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Stock price dynamics of China : what do the asset markets tell us about the Chinese utility function?
Kwan, Yum-keung; Dong, Jinyue - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 77-108
Persistent link: https://www.econbiz.de/10010465138
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The relationship between consumption and wealth : a quantile regression approach
Jawadi, Fredj; Sousa, Ricardo M. - In: Revue d'économie politique 124 (2014) 4, pp. 639-652
Persistent link: https://www.econbiz.de/10010486433
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Stock market spread trading : Argentina and Brazil stock indexes
Batten, Jonathan A.; Szilágyi, Péter G.; Wong, … - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 61-76
Persistent link: https://www.econbiz.de/10010465142
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Expected shortfall assessment in commodity (L)ETF portfolios with semi-nonparametric specifications
Brio, Esther B. del; Mora-Valencia, Andrés; Perote, Javier - In: The European journal of finance 25 (2019) 17, pp. 1746-1764
Persistent link: https://www.econbiz.de/10012207145
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Incomplete financial markets and jumps in asset prices
Crès, Hervé; Markeprand, Tobias; Tvede, Mich - In: Economic theory : official journal of the Society for … 62 (2016) 1/2, pp. 201-219
Persistent link: https://www.econbiz.de/10011554148
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Time scale and fractionality in financial time series
Sproul, Thomas W. - In: Agricultural finance review 76 (2016) 1, pp. 76-93
Persistent link: https://www.econbiz.de/10011695555
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The intended and unintended consequences of financial-market regulations : a general-equilibrium analysis
Buss, Adrian; Dumas, Bernard; Uppal, Raman; Vilkov, Grigory - In: Journal of monetary economics 81 (2016), pp. 25-43
Persistent link: https://www.econbiz.de/10011709400
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Winners and losers from price-level volatility : money taxation and information frictions
Cozzi, Guido; Goenka, Aditya; Kang, Minwook; Shell, Karl - In: Sunspots and non-linear dynamics : essays in honor of …, (pp. 287-402). 2017
Persistent link: https://www.econbiz.de/10011850418
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Uncertainty, investment, and managerial incentives
Glover, Brent; Levine, Oliver - In: Journal of monetary economics 69 (2015), pp. 121-137
Persistent link: https://www.econbiz.de/10011326673
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How informative is high-frequency data for tail risk estimation and forecasting? : an intrinsic time perspectice
Dimitriadis, Timo; Halbleib, Roxana - 2019
This paper proposes a novel and simple approach to compute daily Value at Risk (VaR) and Expected Shortfall (ES) directly from high-frequency data. It assumes that financial logarithm prices are subordinated unifractal processes in the intrinsic time, which stochastically transforms the clock...
Persistent link: https://www.econbiz.de/10012317619