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Efficient multipowers
Kolokolov, Aleksey; Renò, Roberto - In: Journal of financial econometrics : official journal of … 16 (2018) 4, pp. 629-659
Persistent link: https://www.econbiz.de/10011988002
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The semi-strong efficiency debate : in search of a new testing framework
Ziliotto, Arianna; Serati, Massimiliano - In: Research in international business and finance 34 (2015), pp. 412-438
Persistent link: https://www.econbiz.de/10011326196
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The effectiveness of central bank intervention in the EMS : the post 1993 experience
Brandner, Peter; Grech, Harald; Stix, Helmut - 2001
We analyze the effectiveness of intervention in the European Monetary System by using daily data on the DEM-intervention activity of six European central banks, covering the period from August 1993 to April 1998. To test for the influence of intervention we apply EGARCH models. To allow for...
Persistent link: https://www.econbiz.de/10011492645
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The effectiveness of central bank intervention in the EMS : the post 1993 experience
Brandner, Peter; Grech, Harald; Stix, Helmut - 2001
Persistent link: https://www.econbiz.de/10001642289
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The effectiveness of central bank intervention in the EMS : the post 1993 experience
Brandner, Peter; Grech, Harald; Stix, Helmut - 2001
Persistent link: https://www.econbiz.de/10001627329
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Foreign exchange market efficiency tests in Sub-Saharan Africa
Aron, Janine - In: Journal of African economies 6 (1997) 3, pp. 150-192
Persistent link: https://www.econbiz.de/10001337795
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Testing foreign exchange market efficiency : evidence from daily and weekly data from Japanese and Australian foreign exchange markets
Salim, Ruhul A. - In: Asian economies 24 (1995) 2, pp. 70-88
Persistent link: https://www.econbiz.de/10001186055
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Asset Issuance in Over-the-Counter Markets
Bethune, Zachary - 2018
its efficiency depend on how investors split the surplus in secondary market trade. If buyers get most of the surplus in … account the full social value of an asset when trading. We propose a tax/subsidy scheme and show how it restores efficiency …
Persistent link: https://www.econbiz.de/10012932433
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Nonparametric Estimation of the Leverage Effect : A Trade-off between Robustness and Efficiency
Kalnina, Ilze - 2015
We consider two new approaches to nonparametric estimation of the leverage effect. The first approach uses stock prices alone. The second approach uses the data on stock prices as well as a certain volatility instrument, such as the CBOE volatility index (VIX) or the Black-Scholes implied...
Persistent link: https://www.econbiz.de/10013034657
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Asset issuance in over-the-counter markets
Bethune, Zachary; Sultanum, Bruno; Trachter, Nicholas - 2017
Persistent link: https://www.econbiz.de/10011795530