Zobrazeno 1 - 9
of 9
pro vyhledávání: '"Alexander Wehrli"'
Autor:
Alexander Wehrli, Didier Sornette
Publikováno v:
Scientific Reports, Vol 12, Iss 1, Pp 1-13 (2022)
Abstract The arguably most important paradox of financial economics—the excess volatility puzzle—first identified by Robert Shiller in 1981 states that asset prices fluctuate much more than information about their fundamental value. We show that
Externí odkaz:
https://doaj.org/article/473b6c1e23264c1ab221a4b8f5bcda02
Autor:
Alexander Wehrli, Didier Sornette
Publikováno v:
Commodities ISBN: 9781003265399
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::770a56430c13533045c037ad70b6387d
https://doi.org/10.1201/9781003265399-39
https://doi.org/10.1201/9781003265399-39
Publikováno v:
Quantitative Finance. 21:729-752
The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality ( η = 1 ) as the fitting window becomes...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::87ed7b2c102a9ea1259eb9e8df08542b
https://doi.org/10.1080/14697688.2020.1838602
https://doi.org/10.1080/14697688.2020.1838602
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::dc9d697c626450f978e7ac3a95ea3013
https://doi.org/10.2139/ssrn.4087222
https://doi.org/10.2139/ssrn.4087222
Autor:
Didier Sornette, Alexander Wehrli
Publikováno v:
SSRN Electronic Journal.
Puzzling deviations from the predictions of rational finance theory have been extensively documented empirically. In this paper, we offer an explanation for one of these anomalies, the “excess volatility puzzle”, i.e. the observation that prices
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c2d485302e6ad00f4bd725ab31215bb7
https://doi.org/10.2139/ssrn.3848661
https://doi.org/10.2139/ssrn.3848661
Publikováno v:
Quantitative Finance. 19:1165-1178
The endo–exo problem lies at the heart of statistical identification in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::313671c7adcc6aa3412c9a52daa367c9
https://doi.org/10.1080/14697688.2018.1550266
https://doi.org/10.1080/14697688.2018.1550266
Publikováno v:
SSRN Electronic Journal.
The statistical estimate of the branching ratio η of the Hawkes model, when fitted to windows of mid-price changes, has been reported to approach criticality (η = 1) as the fitting window becomes large. In this study -- using price changes from the
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5b26085ec23105f436e844c0f7ec1752
https://doi.org/10.2139/ssrn.3597938
https://doi.org/10.2139/ssrn.3597938
Publikováno v:
SSRN Electronic Journal.
The endo-exo problem lies at the heart of statistical identi fication in many fields of science, and is often plagued by spurious strong-and-long memory due to improper treatment of trends, shocks and shifts in the data. A class of models that has sh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::70c1772b78527248100fc751c0571543
https://doi.org/10.2139/ssrn.3239443
https://doi.org/10.2139/ssrn.3239443
Publikováno v:
download (pdf).
Zugleich: Diss. Wirtschaftswiss. Zürich, 2004.
Im Buchh.: Wiesbaden : Deutscher Universitäts-Verlag. Literaturverz.
Im Buchh.: Wiesbaden : Deutscher Universitäts-Verlag. Literaturverz.
Externí odkaz:
http://aleph.unisg.ch/hsgscan/hm00135391.pdf