Risk, Return, and Equilibrium: Empirical Tests
This paper tests the relationship between average return and risk for New York Stock Exchange common stocks. The theoretical basis of the tests is the "two-parameter" portfolio ...
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33 publications
Conditional Heteroskedasticity in Asset Returns: A New Approach
This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility ch...
Asset Stock Accumulation and Sustainability of Competitive Advantage
Given incomplete factor markets, appropriate time paths of flow variables must be chosen to build required stocks of assets. That is, critical resources are accumulated rather t...
An Intertemporal Capital Asset Pricing Model
An intertemporal model for the capital market is deduced from the portfolio selection behavior by an arbitrary number of investors who aot so to maximize the expected utility o...
2021 ESC Guidelines on cardiovascular disease prevention in clinical practice
International audience
The advantages of the Matthews correlation coefficient (MCC) over F1 score and accuracy in binary classification evaluation
Abstract Background To evaluate binary classifications and their confusion matrices, scientific researchers can employ several statistical rates, accordingly to the goal of the ...
The diagnosis and management of non-alcoholic fatty liver disease: Practice Guideline by the American Association for the Study of Liver Diseases, American College of Gastroenterology, and the American Gastroenterological Association
These recommendations are based on the following: (1) a formal review and analysis of the recently published world literature on the topic [Medline search up to June 2011]; (2) ...
A Capital Asset Pricing Model with Time-Varying Covariances
The capital asset pricing model provides a theoretical structure for the pricing of assets with uncertain returns. The premium to induc e risk-averse investors to bear risk is p...
An Intertemporal General Equilibrium Model of Asset Prices
This paper develops a continuous time general equilibrium model of a simple but complete economy and uses it to examine the behavior of asset prices. In this model, asset prices...
Modelling the persistence of conditional variances
This paper will discuss the current research in building models of conditional variances using the Autoregressive Conditional Heteroskedastic (ARCH) and Generalized ARCH (GARCH)...