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Informationseffizienz auf Kapitalmärkten : Konzepte und empirische Ergebnisse

Sapusek, Annemarie - 1998

Persistent link: https://www.econbiz.de/10000985364

Market entry waves and volatility outbursts in stock markets

Blaurock, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - 2017

We develop a simple agent-based financial market model in which speculators' market entry decisions are subject to herding behavior and market risk. Moreover, speculators' orders depend on price trends, market misalignments and fundamental news. Using a mix of analytical and numerical tools, we...

Persistent link: https://www.econbiz.de/10011702006

Market entry waves and volatility outbursts in stock markets

Schwartz, Ivonne; Schmitt, Noemi; Westerhoff, Frank H. - In: Journal of economic behavior & organization : JEBO 153 (2018), pp. 19-37

Persistent link: https://www.econbiz.de/10011986639

Inside volatility arbitrage : the secrets of skewness

Javaheri, Alireza - 2005

Persistent link: https://www.econbiz.de/10013490205

Credit for equity investment and stock market volatility : evidence of variance causality

Onour, Ibrahim A. - In: International journal of monetary economics and finance 8 (2015) 3, pp. 265-273

Persistent link: https://www.econbiz.de/10011502638

An empirical investigation on stock market anomalies : the evidence from Colombo stock exchange in Sri Lanka

Deyshappriya, N. P. Ravindra - In: International journal of economics and finance 6 (2014) 3, pp. 177-187

Persistent link: https://www.econbiz.de/10010350423

Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements

Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303

Persistent link: https://www.econbiz.de/10003870055

Volatility risk and january effect : evidence from Japan

Li, Jingya; Gong, Jian - In: International journal of economics and finance 7 (2015) 6, pp. 25-30

Persistent link: https://www.econbiz.de/10011292407

Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks

Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22

-linearity, and multiple seasonality or time-varying correlations. Our study indicates that the joint dual long-memory process can … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …

Persistent link: https://www.econbiz.de/10013272684

Weekend gold returns in bull and bear markets

Blose, Laurence E.; Gondhalekar, Vijay - In: Accounting and finance : journal of the Accounting … 53 (2013) 3, pp. 609-623

Persistent link: https://www.econbiz.de/10010128920

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