The RATS Software Forum

THANK YOU TOM.

Thank you Tom. I simulate all three methods. The Theobold and Yallup(2004-journal of financial market), they argue that this simulation model is estimated by ARMA(1,1) and partial adjustment coefficient(g) interprete as 1-ar(1)coefficient. Table 1 is a results of Damodran(1993), autocovariance ratio...

I want to simulate partial price adjustment-Amihud and Mendelson in JOF. This model is as follows. R(t)=P(t)-P(t-1)=g(V(t)-P(t-1))+U(t) V(t)-V(t-1)=mu+e(t) 0<g<2 V(t) and P(t) in Logarithm and unobserved true price and observed price respectly. g is partial adjuste coefficient mu is mean of intrinsi...

Thank you. Tom....

I need your help on the following MLE problem used by Lesmond et al.(1999) This is the log likelihood function of LOT measure. lnf=sum(if R_m< 0) [ln(1/(2*pi*(sigma_j^2)))-(1/(2*(sigma_j^2))*(R_j+al_j-b_j*R_m))^2] + sum(if R_m> 0) [ln(1/(2*pi*(sigma_j^2)))-(1/(2*(sigma_j^2))*(R_j+au_j-b_j*R_m))^2] +...