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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …
Persistent link: https://www.econbiz.de/10011445936
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Bubbles and long-range dependence in asset prices volatilities
Kirman, Alan P.; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001720525
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Bubbles and long range dependence in asset prices volatilities
Kirman, Alan P.; Teysière, Gilles - In: Equilibrium, markets and dynamics : essays in honour of …, (pp. 307-323). 2002
Persistent link: https://www.econbiz.de/10001685789
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Dynamic asset pricing models with nonparametric expectations
Wöhrmann, Peter - 2002
Persistent link: https://www.econbiz.de/10001665121
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The informed and uninformed agent's price of a contingent claim
Kohlmann, Michael; Zhou, Xun Yu - 1999
Persistent link: https://www.econbiz.de/10001387122
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The information environment, informed trading, and volatility
Blasco de las Heras, Natividad; Corredor, Pilar - In: The journal of behavioral finance : a publication of … 18 (2017) 2, pp. 202-218
Persistent link: https://www.econbiz.de/10012008698
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Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
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A note on Stein's overreaction puzzle
Lin, Yuehao; Lehnert, Thorsten - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 269-276
Persistent link: https://www.econbiz.de/10012285399
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Fact or friction : jumps at ultra high frequency
Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599
Persistent link: https://www.econbiz.de/10010532687
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Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps
Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013
We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...
Persistent link: https://www.econbiz.de/10010256970