Similar Search Results

Identifying information asymmetry in securities markets

Back, Kerry E.; Crotty, Kevin; Li, Tao - In: The review of financial studies 31 (2018) 6, pp. 2277-2325

Persistent link: https://www.econbiz.de/10011926624

Long-lived information and intraday patterns

Back, Kerry E.; Pedersen, Hal - In: Journal of financial markets 1 (1998) 3/4, pp. 385-402

Persistent link: https://www.econbiz.de/10001426555

Heterogeneous beliefs, asset prices, and volatility in a pure exchange economy

Li, Tao - In: Journal of economic dynamics & control 31 (2007) 5, pp. 1697-1727

Persistent link: https://www.econbiz.de/10003516299

Investors' heterogeneity and implied volatility smiles

Li, Tao - In: Management science : journal of the Institute for … 59 (2013) 10, pp. 2392-2412

Persistent link: https://www.econbiz.de/10010202746

Heterogeneity and volatility puzzles in international finance

Li, Tao; Muzere, Mark L. - In: Journal of financial and quantitative analysis : JFQA 45 (2010) 6, pp. 1485-1516

Persistent link: https://www.econbiz.de/10008909156

Essays in financial economics

Li, Tao - 2000

Persistent link: https://www.econbiz.de/10010194662

Dimension reduction via penalized GLMs for non-Gaussian response : application to stock market volatility

Li, Tao; Desmond, Anthony F.; Stengos, Thanasēs - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

We fit U.S. stock market volatilities on macroeconomic and financial market indicators and some industry level financial ratios. Stock market volatility is non-Gaussian distributed. It can be approximated by an inverse Gaussian (IG) distribution or it can be transformed by Box-Cox transformation...

Persistent link: https://www.econbiz.de/10012798738

Economic policy uncertainty and the Chinese stock market volatility : novel evidence

Li, Tao; Ma, Feng; Zhang, Xuehua; Zhang, Yaojie - In: Economic modelling 87 (2020), pp. 24-33

Persistent link: https://www.econbiz.de/10012416291

Jumps and stock market variance during the COVID-19 pandemic : evidence from international stock markets

Zeng, Qing; Lu, Xinjie; Li, Tao; Wu, Lan - In: Finance research letters 48 (2022), pp. 1-6

Persistent link: https://www.econbiz.de/10013461688

Newspaper-based equity uncertainty or implied volatility index : new evidence from oil market volatility predictability

Lu, Xinjie; Ma, Feng; Li, Pan; Li, Tao - In: Applied economics letters 30 (2023) 7, pp. 960-964

Persistent link: https://www.econbiz.de/10014303607