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ADVANCED ASSET PRICING THEORY
Ma, Chenghu - World Scientific Publishing Co. Pte. Ltd.
This book provides a broad introduction of modern asset pricing theory with equal treatments for both discrete-time and … continuous-time modeling. Both the no-arbitrage and the general equilibrium approaches of asset pricing theory are treated … include microeconomic foundation of asset pricing theory, the no-arbitrage principle and fundamental theorem, risk measurement …
Persistent link: https://www.econbiz.de/10011143724
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Early and Late Reformers: Long-Term Trends of Public Expenditure in 21 OECD Countries
Osterkamp, Rigmar - In: CESifo DICE Report 1 (2003) 1, pp. 46-47
Persistent link: https://www.econbiz.de/10005037349
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The Efficiency of the Japanese Equity Market
Nagayasu, Jun - International Monetary Fund (IMF) - 2003
Using the ARFIMA-FIGARCH model, this paper studies the efficiency of the Japanese equity market by examining the statistical properties of the return and volatility of the Nikkei 225. It shows that both follow a long range dependence, which stands against the efficient market hypothesis (EMH)....
Persistent link: https://www.econbiz.de/10005825859
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Characterizing Global Investors' Risk Appetite for Emerging Market Debt During Financial Crises
González-Hermosillo, Brenda; Martin, Vance; Dungey, Mardi - International Monetary Fund (IMF) - 2003
The effects of unanticipated movements in global risk on nine emerging bond markets are investigated. The components of global risk are volatility, credit, and liquidity risks. Country and contagion risks are also studied individually. A historical decomposition of bond spreads is used to...
Persistent link: https://www.econbiz.de/10005768985
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Using the Scaling Analysis to Characterize Financial Markets
Matteo, T. Di; Aste, T.; Dacorogna, Michel M. - EconWPA - 2004
The scaling properties encompass in a simple analysis many of the volatility characteristics of financial markets. That is why we use them to probe the different degree of markets development. We empirically study the scaling properties of daily Foreign Exchange rates, Stock Market indices and...
Persistent link: https://www.econbiz.de/10005134766
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Empirical evidence for alternative growth models : time series results.
Gundlach, Erich - Kiel Institute for the World Economy - 1993
Persistent link: https://www.econbiz.de/10008520134
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Nonlinear Time Series, Complexity Theory, and Finance.
Brock, W.A.; De Lima, P.J.F. - Wisconsin Madison - Social Systems - 1995
Persistent link: https://www.econbiz.de/10005795224
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The Role of Imperfect Financial Markets for Social Redistribution
Simon, Jenny - In: CESifo DICE Report 11 (2014) 4, pp. 32-37
Persistent link: https://www.econbiz.de/10010908033
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An example of a stochastic equilibrium with incomplete markets
Žitković, Gordan - In: Finance and Stochastics 16 (2012) 2, pp. 177-206
Persistent link: https://www.econbiz.de/10010997039
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On a new interpretation of the sample variance
Mukhopadhyay, Nitis; Chattopadhyay, Bhargab - In: Statistical Papers 54 (2013) 3, pp. 827-837
It may not be an overstatement that one of the most widely reported measures of variation involves S <Superscript>2</Superscript>, the sample variance, which is also well-known to be alternatively expressed in the form of an U statistic with a symmetric kernel of degree 2 whatever be the population distribution function....</superscript>
Persistent link: https://www.econbiz.de/10010998620