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Self-exciting extreme value models for stock market crashes
Herrera, Rodrigo; Schipp, Bernhard - In: Statistical inference, econometric analysis and matrix …, (pp. 209-231). 2009
Persistent link: https://www.econbiz.de/10003781013
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On the measurement of the international propagation of shocks: is the transmission stable?
Rigobón, Roberto - In: Journal of international economics 61 (2003) 2, pp. 261-283
Persistent link: https://www.econbiz.de/10001815790
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On the measurement of the international propagation of shocks
Rigobón, Roberto - 1999
Persistent link: https://www.econbiz.de/10001418703
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Rational expectations is not generally valid for econometric models : evidence from stock market data
Chow, Gregory C. - In: Pacific economic review 2 (1997) 3, pp. 149-163
Persistent link: https://www.econbiz.de/10001229356
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On the dynamic relationship between the housing market, stock market, and macroeconomic variables in Hong Kong
So, Simon Man Shing; Huang, Red Ze Wei - In: The journal of prediction markets 16 (2022) 2, pp. 101-125
Persistent link: https://www.econbiz.de/10014289909
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Econometric models of limit-order executions
Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1997
Persistent link: https://www.econbiz.de/10000645107
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What drives stock prices? : Identifying the determinants of stock price movements
Balke, Nathan S.; Wohar, Mark E. - In: Southern economic journal 73 (2006) 1, pp. 55-78
Persistent link: https://www.econbiz.de/10003353857
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Oomen, Roel C.A. - 2009
&P 500 index confirms the simulation results. -- covariance estimation ; blocking ; realized kernel ; regularization …
Persistent link: https://www.econbiz.de/10003893144
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Competition in equity option markets
Danis, Michelle A. - 2003
Persistent link: https://www.econbiz.de/10003378879
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A blocking and regularization approach to high dimensional realized covariance estimation
Hautsch, Nikolaus; Kyj, Lada M.; Hautsch, Nikolaus - 2009
&P 500 index confirms the simulation results. -- Covariance Estimation ; Blocking ; Realized Kernel ; Regularization …
Persistent link: https://www.econbiz.de/10003909174