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Autoregressive conditional duration models in finance : a survey of the theoretical and empirical literature
Pacurar, Maria - In: Journal of economic surveys 22 (2008) 4, pp. 711-751
Persistent link: https://www.econbiz.de/10003748679
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A structural model of dynamic market timing
Detemple, Jérôme B.; Rindisbacher, Marcel - In: The review of financial studies 26 (2013) 10, pp. 2492-2547
Persistent link: https://www.econbiz.de/10010207251
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Stock price adjustment under short-selling restriction : evidence from nonlinear time series tests
Jokivuolle, Esa; Lanne, Markku - 1995
Persistent link: https://www.econbiz.de/10000926351
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A trend factor : Any economic gains from using information over investment horizons?
Han, Yufeng; Zhou, Guofu; Zhu, Yingzi - In: Journal of financial economics 122 (2016) 2, pp. 352-375
Persistent link: https://www.econbiz.de/10011590910
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Contracts with endogenous information
Szalay, Dezsö - In: Games and economic behavior 65 (2009) 2, pp. 586-625
Persistent link: https://www.econbiz.de/10003841179
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Modern econometric analysis : theory and applications
Okimoto, Tatsuyoshi - 2005
Persistent link: https://www.econbiz.de/10003905688
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A copula approach to test asymmetric information with applications to predictive modeling
Shi, Peng; Valdez, Emiliano - In: Insurance / Mathematics & economics 49 (2011) 2, pp. 226-239
Persistent link: https://www.econbiz.de/10009242030
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Commodity market financialization, herding and signals : an asymmetric GARCH R-vine copula approach
Qin, Xiao; Yan, Meilan; Zhang, Dalu - In: International review of financial analysis 89 (2023), pp. 1-21
Persistent link: https://www.econbiz.de/10014466342
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A Copula Approach to Test Asymmetric Information with Applications to Predictive Modeling
Shi, Peng; Valdez, Emiliano A. - 2011
In this article, we provide an alternative evidence of asymmetric information in automobile insurance based on a copula model. We use the Frank’s copula to jointly model the type of policy coverage chosen and the number of accidents, with the dependence parameter providing for evidence of the...
Persistent link: https://www.econbiz.de/10014191732
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Testing for asymmetric dependence
Manner, Hans - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-30
Persistent link: https://www.econbiz.de/10009514125