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Transmission and impact of stock market shocks on the world economy
Attílio, Luccas Assis - In: Central Bank review / Central Bank of the Republic of Turkey 24 (2024) 1, pp. 1-24
the world economy, simulating aggregate shocks, and assessing the relevance of global shocks based on the level of …
Persistent link: https://www.econbiz.de/10014518548
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A theory of very short-time price change : security price drivers in times of high-frequency trading
Virgilio, Gianluca P. M. - In: Financial innovation : FIN 8 (2022), pp. 1-34
, financial markets face many ultrafast orders, yet a coherent theory of price change at time scales incomprehensible by humans … and only manageable by computers is still lacking. The theory presented in this paper attempts to fill this gap. The … outcome of such a theory is important for purposes of market stability, crisis avoidance, investment planning, risk management …
Persistent link: https://www.econbiz.de/10013272630
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of risk and financial management : JRFM 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10013475217
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Forecasting Nigerian stock market returns using ARIMA and artificial neural network models
Isenahd, Godknows M.; Olubusoye, Olusanya E. - In: CBN journal of applied statistics 5 (2014) 2, pp. 25-48
The study reports empirical evidence that artificial neural network based models are applicable to forecasting of stock market returns. The Nigerian stock market logarithmic returns time series was tested for the presence of memory using the Hurst coefficient before the models were trained. The...
Persistent link: https://www.econbiz.de/10011488820
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Strategic market making and risk sharing
Boco, Hervé; Germain, Laurent; Rousseau, Fabrice - In: Journal of mathematical finance 7 (2017) 1, pp. 144-179
Persistent link: https://www.econbiz.de/10011658456
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Corporate social responsibility and shareholder wealth : the role of marketing capability
Mishra, Saurabh; Modi, Sachin B. - In: Journal of marketing 80 (2016) 1, pp. 26-46
Persistent link: https://www.econbiz.de/10011507440
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Marketing's and operations' roles in product recall prevention : antecedents and consequences
Chakravarty, Anindita; Saboo, Alok R.; Xiong, Guiyang - In: Production and operations management : the flagship … 31 (2022) 3, pp. 1174-1190
Persistent link: https://www.econbiz.de/10013164072
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What drives acquirers' myopic marketing management?
Boo, Chanil; Kim, Changhyun - In: Applied economics letters 29 (2022) 7, pp. 640-643
Persistent link: https://www.econbiz.de/10013171013
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Sports sponsorship announcements and marketing capability
Eshghi, Kamran; Shahriari, Hesam; Ray, Sourav - In: Journal of sport management : the official journal of … 36 (2022) 2, pp. 171-187
Persistent link: https://www.econbiz.de/10013426056
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Testing the profitablitiy of a volume-augmented momentum strategy in the Phillipines equity market
Shawn, Lim Kai Jie; Dawai, Darius Lim; Weijie, Mak; … - In: Journal of applied finance & banking 3 (2013) 1, pp. 1-12
This study contributes new empirical evidence on the profitability of a momentum strategy in the Philippines equity market. The study was conducted over the time period January 2000 to June 2012. We evaluated a momentum strategy based only on past return information as well as a strategy that...
Persistent link: https://www.econbiz.de/10009741262