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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 173-222
Persistent link: https://www.econbiz.de/10011987413
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The marriage market, labor supply and education choice
Chiappori, Pierre-Andre; Dias, Monica Costa; Meghir, Costas - 2015
We develop an equilibrium lifecycle model of education, marriage and labor supply and consumption in a transferable utility context. Individuals start by choosing their investments in education anticipating returns in the marriage market and the labor market. They then match based on the...
Persistent link: https://www.econbiz.de/10011445725
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An investigation into multivariate variance ratio statistics and their application to stock market predictability
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the weak form Efficient Market Hypothesis). We do...
Persistent link: https://www.econbiz.de/10011445726
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Multivariate variance ratio statistics
Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014
We propose several multivariate variance ratio statistics. We derive the asymptotic distribution of the statistics and scalar functions thereof under the null hypothesis that returns are unpredictable after a constant mean adjustment (i.e., under the Efficient Market Hypothesis). We do not...
Persistent link: https://www.econbiz.de/10011282646
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The economic plausibility of strict local martingales in financial modelling
Hulley, Hardy - 2010
Persistent link: https://www.econbiz.de/10008663096
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A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation
Li, Minqiang - In: Journal of economic dynamics & control 34 (2010) 2, pp. 132-157
Persistent link: https://www.econbiz.de/10003947634
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Asset price bubbles in incomplete markets
Jarrow, Robert A.; Protter, Philip E.; Shimbo, Kazuhiro - In: Mathematical finance : an international journal of … 20 (2010) 2, pp. 145-185
Persistent link: https://www.econbiz.de/10003955702
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Fragility of arbitrage and bubbles in local martingale diffusion models
Guasoni, Paolo; Rásonyi, Miklós - In: Finance and stochastics 19 (2015) 2, pp. 215-231
Persistent link: https://www.econbiz.de/10011417713
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Mathematical models for financial bubbles
Nedelcu, Sorin - 2014
thoroughly studied in the economic literature, a mathematical martingale theory of bubbles, based on an absence of arbitrage has … construct a flow in the space of equivalent martingale measures and we study the shifting perception of the fundamental value of … martingale measure used for pricing. In this way we are able to unify the classical martingale theory of bubbles with a …
Persistent link: https://www.econbiz.de/10010532745
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Understanding mathematical models of bubbles in financial markets
Shimbo, Kazuhiro - 2007
Persistent link: https://www.econbiz.de/10009689757