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Speculative trade and market newcomers
Klishchuk, Bogdan - 2019
Arguing that in the real world relatively optimistic inexperienced investors are prey for relatively pessimistic veteran traders, we formalize this intuitive conjecture as a proven proposition in a simple model. This agreement to disagree leads to a perpetual bubble, in which more experienced,...
Persistent link: https://www.econbiz.de/10012064782
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Apparent bubbles and misspecified fundamentals
Smith, Gregor W. - 1987
Persistent link: https://www.econbiz.de/10003532777
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Are there bubbles in the Sterling-dollar Exchange Rate? : new evidence from Sequential ADF Tests
Bettendorf, Timo; Chen, Wenjuan - 2012
There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. Standard … unit root and cointegration tests are criticized for their low power to detect rational bubbles that periodically collapse …. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. Our …
Persistent link: https://www.econbiz.de/10009704893
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Asset bubbles, unemployment, and financial market frictions
Hashimoto, Ken'ichi; Im, Ryonghun; Kunieda, Takuma; … - 2020
Persistent link: https://www.econbiz.de/10012656192
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Tests for jumps in yield spreads
Winkelmann, Lars; Yao, Wenying - 2021
This paper develops high-frequency econometric methods to test for jumps in the spread of bond yields. We derive a coherent inference procedure that detects a jump in the yield spread only if at least one of the two underlying bonds displays a jump. We formalize the test as a sequential...
Persistent link: https://www.econbiz.de/10012655372
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Alternative strategies for "augmenting" the Dickey-Fuller test : size-robustness in the face of pre-testing
Dods, Johannah L.; Giles, David E. A. - 1994
Persistent link: https://www.econbiz.de/10000970179
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Arthur Cecil Pigou on speculation : a Marshallian analysis of institutions and economic welfare
Stevens, Riko - 2021
Persistent link: https://www.econbiz.de/10012604442
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On speculation by corporate owners
Tzur, Joseph; Yaari, Varda Lewinstein - 1992
Persistent link: https://www.econbiz.de/10000856257
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Do speculative traders anticipate or follow USD/EUR exchange rate movements? : new evidence on the efficiency of the EUR currency futures market
Hossfeld, Oliver; Röthig, Andreas - 2015
between large and small traders, and an upper bound of total speculation. To account for the large number of testable …
Persistent link: https://www.econbiz.de/10011391722
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On the modelling of speculative prices by stable Paretian distributions and regularly varying tails
Kaehler, Jürgen - 1993
Earlier studies which applied the family of stable Paretian distributions to financial data are inconclusive and contradictory. In this article I estimate the parameters of the model by the Feuerverger-McDunnough method which enables the application of maximum likelihood rhethods. Based on...
Persistent link: https://www.econbiz.de/10011621314