Zobrazeno 1 - 10
of 44
pro vyhledávání: '"Anthony D. Hall"'
Publikováno v:
Econometrics, Vol 11, Iss 1, p 5 (2023)
This paper proposes a methodology for building Multivariate Time-Varying STCC–GARCH models. The novel contributions in this area are the specification tests related to the correlation component, the extension of the general model to allow for addit
Externí odkaz:
https://doaj.org/article/e1436e51cc1f40f9b55f0c5e40f111b6
Autor:
Danny Lo, Anthony D. Hall
Publikováno v:
Journal of Economic Dynamics and Control. 61:222-244
This study contributes to our understanding of the liquidity replenishment process in limit order book markets. A measure of resiliency is proposed and quantified for different liquidity shocks through the impulse response functions generated from a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::49b45c3dbdbc4962ea31df9dc1450318
https://doi.org/10.1016/j.jedc.2015.09.012
https://doi.org/10.1016/j.jedc.2015.09.012
Publikováno v:
Applied Economics. 47:4801-4813
© 2015 Taylor & Francis. We present new analytical results for the impact of portfolio weight constraints on an investor’s optimal portfolio when parameter uncertainty is taken into account. While it is well known that parameter uncertainty and im
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3ae27c074b1d0af38fc6cae93934298
https://doi.org/10.1080/00036846.2015.1034845
https://doi.org/10.1080/00036846.2015.1034845
Publikováno v:
Ground Water. 45:590-600
Numerical models constitute the most advanced physical-based methods for modeling complex ground water systems. Spatial and/or temporal variability of aquifer parameters, boundary conditions, and initial conditions (for transient simulations) can be
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ed3c95b365ea1d14cb0a2f96988fc6cb
https://doi.org/10.1111/j.1745-6584.2007.00330.x
https://doi.org/10.1111/j.1745-6584.2007.00330.x
Publikováno v:
Journal of Business Ethics. 76:189-206
Corporate management is torn between either focusing solely on the interests of stockholders (the neo-classical view) or taking into account the interests of a wide spectrum of stakeholders (the stakeholder theory view). Of course, there need be no c
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::16528a7a554a5b938cb9da18c32b79e1
https://doi.org/10.1007/s10551-006-9268-1
https://doi.org/10.1007/s10551-006-9268-1
Publikováno v:
Australian & New Zealand Journal of Statistics. 44:155-168
This paper presents a Bayesian technique for the estimation of a logistic regression model including variable selection. As in Ou & Penman (1989), the model is used to predict the direction of company earnings, one year ahead, from a large set of acc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8f8e00c18f6aa83fbd4c2452c89f88c7
https://doi.org/10.1111/1467-842x.00218
https://doi.org/10.1111/1467-842x.00218
Autor:
Paul Kofman, Anthony D. Hall
Publikováno v:
Australian Economic Papers. 40:520-540
There is an extant literature investigating the relation between futures price limits and the volatility of futures price changes. An equally impressive number of papers investigates margin levels and their relation with price volatility. Very few pa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::23760f8de9734eb7214d54ee4a3630f0
https://doi.org/10.1111/1467-8454.00140
https://doi.org/10.1111/1467-8454.00140
The prediction of earnings movements using accounting data: An update and extension of Ou and Penman
Publikováno v:
Journal of Asset Management. 2:180-195
The greater interest apparent in the recent academic literature in the impact of corporate earnings information on the valuation of shares has prompted an updating of the seminal work of Ou and Penman (1989) on the role that accounting information ca
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::384808eb2bbb77f432a1fcf1ba28e407
https://doi.org/10.1057/palgrave.jam.2240043
https://doi.org/10.1057/palgrave.jam.2240043
Autor:
Anthony D. Hall, Paul Kofman
Publikováno v:
Journal of Futures Markets. 21:463-488
This article analyzes the behavior of futures prices when the exchange is regulated by price limits. With a model analogous to exchange-rate target-zone models, we tested for the existence of a nonlinear S-shape relation between observed and theoreti
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::00a641aeb4ad92e068b313bfed7ef2d1
https://doi.org/10.1002/fut.5
https://doi.org/10.1002/fut.5
