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How do skilled traders change the structure of the market
Vacha, Lukas; Barunik, Jozef; Vošvrda, Miloslav S. - In: International review of financial analysis 23 (2012), pp. 66-71
Persistent link: https://www.econbiz.de/10009690118
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Short selling by individual investors : destabilizing or price discovering?
Jung, Chan Shik; Kim, Woojin; Lee, Dong Wook - In: Pacific-Basin finance journal 21 (2013) 1, pp. 1232-1248
Persistent link: https://www.econbiz.de/10009693384
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Market specific news and its impact on electricity prices : forward premia
Lazarczyk, Ewa - 2013
This paper studies the impact of market specific news on the short-time forward premia on the Scandinavian electricity market. I show that the short time premia between the day-ahead and intra-day electricity prices on the Scandinavian market can be explained by the arrival of news specific to...
Persistent link: https://www.econbiz.de/10009702265
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High-frequency financial data modeling using Hawkes processes
Chavez-Demoulin, Valerie; McGill, James A. - In: Journal of banking & finance 36 (2012) 12, pp. 3415-3426
Persistent link: https://www.econbiz.de/10009660437
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Endogenous dividend dynamics and the term structure of dividend strips
Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, … - 2012
Persistent link: https://www.econbiz.de/10009666681
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Modeling and forecasting of multivariate stock market volatility
Gribisch, Bastian - 2012
Persistent link: https://www.econbiz.de/10009714192
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Essays on empirical asset pricing and investor behavior
Westheide, Christian - 2011
Persistent link: https://www.econbiz.de/10009412402
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Asset prices in a lifecycle economy
Farmer, Roger E. A. - 2014
Persistent link: https://www.econbiz.de/10010363302
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Asset prices in a lifecycle economy
Farmer, Roger E. A. - 2014
Persistent link: https://www.econbiz.de/10010339678
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The limits to arbitrage and the low-volatility anomaly
Li, Xi; Sullivan, Rodney N.; Garcia-Feijóo, Luis - In: Financial analysts' journal : FAJ 70 (2014) 1, pp. 52-63
Persistent link: https://www.econbiz.de/10010253409