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Full-Text Articles in Econometrics
Does A Weak Social Fabric Fuel The Predatory Lending Industry? The Link Between Payday Lending Activity And Community Trust, Alyssa H. Curran
Does A Weak Social Fabric Fuel The Predatory Lending Industry? The Link Between Payday Lending Activity And Community Trust, Alyssa H. Curran
Master's Theses - Economics
The purpose of this paper is to address a gap in theory pertaining to the relation between payday lending activity in each state and the level of trust and social capital in that state. This research has been motivated by the fact that no study has explicitly looked at the association between predatory financial institutions and the overall level of trust and social capital in a community. Nor has a nation-wide study been done. Multiple years of data is employed in this study to examine both the concentration of payday lenders in each state and the volume of payday activity …
Estimation Of Monthly Volatility: An Empirical Comparison Of Realized Volatility, Garch And Acd-Icv Methods, Shouwei Liu, Yiu Kuen Tse
Estimation Of Monthly Volatility: An Empirical Comparison Of Realized Volatility, Garch And Acd-Icv Methods, Shouwei Liu, Yiu Kuen Tse
Research Collection School Of Economics
We apply the ACD-ICV method proposed by Tse and Yang (2011) for the estimation of intraday volatility to estimate monthly volatility, and empirically compare this method against the realized volatility (RV) and generalized autoregressive conditional heteroskedasticity (GARCH) methods. Our Monte Carlo results show that the ACD-ICV method performs well against the other two methods. Evidence on the Chicago Board Options Exchange volatility index (VIX) shows that it predicts the ACD-ICV volatility estimates better than it predicts the RV estimates. While the RV method is popular for the estimation of monthly volatility, its performance is inferior to the GARCH method.