Zobrazeno 1 - 10
of 259
pro vyhledávání: '"Neely, Christopher"'
Stock prices often react sluggishly to news, producing gradual jumps and jump delays. Econometricians typically treat these sluggish reactions as microstructure effects and settle for a coarse sampling grid to guard against them. Synchronizing mistim
Externí odkaz:
http://arxiv.org/abs/2309.15705
Autor:
MCINISH, THOMAS1 (AUTHOR), NEELY, CHRISTOPHER J.2 (AUTHOR) christopher.j.neely@stls.frb.org, PLANCHON, JADE3 (AUTHOR)
Publikováno v:
Journal of Money, Credit & Banking (John Wiley & Sons, Inc.). Jun2024, Vol. 56 Issue 4, p805-835. 31p.
Autor:
Hesh, Christopher A., Dolan, Ryan S., Neely, Christopher J., Swersky, Adam G., Xiao, Nicholas, Lewandowski, Robert J.
Publikováno v:
In Advances in Clinical Radiology September 2023 5(1):169-181
Autor:
Neely, Christopher J.
Publikováno v:
In Journal of International Money and Finance September 2022 126
An extensive empirical literature documents a generally negative correlation, named the "leverage effect," between asset returns and changes of volatility. It is more challenging to establish such a return-volatility relationship for jumps in high-fr
Externí odkaz:
http://arxiv.org/abs/1704.06537
Autor:
Spivack, Kyle, Muzzelo, Christine, Hall, Matthew, Warga, Eric, Neely, Christopher, Slepian, Holly, Cunningham, Alyssa, Tucker, Matthew, Elmer, Jacob
Publikováno v:
In Plasmid March 2021 114
Publikováno v:
In Journal of International Money and Finance February 2021 110
Publikováno v:
In Journal of International Money and Finance June 2019 94:32-47
Publikováno v:
In Journal of Econometrics April 2019 209(2):158-184
Autor:
Neely, Christopher J.1
Publikováno v:
Review (00149187). 2022 4th Quarter, Vol. 104 Issue 4, p266-296. 31p.