Zobrazeno 1 - 10
of 1 599
pro vyhledávání: '"Financial Econometrics"'
Autor:
Silver, Steven D.
Publikováno v:
Review of Behavioral Finance, 2024, Vol. 16, Issue 5, pp. 836-859.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/RBF-09-2023-0237
Autor:
Zambon Monte, Edson1 edsonzambon@yahoo.com.br, Fantin Almeida, Felipe2 felipe.fantin@gmail.com
Publikováno v:
Revista de Economia Mackenzie. 2020, Vol. 17 Issue 1, p115-145. 31p.
Publikováno v:
Scottish Journal of Political Economy. Feb2019, Vol. 66 Issue 1, p1-4. 4p.
Autor:
Abe Webb
Publikováno v:
Frontiers in Applied Mathematics and Statistics, Vol 10 (2024)
In this paper, we explore the applications of fractional stochastic volatility (FSV) models within the realm of market microstructure theory and optimal execution strategies. FSV models extend traditional stochastic volatility frameworks by incorpora
Externí odkaz:
https://doaj.org/article/cc46f0145b6d4b33a5b5e8a5084211b8
Autor:
Kirchner, Matthias1 (AUTHOR) matthias.kirchner@math.ethz.ch
Publikováno v:
Quantitative Finance. Apr2017, Vol. 17 Issue 4, p571-595. 25p.
Autor:
Pacicco, Fausto1 fpacicco@liuc.it, Vena, Luigi1 lvena@liuc.it, Venegoni, Andrea1 avenegoni@liuc.it
Publikováno v:
Stata Journal. 2018, Vol. 18 Issue 2, p461-476. 16p.
Publikováno v:
Economics and Business Review, Vol 9, Iss 4, Pp 25-55 (2023)
This study proposes two novel tests for security analyst herding based on binomial correlation and forecast error volatility scaling, and applies it to investigate herding patterns in analyst target prices in 2008–2020 in the UK. Analysts robustly
Externí odkaz:
https://doaj.org/article/6b303cbd6a114c8da8c146ff64691ce3
Autor:
Mohsen Eslami, Alireza Najjarpour
Publikováno v:
Pizhūhishnāmah-i Iqtiṣād-i Inirzhī-i Īrān, Vol 12, Iss 47, Pp 11-46 (2023)
There is good reason to expect crude oil prices to follow nonlinear models. However, previous research has considered the linear assumption to investigate the existence of a unit root. Unit root linear tests such as ADF, PP, and KPSS are provided for
Externí odkaz:
https://doaj.org/article/ea9040e3f4c44fa48a3460d35f5a3f0e
Autor:
Maneesoonthorn, Ole Worapree1
Publikováno v:
Economic Record. Dec2015, Vol. 91 Issue 295, p542-544. 3p.