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Can derivative information predict stock price jumps?
Kwark, Noe-Keol; Kang, Hyoung Goo; Jun, Sang-Gyung - In: The journal of applied business research 31 (2015) 3, pp. 845-860
Persistent link: https://www.econbiz.de/10011304812
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Predicting US recessions with stock market illiquidity
Chen, Shiu-sheng; Chou, Yu-Hsi; Yen, Chia-Yi - In: The B.E. journal of macroeconomics 16 (2016) 1, pp. 93-123
Persistent link: https://www.econbiz.de/10011508569
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Estimating the model for seasoned equity offering underpricing : application to the Chinese financial market
Chung, Chune Young; Liu, Chang - In: Emerging markets finance & trade : a journal of the … 52 (2016) 4/6, pp. 1472-1480
Persistent link: https://www.econbiz.de/10011563542
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The US zero-coupon yield spread as a predictor of excess daily stock market volatility
Li, Matthew C. - In: Applied financial economics 24 (2014) 13/15, pp. 889-906
Persistent link: https://www.econbiz.de/10010410398
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An ordered probit analysis of transaction stock prices
Hausman, Jerry A.; Lo, Andrew W.; MacKinlay, Archie Craig - 1991
Persistent link: https://www.econbiz.de/10000825535
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An ordered probit model of Morningstar individual stock ratings
Brooks, Robert; Naylor, Shelley Claire - In: Applied financial economics letters 4 (2008) 4/6, pp. 341-345
Persistent link: https://www.econbiz.de/10003807769
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The time-varying prediction of successful mergers
Barone-Adesi, Giovanni; Corvasce, Giuseppe - 2009
Persistent link: https://www.econbiz.de/10003970460
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An Ordered Probit Analysis of Transaction Stock Prices
Hausman, Jerry A. - 2010
We estimate the conditional distribution of trade-to-trade price changes using ordered probit, a statistical model for …-time/discrete-state models of discrete transaction prices, ordered probit can capture the effects of other economic variables on price changes … U.S. stocks, we estimate the ordered probit model via maximum likelihood and use the parameter estimates to measure …
Persistent link: https://www.econbiz.de/10012762721
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Systematic cojumps, market component portfolios and scheduled macroeconomic announcements
Kam Fong Chan; Bowman, Robert G.; Neely, Christopher J. - 2017 - This version: April 2017
Persistent link: https://www.econbiz.de/10011691468
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International sign predictability of stock returns : the role of the United States
Nyberg, Henri; Pönkä, Harri - In: Economic modelling 58 (2016), pp. 323-338
Persistent link: https://www.econbiz.de/10011647427