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High frequency financial econometrics : recent developments

Pohlmeier, Winfried; Bauwens, Luc; Veredas, David - 2008

volatility modelling. The chapters on market microstructure deal with liquidity, asymmetries of information, and limit order …: the study of the impact of information arrival on exchange rate volatility and the uncovering of chartist patterns in the …

Persistent link: https://www.econbiz.de/10009471866

Behaviors of liquidity patterns in a limit order-driven market, an evidence from Chinese stock markets

Guo, Mingyuan; Tian, Gary G.; Australian Conference of … - University of Western Sydney; University of Western Sydney; … - 2005

factor of asymmetric information, which plays an important role in the patterns for liquidity. Our findings are consistent … relation with the volatility and a negative relation with stock prices, while the striking reversed L-shaped pattern of the … depths has a negative relation with stock prices and the volatility but a positive relation with trading volumes. Finally …

Persistent link: https://www.econbiz.de/10009482106

Price Formation and Market Integration on the European First-hand Market for Whitefish

Nielsen, Max - 2005

Total Allowable catches (TACs) for whitefish in European Union (EU) waters have been reduced each year for the past five years, thereby reducing fleet revenue. During the same period prices increased, partly offsetting income reductions. However, price changes depend on the structure of the...

Persistent link: https://www.econbiz.de/10009444252

Determinants of Livestock Prices in Ethiopian Pastoral Livestock Markets: Implications for Pastoral Marketing Strategies

Belayneh, Hailemariam Teklewold; Feye, Getachew Legese; … - 2009

The major objective of this paper is to identify determinants of market prices for cattle, sheep and goat in the export market value chain starting from pastoral markets to export abattoirs and live animal exporters. The study is based on the information generated through a formal survey...

Persistent link: https://www.econbiz.de/10009444835

Incidence of Agro-Climate Variability over Grass-Fed Cattle Markets.

Lanfranco, Bruno A.; Castano, Jose P. - 2010

The marginal contribution of each of the selected variables was quantified in terms of premiums and discounts and mapped as dynamic iso-price regions that illustrate geographic and seasonal permanent price patterns for feeder cattle, as well as changing market conditions derived from unexpected...

Persistent link: https://www.econbiz.de/10009446099

Econometric model for Intraday Trading on the Spot Foreign Exchange Market, Considering Heavy Tails and Volatility Clustering

Serbinenko Anna - 2009

pairs. A hybrid model based on microstructure approach was proposed. GARCH approach is used to reflect the volatility …

Persistent link: https://www.econbiz.de/10009434490

System economics: overcoming the pitfalls of forecasting models via a multidisciplinary approach

Orrell, David; McSharry, Patrick - 2009

In areas from medicine to climate change to economics, we are faced with huge challenges and a need for accurate forecasts, yet our ability to predict the future has been found wanting. The basic problem is that complex systems such as the atmosphere or the economy cannot be reduced to simple...

Persistent link: https://www.econbiz.de/10009441535

Financial constraints, the distribution of wealth and international trade

Amissah, Emmanuel; Bougheas, Spiros; Falvey, Rodney - 2010

Extract: As the Heckscher-Ohlin-Mundell paradigm predicts, in a world where capital markets are perfect and production exhibits constant-returns to scale, while aggregate wealth endowments can be an important source of comparative advantage, their internal distribution does not matter for the...

Persistent link: https://www.econbiz.de/10009441617

Robert T. Martin, Managing Director and Regional Executive, Bank of Montreal, BMO Financial Group: Doing Business in China

Liu, Juan - 2006

This interview concerns doing business in China given the rapid changes and industrial development of that country. This report is based on an interview with Robert T. Martin, Managing Director & Regional Executive of BMO Bank of Montreal in June, 2005. Recent federal government financial reform...

Persistent link: https://www.econbiz.de/10009445085

Lucas, Keynes, and the Crisis

Laidler, David - 2009

This paper examines Robert E. Lucas's views on the relationship of macroeconomics to real world economic phenomena, and on Keynes's place in its history, suggesting that these stem from a particular and debatable understanding of how the subdiscipline has evolved. It considers some implications...

Persistent link: https://www.econbiz.de/10009447272

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