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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

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

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

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

Bajgrowicz, Pierre; Scaillet, Olivier - In: Journal of financial economics 106 (2012) 3, pp. 473-491

Persistent link: https://www.econbiz.de/10009710169

Inference on the long-memory properties of time series with non-stationary volatility

Demetrescu, Matei; Sibbertsen, Philipp - 2014

-varying volatility of the data generating process can have rather adverse effects when inferring about its persistence; e.g. unit root …

Persistent link: https://www.econbiz.de/10010375374

On the persistence and pricing of industry-wide and firm-specific earnings, cash flows, and accruals

Hui, Kai Wai; Nelson, Karen K.; Yeung, P. Eric - In: Journal of accounting & economics 61 (2016) 1, pp. 185-202

Persistent link: https://www.econbiz.de/10011453910

Non-linearity, persistence and spillover effects in stock returns : the role of the volatility index

Wu, Po-Chin; Pan, Sheng-Chieh; Tai, Xue-Ling - In: Empirica : journal of european economics 42 (2015) 3, pp. 597-613

Persistent link: https://www.econbiz.de/10011485602

Price-price deviations are highly persistent

Vaona, Andrea - In: Structural change and economic dynamics : SC+ED 33 (2015), pp. 86-95

Persistent link: https://www.econbiz.de/10011563976

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

Hölzl, Alexander - 2014

Persistent link: https://www.econbiz.de/10010468927

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