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Evidence of volatility clustering on the FTSE/JSE top 40 index

Louw, Jan Paul - 2008

ENGLISH ABSTRACT: This research report investigated whether evidence of volatility clustering exists on the FTSE/JSE Top 40 Index. The presence of volatility clustering has practical implications relating to market decisions as well as the accurate measurement and reliable forecasting of...

Persistent link: https://www.econbiz.de/10009442059

The international library of financial econometrics

Lo, Andrew W. (contributor) - 2007

Persistent link: https://www.econbiz.de/10004889924

The volatility surface : a practitioner's guide

Gatheral, Jim - 2006

Persistent link: https://www.econbiz.de/10004868985

Inside volatility arbitrage : the secrets of skewness

Javaheri, Alireza - 2005

Persistent link: https://www.econbiz.de/10004830549

On the information content of idiosyncratic equity return variation

Rahman, Md. Arifur - University of Western Sydney; College of Business; … - 2007

transmission, and fundamental efficiency of stock prices. Chapter 2 of the thesis presents research into the information content of … prices in majority of the Asian emerging markets are not devoid of fundamentals. …

Persistent link: https://www.econbiz.de/10009482095

Inside the black box : the simple truth about quantitative trading

Narang, Rishi K. - 2009

Persistent link: https://www.econbiz.de/10004944937

Financial modeling of the equity market : from CAPM to cointegration

Fabozzi, Frank J.; Focardi, Sergio; Kolm, Petter N. - 2006

Persistent link: https://www.econbiz.de/10004845550

Substitution, Risk Aversion, Taste Shocks and Equity Premia.

Normandin, M.; St-Amour, P. - Département d'Économique, Université Laval - 1996

This paper investigates the testable restrictions on the time-series behavior of equity premia implied by a representative agent model whose state and time-non-separable preferences are subject to taste shocks. The model nests state and time-separable preferences with and without taste shocks as...

Persistent link: https://www.econbiz.de/10005475121

Capital as a factor of production in OECD agriculture: measurement and data.

Ball, V. Eldon; Lindamood, W.A.; Nehring, Richard; San … - 2008

convert estimates of capital stock into estimates of capital service flows by means of capital rental prices. Comparisons of … levels of capital input among countries require data on relative prices of capital input. We obtain relative price levels for … capital input via relative investment goods prices, taking into account the flow of capital input per unit of capital stock in …

Persistent link: https://www.econbiz.de/10009429438

Welfare maximization, pricing, and allocation with a product performance or environmental quality standard: Illustration for the gasoline and additives market.

Gallagher, Paul W.; Shapouri, Hosein; Price, Jeffrey - 2006

Programming models approximate market prices and quantities when regulations constrain firm choices, because market …

Persistent link: https://www.econbiz.de/10009429512