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Financial markets as a complex system : a short time scale perspective
Marschinski, Robert; Matassini, Lorenzo - 2001
In this paper we want to discuss macroscopic and microscopic properties of financial markets. By analyzing quantitatively a database consisting of 13 minute per minute recorded financial time series, we identify some macroscopic statistical properties of the corresponding markets, with a special...
Persistent link: https://www.econbiz.de/10010504303
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Financial markets as a complex system : a short time scale perspective
Marschinski, Robert; Matassini, Lorenzo - 2001
Persistent link: https://www.econbiz.de/10001629899
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Why does the law matter? : investor protection and its effects on investment, finance, and growth
McLean, R. David; Tianyu, Zhang; Zhao, Mengxin - In: The journal of finance : the journal of the American … 67 (2012) 1, pp. 313-350
Persistent link: https://www.econbiz.de/10009507982
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Why Does the Law Matter? Investor Protection and its Effects on Investment, Finance, and Growth
McLean, R. David - 2013
Investor protection is associated with greater investment-sensitivity to q and lower investment-sensitivity to cash …-sensitivities are associated with ex-post investment efficiency; investment predicts growth and profits more strongly in countries with … investor protection laws promote accurate share prices, reduce financial constraints, and encourage efficient investment …
Persistent link: https://www.econbiz.de/10013094005
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Cost of capital and US investment : does financing matter after all?
Simmons-Süer, Banu - In: The quarterly review of economics and finance : journal … 60 (2016), pp. 86-93
Persistent link: https://www.econbiz.de/10011627361
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The Shape of Performance Curve in Financial Time Series
Alonso, Miquel Noguer i; Srivastava, Sonam - 2021
We examine in this paper a critical question in finance: the use of large nonlinear over-parametrized models or simpler models to forecast financial time series and the balance between underfitting and overfitting, the bias-variance trade-off, and the absolute performance in the test set. The...
Persistent link: https://www.econbiz.de/10013310497
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Increasing weather risk : fact of fiction?
Wang, Weining; Bobojonov, Ihtiyor B.; Härdle, Wolfgang; … - 2011
It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...
Persistent link: https://www.econbiz.de/10009379509
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An analysis of Romania's short-run sovereign rating determinants
Miricescu, Emilian Constantin - In: Romanian journal of fiscal policy : RJFP 3 (2012) 2, pp. 48-57
For most European Union countries the government expenditure exceeds government revenue which could lead in the long run to an increase in the government debt to GDP ratio. Considering the distortions generated by the financial and economic crisis, followed by the debt crisis, both local and...
Persistent link: https://www.econbiz.de/10010199903
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Increasing Weather Risk : Fact or Fiction?
Wang, Weining; Bobojonov, Ihtiyor; Härdle, Wolfgang K.; … - 2017
It is an undisputed fact that weather risk increases over time due to climate change. However, qualification of this statement with regard to the type of weather risk and geographical location is needed. We investigate the application of novel statistical tools for assessing changes in weather...
Persistent link: https://www.econbiz.de/10014123486
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Fixing the VIX : An Indicator to Beat Fear
Hestla-Barnhart, Amber - 2015
Volatility is widely considered to be a category of technical indicators with a simple interpretation - no matter how it is measured volatility is widely believed to rise in a market downturn. This approach is applied to indicators such as the Average True Range (ATR), Bollinger Bands®...
Persistent link: https://www.econbiz.de/10013026428