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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

Forecasting volatility of Saudi stock market (TASI) and sectoral indices

Kumaran, Sunitha - In: Afro-Asian Journal of Finance and Accounting : AAJFA 13 (2023) 6, pp. 819-842

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Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - In: Computational economics 64 (2024) 6, pp. 3543-3553

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Revisiting the performance of the scaled momentum strategies

Butt, Hilal Anwar; Sadaqat, Mohsin; Tahir, Muhammad - In: China finance review international 12 (2022) 3, pp. 519-539

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Performance persistence of closed-end funds

Elyasiani, Elyas; Jia, Jingyi - In: Review of quantitative finance and accounting 37 (2011) 3, pp. 381-408

Persistent link: https://www.econbiz.de/10009301279

Technical trading revisited : false discoveries, persistence tests, and transaction costs

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On the detection of extreme movements and persistent behaviour in Mediterranean stock markets : a wavelet-based approach

Aloui, Chaker; Nguyen, Duc Khuong - In: Applied economics 46 (2014) 22/24, pp. 2611-2622

Persistent link: https://www.econbiz.de/10010417178

Earnings persistence and stock prices : empirical evidence from an emerging market

Dawar, Varun - In: Journal of financial reporting & accounting : JFRA 12 (2014) 2, pp. 117-134

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Essays on persistence in growth rates and the success of the British Premium Bond

Hölzl, Alexander - 2014

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Fractional integration of the price-dividend ratio in a present-value model of stock prices

Goliñski, Adam; Madeira, João; Rambaccussing, Dooruj - 2015

Persistent link: https://www.econbiz.de/10010513447