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A no-arbitrage theorem for uncertain stock model
Yao, Kai - In: Fuzzy optimization and decision making : a journal of … 14 (2015) 2, pp. 227-242
Persistent link: https://www.econbiz.de/10011313626
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The asset-pricing implications of government economic policy uncertainty
Brogaard, Jonathan; Detzel, Andrew - In: Management science : journal of the Institute for … 61 (2015) 1, pp. 3-18
Persistent link: https://www.econbiz.de/10010496098
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The impact of the coronavirus crisis on the market price of risk
Delēs, Manthos D.; Savva, Christos S.; Theodossiou, … - In: Journal of financial stability 53 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012793090
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Climate risks and state-level stock market realized volatility
Bonato, Matteo; Cepni, Oguzhan; Gupta, Rangan; … - In: Journal of financial markets 66 (2023), pp. 1-18
Persistent link: https://www.econbiz.de/10014473150
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Selecting suitable compensation plans of executive stock options
Wu, Ming-cheng - In: Applied economics 39 (2007) 7/9, pp. 1185-1193
Persistent link: https://www.econbiz.de/10003484354
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Stock price effects of US trade policy responses to Japanese trading practices in semi-conductors
Hughes, John S. - In: The Canadian journal of economics 30 (1997) 4, pp. 922-942
Persistent link: https://www.econbiz.de/10001234303
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Bearish conditions and volatility persistence during COVID-19 can microchip stocks weather the storm?
Marobhe, Mutaju Isaack; Dickson, Pastory - In: Review of behavioral finance : RBF 15 (2023) 4, pp. 511-533
Persistent link: https://www.econbiz.de/10014340878
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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Forecasting daily return densities from intraday data : a multifractal approach
Hallam, Mark; Olmo, Jose - In: International journal of forecasting 30 (2014) 4, pp. 863-881
Persistent link: https://www.econbiz.de/10010517781
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Dynamics of fine wine and asset prices : evidence from short- and long-run co-movements
Faye, Benoît; Le Fur, Eric; Prat, S. - In: Applied economics 47 (2015) 28/30, pp. 3059-3077
Persistent link: https://www.econbiz.de/10011289376