year: 2006
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Subjects list: Analysis, Australia, Econometric models
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