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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
We use the Bayesian method introduced by Gallant and McCulloch (2009) to estimate consumption-based asset pricing models featuring smooth ambiguity preferences. We rely on semi-nonparametric estimation of a flexible auxiliary model in our structural estimation. Based on the market and aggregate...
Persistent link: https://www.econbiz.de/10011780610
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UNDERSTANDING THE EFFECT OF SEQUENTIAL PRODUCT INFORMATION RELEASE EVENTS ON FIRMS’ STOCK PRICES : AN EMPIRICAL INVESTIGATION OF INFORMATION ASYMMETRY THEORIES
Mishra, Debi - 2022
conceptual model that draws upon information asymmetry theories, i.e., signaling and agency theory to hypothesize the effect of …
Persistent link: https://www.econbiz.de/10014359221
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Security prices as Markov Processes : some evidence on the random character of stock prices in the Nigeria Bourse
Idolor, E. J.; Okoro, O.; Braimah, A. G. - In: Accounting and taxation review : A&TR 2 (2018) 1, pp. 136-151
Persistent link: https://www.econbiz.de/10012203076
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Optimal execution of time-constrained portfolio transactions
AitSahlia, Farid; Sheu, Yuan-chyuan; Pardalos, Panos M. - In: Computational methods in financial engineering : essays …, (pp. 95-102). 2008
Persistent link: https://www.econbiz.de/10003669455
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Stochastically induced critical depensation and risk of stock collapse
Poudel, Diwakar; Sandal, Leif K.; Kvamsdal, Sturla Furunes - In: Marine resource economics 30 (2015) 3, pp. 297-313
Persistent link: https://www.econbiz.de/10011313703
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Predictions, nonlinearities and portfolio choice : applications of artificial neural networks to German market indexes
Kruse, Friedrich Christian - 2012 - 1. Aufl
Persistent link: https://www.econbiz.de/10009628440
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Liquidity in a binomial market
Gökay, Selim; Soner, Halil Mete - In: Mathematical finance : an international journal of … 22 (2012) 2, pp. 250-276
Persistent link: https://www.econbiz.de/10009613203
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Dynamische Portfolio-Selektion in stetiger Zeit unter Berücksichtigung von Kurssprüngen
Nietert, Bernhard - In: Operations research proceedings 1998 : selected papers …, (pp. 331-340). 1999
Persistent link: https://www.econbiz.de/10001437672
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Uncertainty and the comparative dynamics of stock price
Barney, L. Dwayne - In: International review of economics & finance : IREF 6 (1997) 4, pp. 405-419
Persistent link: https://www.econbiz.de/10001235519