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Noise, equity prices, and hedging: A new approach

Bertus, Mark; Godbey, Jonathan; Hinkelmann, Christoph; … - In: International review of financial analysis 17 (2008) 5, pp. 886-903

Persistent link: https://www.econbiz.de/10008899422

Noise, equity prices, and hedging: A new approach

Bertus, Mark; Godbey, Jonathan; Hinkelmann, Christoph; … - In: International Review of Financial Analysis 17 (2008) 5, pp. 886-902

The existence of noise trading in equity markets has possible economic implications for arbitrage, and asset pricing. In terms of pricing, noise trading can lead to excess volatility which has been shown to influence the value of options and futures. Furthermore, option research shows that...

Persistent link: https://www.econbiz.de/10005228974

Noise, equity prices, and hedging: A new approach

Bertus, Mark; Godbey, Jonathan; Hinkelmann, Christoph; … - In: International review of financial analysis 17 (2008) 5, pp. 886-902

Persistent link: https://www.econbiz.de/10008141214

A simplified approach to understanding the Kalman filter technique

Arnold, Tom; Bertus, Mark; Godbey, Jonathan - In: The engineering economist : a journal devoted to the … 53 (2008) 2, pp. 140-155

Persistent link: https://www.econbiz.de/10003762814

Minimum variance cross hedging under mean-reverting spreads, stochastic convenience yields, and jumps : application to the airline industry

Bertus, Mark; Godbey, Jonathan; Hilliard, Jimmy E. - In: The journal of futures markets 29 (2009) 8, pp. 736-756

Persistent link: https://www.econbiz.de/10003897846

Distance education and MBA student performance in finance classes

Bertus, Mark; Gropper, Daniel M.; Hinkelmann, Christoph - In: Journal of financial education 32 (2006) 3, pp. 25-36

Persistent link: https://www.econbiz.de/10003961880

Quarterly versus serial expiration in pure cost of carry markets : the case of single stock futures trading in the US

Bertus, Mark; Chu, Ting-Heng; Swidler, Steven Mark - In: Quarterly journal of finance & accounting : QJFA 47 (2008) 3, pp. 29-48

Persistent link: https://www.econbiz.de/10003759073

A note on foreign bank ownership and monitoring : an international comparison

Bertus, Mark; Jahera, John S.; Yost, Keven - In: Journal of banking & finance 32 (2008) 2, pp. 338-345

Persistent link: https://www.econbiz.de/10003647336

Hedging house price risk with CME futures contracts : the case of Las Vegas residential real estate

Bertus, Mark; Hollans, Harris; Swidler, Steven Mark - In: The journal of real estate finance and economics 37 (2008) 3, pp. 265-279

Persistent link: https://www.econbiz.de/10003766772

The relation between bank regulation and economic performance : a cross-country analysis

Bertus, Mark; Jahera, John S.; Yost, Keven - In: Banks and bank systems : international research journal 2 (2007) 3, pp. 32-45

Persistent link: https://www.econbiz.de/10003867707