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Institutional Heterogeneity Among Stock Exchanges : Implications for Market Efficiency
Diamond, Stephen F. - 2011
The current financial crisis is a crisis of theory as well. The dominant theory of financial markets, the efficient … apply an economic theory of nonprofits to the NYSE, and NASDAQ, to identify the incentives of Exchange members and the …
Persistent link: https://www.econbiz.de/10013133296
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Stock price fluctuation as a diffusion in a random enviroment [environment]
Föllmer, Hans - 1993
Persistent link: https://www.econbiz.de/10000881810
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Peaks or tails - what distinguished financial data?
Krämer, Walter; Runde, Ralf - 1996
Persistent link: https://www.econbiz.de/10000959254
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Extremal behaviour of diffusion models in finance
Borkovec, Milan; Klüppelberg, Claudia - 1996
Persistent link: https://www.econbiz.de/10000960264
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Compound distribution models of stock returns : an empirical comparison
Akgiray, Vedat; Boeth, G. Geoffrey - In: Journal of financial services research : JFSR 10 (1987) 3, pp. 269-280
Persistent link: https://www.econbiz.de/10003475834
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Essays on financial economics
Warusawitharana, Missaka - 2006
Persistent link: https://www.econbiz.de/10003908769
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The role of multivariate skew-student density in the estimation of stock market crashes
Wu, Lei; Meng, Qingbin; Velazquez, Julio C. - In: The European journal of finance 21 (2015) 13/15, pp. 1144-1160
Persistent link: https://www.econbiz.de/10011419786
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Nonparametric tail risk, stock returns and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016
Persistent link: https://www.econbiz.de/10011458735
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
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Testing the bivariate mixture hypothesis using German stock market data
Jung, Robert; Liesenfeld, Roman - 1996
According to the bivariate mixture hypothesis (BMH) as proposed by Tauchen and Pitts (1983) and Harris (1986,1987) the daily price changes and the correspond-ing trading volume on speculative markets follow a joint mixture of distributions with the unobservable number of daily information events...
Persistent link: https://www.econbiz.de/10010403835