Oct 22, 2021 · For the $\text {BHAR}$ (Buy-and-Hold Abnormal Returns) formula, I just want to clarify the formula is that always compare with the first month trading price, or is compared with last month …

Oct 22, 2016 · I am doing an event study and wanted to know if was going about this correctly$$ \text {BHAR}_ {i (\tau_1,\tau_2)}\quad=\quad\prod_ {t=\tau_1}^ {\tau_2} (1+R_ {i,t})~-~\prod_ {t=\tau_1}^ …

Jun 16, 2019 · BHAR Event Study - Index Ask Question Asked 6 years, 10 months ago Modified 5 years, 8 months ago

Aug 5, 2021 · Event Study t-test finding degrees of freedom for CAR and BHAR Ask Question Asked 4 years, 9 months ago Modified 4 years, 8 months ago

Jun 10, 2019 · I am about to run a long-run event study on certain events. For a short-term event study, I previously have used daily log returns. My question is now, what data I need for the BHAR one. Just …

Nov 19, 2024 · To calculate the annualized sharpe ratio, can I do: mean (PnL) / std (PnL) * sqrt (252)? This gets me 16.5. Alternatively, I've read online people say you need to calculate the returns and do …

Apr 9, 2025 · I am trying to calculate the price of a Quanto call option using both the the closed form expression and a monte carlo simulation. But the value's I get from both these methods are just not …

May 25, 2025 · I'm trying to calibrate the Heston stochastic volatility model using maximum likelihood estimation (MLE) on high-frequency financial data, inspired by the methodology in this study (Hybrid …

Mar 20, 2024 · According to ... What are the best Journals & Conferences in Quantitative Finance? ... SSRN is a good place to keep track of latest developments in quantitative finance. However, …

Sep 10, 2024 · Prior to QuantLib 1.35 you could create the option obj via: option = ql.DividendVanillaOption(payoff, exercise, div_dates, div_values) How ever in the latest release, …