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Crowded trades, market clustering, and price instability
Kralingen, Marc van; Garlaschelli, Diego; Scholtus, Karolina - 2020
Crowded trades by similarly trading peers influence the dynamics of asset prices, possibly creating systemic risk. We propose a market clustering measure using granular trading data. For each stock the clustering measure captures the degree of trading overlap among any two investors in that...
Persistent link: https://www.econbiz.de/10012161041
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Hysteresis in a model of cycles and growth
Ewijk, Casper van - 1994
Persistent link: https://www.econbiz.de/10000151688
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Priors, posterior odds and Lagrange multiplier statistics in Bayesian analyses of cointegration
Kleibergen, Frank; Paap, Richard - 1997
Persistent link: https://www.econbiz.de/10000952475
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Bayesian analysis of ARMA models using noninformative priors
Kleibergen, Frank; Hoek, Henk - 1997
Persistent link: https://www.econbiz.de/10000952481
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Common persistence in nonlinear autoregressive models
Boswijk, Herman Peter; Franses, Philip Hans - 1997
Persistent link: https://www.econbiz.de/10000952484
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Equality restricted random variables : densities and sampling algorithms
Kleibergen, Frank - 1997
Persistent link: https://www.econbiz.de/10000953441
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Using a bootstrap method to choose the sample fraction in tail index estimation
Daníelsson, Jón (contributor) - 1997
Persistent link: https://www.econbiz.de/10000953451
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Estimating the index of a stable distribution
Haan, Laurens de; Pereira, T. Themido - 1997
Persistent link: https://www.econbiz.de/10000959255
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Two properties of predicted probabilities in discrete regression models
Cramer, Jan S. - 1997
Persistent link: https://www.econbiz.de/10000960568