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Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper
Strohsal, Till; Weber, Enzo - 2013
considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …
Persistent link: https://www.econbiz.de/10010339937
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Time-varying international stock market interaction and the identification of volatility signals
Strohsal, Till; Weber, Enzo - In: Journal of banking & finance 56 (2015), pp. 28-36
Persistent link: https://www.econbiz.de/10011488567
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Information Uncertainty and the Reaction of Stock Prices to News
Angelini, Paolo - 2010
Recent theoretical papers suggest that high uncertainty about firms' economic prospects can explain delays in the … then compare these measures across portfolios of stocks characterized by different degrees of uncertainty. Our findings … indicate that: (i) stock prices characterized by high uncertainty tend to adjust to bad news more sluggishly than those …
Persistent link: https://www.econbiz.de/10013136539
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Trading heterogeneity under information uncertainty
He, Xue-zhong; Zheng, Huanhuan - In: Journal of economic behavior & organization : JEBO 130 (2016), pp. 64-80
Persistent link: https://www.econbiz.de/10011701856
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Identifying agent's information sets : an application to a lifecycle model of schooling, consumption and labor supply
Navarro, Salvador; Zhou, Jin - In: Review of economic dynamics 25 (2017), pp. 58-92
Persistent link: https://www.econbiz.de/10011893692
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Trading heterogeneity under information uncertainty
He, Xue-zhong; Zheng, Huanhuan - 2016
Persistent link: https://www.econbiz.de/10011778029
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Firm-specific information and systemic risk
Clements, Adam; Liao, Yin - In: Economic modelling 90 (2020), pp. 480-493
Persistent link: https://www.econbiz.de/10012428956
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Inflation and risky investments
Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10
The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...
Persistent link: https://www.econbiz.de/10012403996
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Chapter 32 An Empirical Perspective on Auctions
Hendricks, Ken; Porter, Robert H. - In: Handbook of industrial organization : volume 3, (pp. 2073-2143). 2007
We describe the economics literature on auction markets, with an emphasis on the connection between theory, empirical practice, and public policy, and a discussion of outstanding issues. We describe some basic concepts, to highlight some strengths and weaknesses of the literature, and so...
Persistent link: https://www.econbiz.de/10014024584
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Multifactorial analysis of the price formation in the terms of a risk-free rate
Anghelache, Constantin; Anghel, Mădălina-Gabriela; … - In: Theoretical and applied economics : GAER review 28 (2021) 3/628, pp. 33-44
Persistent link: https://www.econbiz.de/10013258864