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Three essays in finance

Peng, Liang - 2002

Persistent link: https://www.econbiz.de/10003780467

An empirical model of daily highs and lows

Cheung, Yin-Wong - In: International journal of finance & economics : IJFE 12 (2007) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10003416321

The profitability of technical trading rules : a combined signal approach

Lento, Camillo; Gradojevic, Nikola - In: The journal of applied business research 23 (2007) 1, pp. 13-27

Persistent link: https://www.econbiz.de/10003448357

Trading around macroeconomic announcements : are all traders created equal?

Erenburg, Grigori; Kurov, Alexander; Lasser, Dennis J. - In: Journal of financial intermediation 15 (2006) 4, pp. 470-493

Persistent link: https://www.econbiz.de/10003395882

An empirical model of daily highs and lows

Cheung, Yin-Wong (contributor) - 2006

We construct an empirical model for daily highs and daily lows of US stock indexes based on the intuition that highs and lows do not drift apart over time. Our empirical results show that daily highs and lows of three main US stock price indexes are cointegrated. Data on openings, closings, and...