Models which are built on the assumption of rational expectations can easily outline the conditions under which bubbles may exist but they remain silent on the factors that cause the price to deviate from the fundamental value. In this paper it is argued that dynamic extensions of the noise...

We analyse high-frequency data by means of the duration between successive ticks and volume of capital durations. It allows to introduce trading activity and coactivity measures, which may or may not also be volume weighted. Some applications on particular stocks of the PAris Bourse are provided.

What kind of information do stock prices offer for predicting velocity? This paper develops previous work by Milton Friedman for the US economy and shows that a wealth effect derived from the stock market has negatively influenced the ratio of nominal income to a broad definition of money in a...

This paper presents a new index for Sweden computed using a new time-series of 60 years of monthly returns of real estate stocks from 1939 to the present. The computation of the index is explained along with some general statistics. We find that the financial crisis of 1990-92 and the subsequent...

This paper tests a traditional model of asset pricing, the CCAPM (Consumption Capital Asset Pricing Model), using data from the Spanish stock market. A generalized calibration method is used to test this model. This method allows us to judge the degree of correspondance between the population...

This paper investigates the dynamic interrelationship between exchange rate changes and stock market performance in eleven emerging markets and five developed markets. It examines the nature of information transmission across asset classes and countries in order to understand how shocks are...