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Beyond Fama-French factors : alpha from short-term signals

Blitz, David; Hanauer, Matthias; Honarvar, Iman; … - In: Financial analysts journal : FAJ 79 (2023) 4, pp. 96-117

Persistent link: https://www.econbiz.de/10014427369

Put-Call Parity and market frictions

Cerreia-Vioglio, S.; Maccheroni, Fabio; Marinacci, Massimo - In: Journal of economic theory 157 (2015), pp. 730-762

Persistent link: https://www.econbiz.de/10011525337

Animal spirits in financial economics : a review of deviations from economic rationality

Aggarwal, Raj - In: International review of financial analysis 32 (2014), pp. 179-187

Persistent link: https://www.econbiz.de/10010461292

The pricing relationship between the FTSE 100 stock index and FTSE 100 stock index futures contract

Garrett, I - 1992

This thesis investigates the pricing relationship between the FTSE 100 Stock Index and the FTSE 100 Stock Index futures market. We develop and apply a framework in which it is possible to evaluate whether or not markets can be said to function effectively and efficiently. The framework is...

Persistent link: https://www.econbiz.de/10009481410

Bitcoin and CEE stock markets: Fresh evidence from using the DECO-GARCH model and quantile on quantile regression

In: European Journal of Management and Business Economics … 30 (2021) 2, pp. 261-280

Purpose - This study examines the inter-linkages between Bitcoin prices and CEE stock markets (Hungary, the Czech Republic, Poland, Romania and Croatia). Design/methodology/approach - The dynamic contemporaneous nexus has been analyzed using both the multivariate DECO-GARCH model proposed by...

Persistent link: https://www.econbiz.de/10013193257

Russian equity market linkages before and after the 1998 crisis: evidence from time-varying and stochastic cointegration tests

Lucey, Brian M.; Voronkova, Svitlana - 2005

This paper examines the relationships between the Russian and other Central European (CE) and developed countries' equity markets over the 1995-2004 period.Along with the traditional Johansen and Juselius (1990) multivariate cointegration tests, we apply novel cointegration approaches, including...