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The continuous limit of weak GARCH
Alexander, Carol; Lazar, Emese - In: Econometric reviews 40 (2021) 2, pp. 197-216
Persistent link: https://www.econbiz.de/10012483807
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Augmented real-time GARCH : a joint model for returns, volatility and volatility of volatility
Ding, Dexter - 2021
Persistent link: https://www.econbiz.de/10013254143
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Weak diffusion limit of real-time GARCH models : the role of current return information
Ding, Yashuang - 2020
Persistent link: https://www.econbiz.de/10013206474
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General semi-Markov model for limit order books
Sviščuk, Anatolij; Hofmeister, Tyler; Cera, Katharina; … - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011686928
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Optimal dividend policy and stock prices
Li, Weiping - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-29
Persistent link: https://www.econbiz.de/10012284594
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On the invertibility of EGARCH(p, q)
Martinet, Guillaume Gaetan; McAleer, Michael - In: Econometric reviews 37 (2018) 6/10, pp. 824-849
Persistent link: https://www.econbiz.de/10012040413
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Essays on evolution, reputation and rationality
Shapiro, Dmitry - 2006
Persistent link: https://www.econbiz.de/10003965716
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Venture capital, takeovers and time-varying returns : three essays in financial economics
Gebhardt, Georg - 2002
Persistent link: https://www.econbiz.de/10001721029
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Theory of Fair Asset Price in Secondary Markets
Lappalainen, Aki - 2018
cash flows of the asset can be derived from yield curve of risk-free returns. With these assumptions, I derive a theory of …
Persistent link: https://www.econbiz.de/10012921140
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High Frequency Fairness
Haeringer, Guillaume; Melton, Hayden - 2020
The emergence of high frequency trading has resulted in `bursts' of orders arriving at an exchange (nearly) simultaneously, yet most electronic financial exchanges implement the continuous limit order book which requires processing of orders serially. Contrary to an assumption that appears...
Persistent link: https://www.econbiz.de/10014352148