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Price reversals and price continuations following large price movements

Dyl, Edward A.; Yuksel, H. Zafer; Zaynutdinova, Gulnara R. - In: Journal of business research : JBR 95 (2019), pp. 1-12

Persistent link: https://www.econbiz.de/10011979720

Price Reversals and Price Continuations Following Large Price Movements

Dyl, Edward Alexander - 2020

We concurrently examine price reversals and price continuations that follow extreme one-day price changes in the period 1986–2015. Consistent with the overreaction and underreaction hypotheses, we find that investors overreact to non-information-based price movements and underreact to public...

Persistent link: https://www.econbiz.de/10012847344

Testing option pricing models with stochastic volatility, random jump and stochastic interest rate

Jiang, George J. - In: International review of finance 3 (2002) 3/4, pp. 233-272

Persistent link: https://www.econbiz.de/10002504517

Stochastic volatility and option pricing

Jiang, George J. - In: Forecasting volatility in the financial markets, (pp. 131-171). 2007

Persistent link: https://www.econbiz.de/10003872887

Stochastic volatility and jump-diffusion : implications on option pricing

Jiang, George J. - In: International journal of theoretical and applied finance 2 (1999) 4, pp. 381-407

Persistent link: https://www.econbiz.de/10001438710

Nonparametric modeling of US interest rate term structure dynamics and implications on the prices of derivative securities

Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 4, pp. 465-497

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Nonparametric estimation of the short rate diffusion process from a panel of yields

Sam, Abdoul G.; Jiang, George J. - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 5, pp. 1197-1230

Persistent link: https://www.econbiz.de/10003939135

Misreaction or misspecification? : a re-examination of volatility anomalies

Jiang, George J.; Tian, Yisong Sam - In: Journal of banking & finance 34 (2010) 10, pp. 2358-2369

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Estimating latent variables and jump diffusion models using high-frequency data

Jiang, George J.; Oomen, Roel C. A. - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10003518278

Estimation of continuous-time processes via the empirical characteristic function

Jiang, George J.; Knight, John L. - In: Journal of business & economic statistics : JBES ; a … 20 (2002) 2, pp. 198-212

Persistent link: https://www.econbiz.de/10001660376