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Short-run momentum, long-run mean reversion and excess volatility : an elementary housing model

Schmitt, Noemi; Westerhoff, Frank H. - In: Economics letters 176 (2019), pp. 43-46

Persistent link: https://www.econbiz.de/10012121226

Breaking bad trends

Goulding, Christian L.; Harvey, Campbell R.; Mazzoleni, … - In: Financial analysts journal : FAJ 80 (2024) 1, pp. 84-98

Persistent link: https://www.econbiz.de/10014576152

A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices

Almeshal, Khalid; Naifar, Nader - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 4, pp. 374-395

Persistent link: https://www.econbiz.de/10011719674

Modeling momentum and reversals

Stein, Harvey J.; Pozharny, Jacob - In: Risks : open access journal 10 (2022) 10, pp. 1-10

Stock prices are well known to exhibit behaviors that are difficult to model mathematically. Individual stocks are observed to exhibit short term price reversals and long term momentum, while their industries only exhibit momentum. Here we show that individual stocks can be modeled by simple...

Persistent link: https://www.econbiz.de/10013555665

Default risk in stochastic volatility models

Gersbach, Hans; Surulescu, Nicolae Mircea - 2010 - This version: June 2010

We consider a stochastic volatility model of the mean-reverting type to describe the evolution of a firm’s values … default probability. Our simulation results indicate that the stochastic volatility model tends to predict higher default … probabilities than the corresponding Merton model if a firm’s credit quality is not too low. Otherwise the stochastic volatility …