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The behaviour of stock returns under price limits, a truncated time series approach
Errais, Eymen; Albacha, Jawhar - In: American journal of finance and accounting 6 (2021) 3/4, pp. 223-251
Persistent link: https://www.econbiz.de/10012610836
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A modified Corrado test for assessing abnormal security returns
Ataullah, Ali; Song, Xiaojing; Tippett, Mark - In: The European journal of finance 17 (2011) 7/8, pp. 589-601
Persistent link: https://www.econbiz.de/10009509842
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Martingale densities for general asset prices
Schweizer, Martin - 1991
Persistent link: https://www.econbiz.de/10000825147
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Sampling frequency and window length trade-offs in data-driven volatility estimation : appraising the accuracy of asymptotic approximations
Andreou, Elena; Ghysels, Eric - 2006
Persistent link: https://www.econbiz.de/10003331375
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Estimating default probabilities implicit in equity prices
Janosi, Tibor; Jarrow, Robert A.; Yildirim, Yildiray - In: The credit market handbook : advanced modeling issues, (pp. 1-38). 2006
Persistent link: https://www.econbiz.de/10003338037
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Comparison of alternative ACD models via density and interval forecasts : evidence from the Australian stock market
Allen, David E.; Lazarov, Zdravetz N.; McAleer, Michael; … - 2007
Persistent link: https://www.econbiz.de/10003477122
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Estimating generalized state density of near-extreme events and its applications in analyzing stock data
Lin, Jin-guan; Huang, Chao; Zhuang, Qing-yun; Zhu, Li-ping - In: Insurance / Mathematics & economics 47 (2010) 1, pp. 13-20
Persistent link: https://www.econbiz.de/10003985370
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Using empirical mode decomposition to compare Gaussian and Non-Gaussian model of stock price distribution
Guhathakurta, Kousik; Bhattacharya, Basabi; Roy … - In: Decision 37 (2010) 1, pp. 101-122
Persistent link: https://www.econbiz.de/10008657225
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Multivariate asset return prediction with mixture models
Paolella, Marc S. - In: The European journal of finance 21 (2015) 13/15, pp. 1214-1252
Persistent link: https://www.econbiz.de/10011419842
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Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high requency return data
Lee, Kyungsub - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 20 (2016) 1, pp. 19-36
Persistent link: https://www.econbiz.de/10011431109