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An empirical examination of the dissemination of equity price innovations between the emerging markets of Nordic-Baltic states and major advanced markets

Ajayi, Richard A.; Mehdian, Seyed M.; Stoica, Ovidiu - In: Emerging markets finance & trade : a journal of the … 54 (2018) 1/2/3, pp. 642-660

Persistent link: https://www.econbiz.de/10012123345

Modelling the effects of regulatory discretion : Carsberg vs Spottiswoode

Robinson, Terry A. - In: Applied financial economics 10 (2000) 2, pp. 117-121

Persistent link: https://www.econbiz.de/10001525824

Asymmetric response of public utility stock returns volatility to up and down markets and deregulation

Michelfelder, Richard A. - In: Journal of mathematical finance 8 (2018) 3, pp. 576-598

Persistent link: https://www.econbiz.de/10011968724

Impact of opening up of the Taiwan futures market to foreign investors : price effects of foreign investment liberalization ; empirical analysis

Chiang, Min-Hsien; Kuo, Wen-Hsiu - In: Journal of financial management and analysis : … 28 (2015) 1, pp. 11-21

Persistent link: https://www.econbiz.de/10011403099

Modeling Intraday Momentum and Reversal by a Parsimonious Diffusion Process

Ling, Shiqing - 2019

We extend the double-well potential process to a three-parameter version in order to model intraday price dynamics, with a focus on the intraday momentum and reversal. The proposed process has a parsimonious form of three parameters controlling momentum, reversal, and volatility respectively. By...

Persistent link: https://www.econbiz.de/10012868934