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How do investors' expectations drive asset prices?
Lüders, Erik; Peisl, Bernhard - 2001
Asset price processes are completely described by information processes and investors´ preferences. In this paper we … stylized facts that look at first hand like financial market anomalies may be explained by an information process with …
Persistent link: https://www.econbiz.de/10011445936
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Bubbles and long range dependence in asset prices volatilities
Kirman, Alan P.; Teysière, Gilles - In: Equilibrium, markets and dynamics : essays in honour of …, (pp. 307-323). 2002
Persistent link: https://www.econbiz.de/10001685789
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Bubbles and long-range dependence in asset prices volatilities
Kirman, Alan P.; Teyssière, Gilles - 2002
Persistent link: https://www.econbiz.de/10001720525
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Dynamic asset pricing models with nonparametric expectations
Wöhrmann, Peter - 2002
Persistent link: https://www.econbiz.de/10001665121
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The information environment, informed trading, and volatility
Blasco de las Heras, Natividad; Corredor, Pilar - In: The journal of behavioral finance : a publication of … 18 (2017) 2, pp. 202-218
Persistent link: https://www.econbiz.de/10012008698
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Testing for jumps based on high-frequency data : a method exploiting microstructure noise
Liu, Guangying; Xiang, Jing; Cang, Yuquan - In: Quantitative finance 20 (2020) 11, pp. 1795-1809
Persistent link: https://www.econbiz.de/10012313515
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A note on Stein's overreaction puzzle
Lin, Yuehao; Lehnert, Thorsten - In: Decisions in economics and finance : a journal of … 43 (2020) 1, pp. 269-276
Persistent link: https://www.econbiz.de/10012285399
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Fact or friction : jumps at ultra high frequency
Christensen, Kimberly; Oomen, Roel C. A.; Podolskij, Mark - In: Journal of financial economics 114 (2014) 3, pp. 576-599
Persistent link: https://www.econbiz.de/10010532687
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Modeling microstructure price dynamics with symmetric Hawkes and diffusion model using ultra-high-frequency stock data
Lee, Kyungsub; Seo, Byoung Ki - In: Journal of economic dynamics & control 79 (2017), pp. 154-183
Persistent link: https://www.econbiz.de/10011817616
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The microstructural foundations of leverage effect and rough volatility
El Euch, Omar; Fukasawa, Masaaki; Rosenbaum, Mathieu - In: Finance and stochastics 22 (2018) 2, pp. 241-280
Persistent link: https://www.econbiz.de/10011945670