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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

A dynamic integer count data model for financial transaction prices

Liesenfeld, Roman (contributor); … - 2003

implications of the market microstructure theory on the relationship between price movements and other marks of the trading process. …

Persistent link: https://www.econbiz.de/10002527884

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

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

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

Structural stochastic volatility in asset pricing dynamics : estimation and model contest

Franke, Reiner; Westerhoff, Frank H. - 2011

In the framework of small-scale agent-based financial market models, the paper starts out from the concept of structural stochastic volatility, which derives from different noise levels in the demand of fundamentalists and chartists and the time-varying market shares of the two groups. It...