排序方式: 共有5条查询结果,搜索用时 31 毫秒
1
1.
2.
3.
In this paper several powerful distribution-free tests for heteroscedasticity are introduced and are used to test the hypothesis of constant variance in the market model. These tests are noted for their flexibility in specifying alternative hypotheses. It is found that the assumption of homoscedasticity is untenable for the majority of stocks analyzed. The implications of this finding for the efficient estimation of the parameters of the market model are also discussed. 相似文献
4.
GUERINO ARDIZZI CARMELO PETRAGLIA MASSIMILIANO PIACENZA FRIEDRICH SCHNEIDER GILBERTO TURATI 《Journal of Money, Credit and Banking》2014,46(8):1555-1590
This study provides an answer to the question of how much cash deposited via a financial institution can be traced back to criminal activities, by developing a new approach to measure money laundering and proposing an application to Italy. We define a model of cash in‐flows on current accounts considering, besides “dirty money” to be laundered, also the legal motivations to deposit cash and the role of the shadow economy. We find that the average amount of cash laundered in Italy is around 6% of GDP. These findings are coherent with estimates of the nonobserved economy obtained in previous studies. 相似文献
5.
Under the common assumption of constant interest rates, we show that penalties for early termination of a lease are often structured in such a way that the cancellation option embedded in consumer automotive leases has little value. Furthermore, our estimates drawn from a sample of three popular car models over 1990 to 2000 indicate that the stand‐alone value of the lease‐end purchase option is, on average, about 16% of the market value of underlying used vehicles, or about $1,462 per contract. Finally, we examine the sensitivity of our option value estimates to model parameters and default risk. 相似文献
1