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Empirical evidence on the dynamics of investment under uncertainty in the US

Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019

Persistent link: https://www.econbiz.de/10012224674

Empirical evidence on the dynamics of investment under uncertainty in the U.S.

Haque, Qazi; Magnusson, Leandro M.; Tomioka, Kazuki - 2019

Persistent link: https://www.econbiz.de/10012208719

Estimating the stock/portfolio volatility and the volatility of volatility : a new simple method

Alghalith, Moawia - In: Econometric reviews 35 (2016) 1/4, pp. 257-262

Persistent link: https://www.econbiz.de/10011549920

Robust optimal reinsurance and investment strategies for an AAI with multiple risks

Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 89 (2019), pp. 63-78

Persistent link: https://www.econbiz.de/10012133510

Time-varying investment dynamics in the USA

Mendieta-Muñoz, Ivan - 2024

We study the time-varying effects of Tobin's q and cash flow on investment dynamics in the USA using a vector … variation over time of the response of investment to shocks in both variables. The time-varying sensitivity of investment to a … show that, although Tobin's q and cash flow are complementary sources of information for investment decisions, their …

Persistent link: https://www.econbiz.de/10014483612

Renewable energy investment under stochastic interest rate with regime-switching volatility

Detemple, Jérôme B.; Kitapbayev, Yerkin; Reppen, A. Max - In: Energy economics 136 (2024), pp. 1-18

Persistent link: https://www.econbiz.de/10015046931

What should the value of lambda be in the exponentially weighted moving average volatility model?

Bollen, Bernard - In: Applied economics 47 (2015) 7/9, pp. 853-860

Persistent link: https://www.econbiz.de/10010512092

Asymmetry in the price impact of trades in an high-frequency microstructure model with jumps

Jondeau, Eric; Lahaye, Jérôme; Rockinger, Michael - 2013

We estimate a general microstructure model of the transitory and permanent impact of order flow on stock prices. Jumps are detected in both the transaction price (observation equation) and fundamental value (state equation). The model's parameters and variances are updated in real time. Prices...

Persistent link: https://www.econbiz.de/10010256970

Portfolio speculation and commodity price volatility in a stochastic storage model

Vercammen, James Alfred; Doroudian, Ali - In: American journal of agricultural economics 96 (2014) 2, pp. 517-532

Persistent link: https://www.econbiz.de/10010411908

Estimation of geometric Brownian motion model with a t-distribution-based particle filter

Nkemnole, Bridget; Abass, Olaide - In: Journal of economic and financial sciences : JEF 12 (2019) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10012018946

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