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Unraveling S&P500 stock volatility and networks : an encoding-and-decoding approach

Wang, Xiaodong; Hsieh, Fushing - In: Quantitative finance 22 (2022) 5, pp. 997-1016

Persistent link: https://www.econbiz.de/10013367879

Stock market prediction based on adaptive training algorithm in machine learning

Kim, Hongjoong; Jun, Sookyung; Moon, Kyoung-Sook - In: Quantitative finance 22 (2022) 6, pp. 1133-1152

Persistent link: https://www.econbiz.de/10013367889

An adaptive model for security prices driven by latent values : parameter estimation and option pricing effects

Hilliard, Jimmy E.; Hilliard, Jitka; Ni, Yinan - In: Quantitative finance 22 (2022) 7, pp. 1231-1246

Persistent link: https://www.econbiz.de/10013367896

Time-dependent relations between gaps and returns in a Bitcoin order book

Mota-Navarro, Roberto; Monroy-Castillero, Paulino; … - In: Quantitative finance 22 (2022) 7, pp. 1343-1354

Persistent link: https://www.econbiz.de/10013367903

Modeling price clustering in high-frequency prices

Holý, Vladimír; Tomanová, Petra - In: Quantitative finance 22 (2022) 9, pp. 1649-1663

Persistent link: https://www.econbiz.de/10013367939

On tree-structured linear and quantile regression-based asset pricing

Galakis, John; Vrontos, Ioannis; Xidonas, Panos - In: Review of accounting & finance 21 (2022) 3, pp. 204-245

Persistent link: https://www.econbiz.de/10013368270

How do shocks arise and spread across stock markets? : a microstructure perspective

Bongaerts, Dion; Roll, Richard; Rösch, Dominik; Dijk, … - In: Management science : journal of the Institute for … 68 (2022) 4, pp. 3071-3089

Persistent link: https://www.econbiz.de/10013368378

The earnings expectations game and the dispersion anomaly

Veenman, David; Verwijmeren, Patrick - In: Management science : journal of the Institute for … 68 (2022) 4, pp. 3129-3149

Persistent link: https://www.econbiz.de/10013368387

Economic policy uncertainty and stock prices in BRIC countries : evidence from asymmetric frequency domain causality approach

Aydin, Mucahit; Pata, Ugur Korkut; Inal, Veysel - In: Applied economic analysis : AEA 30 (2022) 89, pp. 114-131

Persistent link: https://www.econbiz.de/10013368458

Long-run linkages between US stock prices and cryptocurrencies : a fractional cointegration analysis

Caporale, Guglielmo Maria; Dios Mazariegos, José Javier; … - 2022

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties of the four main cryptocurrencies in terms of market capitalization (BTC, ETH, USDT, BNB) and of four US stock market indices (S&P500, NASDAQ, Dow Jones and MSCI for emerging...

Persistent link: https://www.econbiz.de/10013368898