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An idea of risk-neutral momentum and market fear

Schadner, Wolfgang - In: Finance research letters 37 (2020), pp. 1-6

Persistent link: https://www.econbiz.de/10012484870

Predicting VaR for China's stock market : a score-driven model based on normal inverse Gaussian distribution

Song, Shijia; Li, Handong - In: International review of financial analysis 82 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013426497

The distribution of transaction intervals in common stock trading

Ha, Daesung - In: International review of economics & finance : IREF 7 (1998) 1, pp. 103-115

Persistent link: https://www.econbiz.de/10001237955

A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles

Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 599-635

Persistent link: https://www.econbiz.de/10011440574

On the moving average buy-sell trading rule

Ren, Louie; Ren, Peter - In: Managerial finance 42 (2016) 2, pp. 74-81

Persistent link: https://www.econbiz.de/10011539292

Revisiting seasonality in overnight and daytime returns in the U.S. equity markets : mean-variance, sharpe ratio and stochastic dominance approaches

Monteiro, João Dionísio; Ferreira, Ernesto Raúl - In: Finance a úvěr 69 (2019) 4, pp. 384-414

Persistent link: https://www.econbiz.de/10012137448

Impacts of economic integration on stock market dependence without jump effects

Chuang, Chung-Chu; Lee, Jeff T. C.; Wu, Chih-Chiang - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 132-143

Persistent link: https://www.econbiz.de/10012122860

A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles

Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 599-635

We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock that drives the movements of...

Persistent link: https://www.econbiz.de/10011757753

Momentum in the Chinese stock market : evidence from stochastic oscillator indicators

Ni, Yensen; Liao, Yi-Ching; Huang, Paoyu - In: Emerging markets finance & trade : a journal of the … 51 (2015), pp. 99-110

Persistent link: https://www.econbiz.de/10011603395

Mean reversion in stock prices of seven Asian stock markets : unit root test and stationary test with Fourier functions

Wang, Juan; Zhang, Dongxiang; Zhang, Jian - In: International review of economics & finance : IREF 37 (2015), pp. 157-164

Persistent link: https://www.econbiz.de/10011538307