The economic value of volatility timing using "realized" volatility
Article Abstract:
The intradaily returns can be used to construct estimates of daily return volatility, which are more precise than those constructed using daily returns. The gains are robust to transaction costs, estimation risk regarding estimated results, and the performance measurement horizon.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2003
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Managerial succession and firm performance
Article Abstract:
The impact of managerial replacement decisions by corporate boards on firm's financial performance is examined. The empirical results of the study that used a multivariate regression framework are presented.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2004
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Universal option valuation using quadrature methods
Article Abstract:
A widely applicable numerical approach for option pricing based on quadrature methods are proposed. Complex problems can be evaluated accurately and orders of magnitude are faster than by existing methods.
Publication Name: Journal of Financial Economics
Subject: Economics
ISSN: 0304-405X
Year: 2003
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