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A basic model of real-financial market interactions with heterogeneous opinion dynamics

Hartmann, Florian; Charpe, Matthieu; Flaschel, Peter; … - 2016

We consider an alternative modelling approach to the mainstream DSGE paradigm, namely a Dynamic Stochastic General Disequilibrium (DSGD) baseline model of continuous and gradual adjustment processes on interacting real and financial markets. Heterogeneous capital gain expectations (chartists and...

Persistent link: https://www.econbiz.de/10011490978

Indicator for describing bull and bear markets : asymmetry and persistence perspective

Natthinee Thampanya; Chanapol Pornpikul - In: Southeast Asian journal of economics 8 (2020) 1, pp. 39-81

Persistent link: https://www.econbiz.de/10012813428

The memory of stock return volatility : asset pricing implications

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Sibbertsen, … - In: Journal of financial markets 47 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012631778

Volatility persistence in the Russian stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - In: Finance research letters 32 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012430826

Essays on financial time series with a focus on high-frequency data

Becker, Janis - 2020

Persistent link: https://www.econbiz.de/10012225306

Cycles and long-range behaviour in the European stock markets

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2019

This paper uses a modelling framework which includes two singularities (or poles) in the spectral density function, one corresponding to the long-run (zero) frequency and the other to the cyclical (non-zero) frequency. The adopted specification is very general, since it allows for fractional...

Persistent link: https://www.econbiz.de/10012123055

Asset prices and "the devil(s) you know"

Hollstein, Fabian; Nguyen, Duc Binh Benno; Prokopczuk, … - In: Journal of banking & finance 105 (2019), pp. 20-35

Persistent link: https://www.econbiz.de/10012163795

Persistence in the realized betas : some evidence for the Spanish stock market

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020

applied to estimate their degree of persistence at the daily, weekly and monthly frequency over the period 1 January 2000 – 15 …

Persistent link: https://www.econbiz.de/10012194334

The Covid-19 pandemic and the degree of persistence of US stock prices and bond yields

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; Poza, Carlos - 2021

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock …-December 2020 and then a recursive approach is taken to examine whether or not persistence has changed during the following …. The recursive analysis shows no impact of the Covid-19 pandemic on the persistence of stock prices, whilst there is an …

Persistent link: https://www.econbiz.de/10012494826

Assessing the consistency among accounting measures of earnings quality : a study of stocks listed on national stock exchange 500

Munjal, Shikhil; Singh, Gurcharan; Jearth, Palvi - In: International journal of economics and financial issues … 11 (2021) 4, pp. 19-26

Persistent link: https://www.econbiz.de/10012610618