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An alternative to p-values in hypothesis testing with applications in model selection of stock price data
Tran, Hien D.; Nguyen, Son P.; Le, Hoa T.; Pham, Uyen H. - In: Robustness in econometrics, (pp. 305-319). 2017
Persistent link: https://www.econbiz.de/10011801354
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Information efficiency and firm-specific return variation
Kelly, Patrick J. - In: The quarterly journal of finance 4 (2014) 4, pp. 1-44
Persistent link: https://www.econbiz.de/10010472899
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Time-changed GARCH versus GARJI model for extreme events : an empirical study
Kao, Lie Jane; Wu, Po-Cheng; Lee, Cheng F. - 2024
Persistent link: https://www.econbiz.de/10015046799
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A Dynamic Integer Count Data Model for Financial Transaction Prices
Pohlmeier, Winfried; Liesenfeld, Roman - 2003
In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the...
Persistent link: https://www.econbiz.de/10010263413
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What determines simultaneous asset bubbles? : an empirical analysis
Drescher, Christian; Herz, Bernhard - In: Applied economics 48 (2016) 1/3, pp. 35-51
Persistent link: https://www.econbiz.de/10011412565
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A dynamic integer count data model for financial transaction prices
Liesenfeld, Roman (contributor);  … - 2003
In this paper we develop a dynamic model for integer counts to capture the dis- creteness of price changes for financial transaction prices. Our model rests on an autoregressive multinomial component for the direction of the price change and a dynamic count data component for the size of the...
Persistent link: https://www.econbiz.de/10002527884
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The determinants of a simultaneous crash in gold and stock markets : an ordered logit approach
Miyazaki, Takashi; Hamori, Shigeyuki - In: Annals of financial economics 13 (2018) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011900670
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Ein dynamisches Hürdenmodell für diskrete Transaktionspreisänderungen auf Finanzmärkten
Liesenfeld, Roman - In: Empirische Wirtschaftsforschung : Methoden und …, (pp. 153 - 177). 2003
Persistent link: https://www.econbiz.de/10014554667
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The prediction of price gap anomaly in Chinese stock market : evidence from the dependent functional logit model
Su, Zhifang; Bao, Haohua; Li, Qifang; Xu, Boyu; Cui, Xin - In: Finance research letters 47 (2022) 2, pp. 1-7
Persistent link: https://www.econbiz.de/10013553704
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R-squared and dividend payout : evidence from the Korean market
Kang, Sang Koo; Kim, Haksoon - In: Emerging markets finance & trade : a journal of the … 49 (2013), pp. 104-118
Persistent link: https://www.econbiz.de/10010258943