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of 10
pro vyhledávání: '"Amilon , Henrik"'
Autor:
Amilon, Henrik *, Bermin, Hans-Peter
Publikováno v:
In Journal of Economic Dynamics and Control 2003 28(2):331-348
Autor:
Amilon, Henrik1 henrik.amilon@nek.lu.se
Publikováno v:
Journal of Forecasting. Jul2003, Vol. 22 Issue 4, p317. 19p. 1 Diagram, 6 Charts, 1 Graph.
Autor:
Amilon, Henrik
Standard economic models based on rational expectations and homogeneity have problems explaining the complex and volatile nature of financial markets. Recently, boundedly rational and heterogeneous agent models have been developed and simulated retur
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______1687::ad985babcd324a9f5e43698df2a4156a
https://hdl.handle.net/10419/82413
https://hdl.handle.net/10419/82413
Autor:
Amilon, Henrik
The continuous-state GARCH model is misspecified if applied to returns calculated from discrete price series. This paper proposes modifications of the above model for handling such cases. The focus is on the AR-GARCH framework, but the same ideas cou
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::4fbf4b70de60743363e628e4c9f9f6fa
http://swopec.hhs.se/lunewp/papers/lunewp2001_006.pdf
http://swopec.hhs.se/lunewp/papers/lunewp2001_006.pdf
Autor:
Amilon, Henrik
In the early 50's, Markowitz introduced the modern portfolio selection theory which, to this very day, constitutes the basis of many investment decisions. Given different correlated assets, how does an investor create a portfolio maximizing the expec
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::3d6311dde904fb77e884f73f386f0ae3
http://swopec.hhs.se/lunewp/papers/lunewp2001_004.pdf
http://swopec.hhs.se/lunewp/papers/lunewp2001_004.pdf
Autor:
Amilon , Henrik, Byström , Hans
A "compass rose" pattern sometimes appears when stock returns are plotted against themselves with a one-day lag, since stock prices move in discrete steps. In this paper, we perform a Monte Carlo study on simulated stock price series rounded in diffe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::bd074dfedf95fd2b23bcc9ad1a465443
http://swopec.hhs.se/lunewp/papers/lunewp2000_018.pdf
http://swopec.hhs.se/lunewp/papers/lunewp2000_018.pdf
Autor:
Amilon, Henrik, Byström, Hans
Publikováno v:
Working Papers, Department of Economics, Lund University; (18) (2000)
A "compass rose" pattern sometimes appears when stock returns are plotted against themselves with a one-day lag, since stock prices move in discrete steps. In this paper, we perform a Monte Carlo study on simulated stock price series rounded in diffe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::c40581f91166f9379c2920d23b993034
https://hdl.handle.net/10419/259840
https://hdl.handle.net/10419/259840
Autor:
Amilon, Henrik, Byström, Hans
Publikováno v:
Working Papers, Department of Economics, Lund University; (6) (1998)
Numerous empirical studies have shown evidence of nonlinearities in financial time series, which can be of both a deterministic and a stochastic nature. Chaos is an example of the former, and heteroscedasticity in the conditional variance an example
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::64bc9aa6201fce24db54f1610ec7a564
http://lup.lub.lu.se/record/1385231
http://lup.lub.lu.se/record/1385231
Autor:
Amilon, Henrik1 henrik.amilon@nek.lu.se
Publikováno v:
Economics Letters. Nov2003, Vol. 81 Issue 2, p69. 8p.