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An evolutionary CAPM under heterogeneous beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - In: Annals of Finance 9 (2013) 2, pp. 185-215
persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. Copyright Springer-Verlag Berlin Heidelberg 2013 …
Persistent link: https://www.econbiz.de/10010866548
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An Evolutionary CAPM Under Heterogeneous Beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-Zhong; Li, Kai - Finance Discipline Group, Business School - 2012
persistent volatility characterized by significantly decaying autocorrelations of, and positive correlation between, price … volatility and trading volume. …
Persistent link: https://www.econbiz.de/10010643371
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Multivariate GARCH with dynamic beta
Raddant, Matthias; Wagner, Friedrich - In: The European journal of finance 28 (2022) 13/15, pp. 1324-1343
Persistent link: https://www.econbiz.de/10013532205
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Disagreement and asset prices
Carlin, Bruce Ian; Longstaff, Francis A.; Matoba, Kyle - In: Journal of financial economics 114 (2014) 2, pp. 226-238
Persistent link: https://www.econbiz.de/10010532262
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Time series momentum
Moskowitz, Tobias J.; Ooi, Yao Hua; Pedersen, Lasse Heje - In: Journal of financial economics 104 (2012) 2, pp. 228-250
Persistent link: https://www.econbiz.de/10009621174
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A evolutionary CAPM under heterogeneous beliefs
Chiarella, Carl; Dieci, Roberto; He, Xue-zhong; Li, Kai - 2012
Persistent link: https://www.econbiz.de/10009626025
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Asset pricing in large information networks
Ozsoylev, Han N.; Walden, Johan - In: Journal of economic theory 146 (2011) 6, pp. 2252-2280
Persistent link: https://www.econbiz.de/10009412908
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Essays in financial economics
Li, Tao - 2000
Persistent link: https://www.econbiz.de/10010194662
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Margin requirements and equilibrium asset prices
Coen-Pirani, Daniele - In: Journal of monetary economics 52 (2005) 2, pp. 449-475
Persistent link: https://www.econbiz.de/10002757837
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Asymmetries, correlations and fat tails in percolation markets model
Chang, Iksoo; Stauffer, Dietrich; Pandey, Ras B. - In: International journal of theoretical and applied finance 5 (2002) 6, pp. 585-597
Persistent link: https://www.econbiz.de/10001743190