Narrow search
Showing 61 - 70 of 78
Cover Image
The Impact of Credit Protection on Stock Prices in the Presence of Credit Crunches
Hale, Galina - 2009
Data show that better creditor protection is correlated across countries with lower average stock market volatility …
Persistent link: https://www.econbiz.de/10012463509
Cover Image
Credit Constraints and Stock Price Volatility
Hale, Galina - 2007
This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …
Persistent link: https://www.econbiz.de/10012465565
Cover Image
Institutional Weakness and Stock Price Volatility
Hale, Galina - 2006
We find an empirical regularity that stronger creditor protection reduces the volatility of stock market prices. We … analyze two distinct mechanisms that characterize equity price volatility: government guarantees and creditor protection … credit constraints, increases stock price volatility. Empirically, accounting for the probability of financial crises, we …
Persistent link: https://www.econbiz.de/10012466542
Cover Image
Rise of the Machines? Intraday High-Frequency Trading Patterns of Cryptocurrencies
Petukhina, Alla - 2020
study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …
Persistent link: https://www.econbiz.de/10012838218
Cover Image
Credit Constraints and Stock Price Volatility
Hale, Galina - 2007
This paper addresses how creditor protection affects the volatility of stock market prices. Credit protection reduces … volatility in 40 countries over the period from 1984 to 2004. Estimated probabilities of a liquidity crisis are used as a proxy … price volatility …
Persistent link: https://www.econbiz.de/10012776957
Cover Image
The Impact of Creditor Protection on Stock Prices in the Presence of Credit Crunches
Hale, Galina - 2013
Data show that better creditor protection is correlated across countries with lower average stock market volatility …
Persistent link: https://www.econbiz.de/10013093466
Cover Image
Semiparametric bootstrap approach to hypothesis tests and confidence intervals for the Hurst coefficient
Hall, Peter (contributor); Härdle, Wolfgang (contributor);  … - 1999
Persistent link: https://www.econbiz.de/10001413436
Cover Image
Statistical tools for finance and insurance
Čížek, Pavel (contributor); Härdle, Wolfgang (contributor) - 2005
Statistical Tools in Finance and Insurance presents ready-to-use solutions, theoretical developments and method construction for many practical problems in quantitative finance and insurance. Written by practitioners and leading academics in the field of quantitative finance and insurance, this...
Persistent link: https://www.econbiz.de/10002123307
Cover Image
Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient
Hall, Peter; Härdle, Wolfgang; Kleinow, Torsten; … - 2000
In this paper we propose a new bootstrap, or Monte-Carlo, approach to such problems. Traditional bootstrap methods in this context are based on fitting a process chosen from a wide but relatively conventional range of discrete time series models, including autoregressions, moving averages,...
Persistent link: https://www.econbiz.de/10014164282
Cover Image
Statistics of Risk Aversion
Giacomini, Enzo - 2017
Information about risk preferences from investors is essential for modelling a wide range of quantitative finance applications. Valuable information related to preferences can be extracted from option prices through pricing kernels. In this paper, pricing kernels and their term structure are...
Persistent link: https://www.econbiz.de/10012966244