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Nonlinear noise estimation in international stock markets : coarse-grained entropy method

Fang, Yong - In: International journal of economics and finance 2 (2010) 1, pp. 97-104

Persistent link: https://www.econbiz.de/10009311097

Can heterogeneous agent models explain the alleged mispricing of the S&P 500?

Lux, Thomas - 2020

Tests of excessive volatility along the lines of Shiller (1981) and Leroy and Porter (1981) count among the most convincing pieces of evidence against the validity of the time-honored efficient market hypothesis. Recently, using Shiller s distinction between ex-ante rational (fundamental) price...

Persistent link: https://www.econbiz.de/10012214509

Asymmetry in Stock Comovements : An Entropy Approach

Jiang, Lei - 2020

We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market …. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross-section of stock …

Persistent link: https://www.econbiz.de/10012856552

Asymmetry in stock comovements : an entropy approach

Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507

Persistent link: https://www.econbiz.de/10011930502

Dynamics of randomness and efficiency in the Indian stock markets

Kumar, S. Sujeesh; Nandamohan, V. - In: International journal of financial markets and derivatives 6 (2018) 4, pp. 287-320

Persistent link: https://www.econbiz.de/10011996872

Investigation of stock return volatility using Shannon entropy : evidence from ASEAN stock markets

Xuan Vinh Vo; Tran Thi Tuan Anh - In: Afro-Asian Journal of Finance and Accounting : AAJFA 12 (2022) 4, pp. 479-490

Persistent link: https://www.econbiz.de/10013350691

Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio

Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409

Persistent link: https://www.econbiz.de/10014311645

Nonlinear dynamics : evidence for a small stock exchange

Scheicher, Martin - 1996

Persistent link: https://www.econbiz.de/10000607725

Common nonlinearities in long-horizon stock returns : evidence from the G-7 stock markets

Kim, Sei-Wan; Mollick, André Varella; Nam, Kiseok - In: Global finance journal 19 (2008) 1, pp. 19-31

Persistent link: https://www.econbiz.de/10003742503

An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns

Guidolin, Massimo; Timmermann, Allan - In: Journal of applied econometrics 21 (2006) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10003309995

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