Narrow search
Showing 1 - 10 of 7,697
Cover Image
"Sell in May and go away" on the Russian stock market
Moskalenko, Elena; Reichling, Peter - In: Transformation in der Ökonomie : Festschrift für …, (pp. 257-267). 2008
Persistent link: https://www.econbiz.de/10003710834
Cover Image
Rational speculative bubbles in the US stock market and political cycles
Wang, Miao; Wong, M. C. Sunny - In: Finance research letters 13 (2015), pp. 1-9
Persistent link: https://www.econbiz.de/10011552305
Cover Image
Nonparametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - In: Journal of econometrics 127 (2005) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10002756914
Cover Image
Non-parametric specification tests for conditional duration models
Fernandes, Marcelo; Grammig, Joachim - 2000
Persistent link: https://www.econbiz.de/10001480448
Cover Image
What is fractional integration?
Parke, William R. - In: The review of economics and statistics 81 (1999) 4, pp. 632-638
Persistent link: https://www.econbiz.de/10001437380
Cover Image
A generalized gamma autoregressive conditional duration model
Lunde, Asger - In: Econometric modelling of durations between economic events, (pp. 31-68). 1999
Persistent link: https://www.econbiz.de/10001442379
Cover Image
Persistence in intertrade durations
Jasiak, Joann - In: Finance : revue de l'Association Française de Finance 19 (1998) 2, pp. 165-195
Persistent link: https://www.econbiz.de/10001476807
Cover Image
Revisiting the Duration Dependence in the US Stock Market Cycles
Zakamulin, Valeriy - 2020
market index, in this paper we revisit the duration dependence in bull and bear markets. We find that for both bull and bear … markets the duration dependence is a nonlinear function of the state age. Our results suggest that the duration dependence in … bear markets is strictly positive. For 93% of bull markets the duration dependence is also positive. Only about 7% of the …
Persistent link: https://www.econbiz.de/10012833990
Cover Image
Inferring stock duration around FOMC surprises : estimates and implications
Chen, Zhanhui - In: Journal of financial and quantitative analysis : JFQA 57 (2022) 2, pp. 669-703
Persistent link: https://www.econbiz.de/10012805832
Cover Image
Investor Heterogeneity and Liquidity
Chan, Kalok; Cheng, Si; Hameed, Allaudeen - 2021
Fund flows are more correlated among funds with similar investment horizon, consistent with correlated demand for liquidity. We find that stocks held by institutions with more heterogeneous investment horizon are more liquid and have lower volatility of liquidity. Identification tests confirm...
Persistent link: https://www.econbiz.de/10013247245