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Mean reversion models of financial markets
Hillebrand, Eric - 2003 - [Elektronische Ressource]
Mean reversion, volatility persistence, long memory, time scales, stochastic volatility, GARCH, spurious long memory … stock market crashes. Turning to the second moment of the return distribution, expected volatility, I consider mean …
Persistent link: https://www.econbiz.de/10001774355
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La diversification internationale des portefeuilles : réexamen de ses fondements et rôle de l'information asymétrique
Vuaillat, Marie-José - 2000
Persistent link: https://www.econbiz.de/10001547031
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The link between financial markets and the macroeconomy : evidence from survey data
Vrugt, Evert Barteld - 2009
Persistent link: https://www.econbiz.de/10003905520
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Essays in financial economics : empirical research on the Japanese stock market
Iwasawa, Seiichiro - 2003
Persistent link: https://www.econbiz.de/10003628392
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Risk and return on technology stocks and the aggregate stock market
Khatchatrian, Varoujan - 2004
Persistent link: https://www.econbiz.de/10003384712
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Tail risk and long memory in financial markets
Nguyen, Duc Binh Benno - 2018
Persistent link: https://www.econbiz.de/10012173996
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Booms and busts in asset prices : risk modeling, bubble detection, and the role of monetary policy
Beckers, Benjamin - 2017
Persistent link: https://www.econbiz.de/10012659432
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Price limits and the stock market in Taiwan
Shen, Da-bai - 1992
Persistent link: https://www.econbiz.de/10000932083
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Asset price volatility and option hedging in imperfectly elastic markets
Frey, Rüdiger - 1995
Persistent link: https://www.econbiz.de/10000936296