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From Diffusions to Semimartingales
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …
Persistent link: https://www.econbiz.de/10011082748
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Preface
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …
Persistent link: https://www.econbiz.de/10011082751
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High-Frequency Financial Econometrics
Aït-Sahalia, Yacine; Jacod, Jean - Princeton University Press
volatility portion of the model, including methods that are robust to market microstructure noise, and address estimation and … mathematical foundations of stochastic processes, describe the primary characteristics of high-frequency financial data, and …
Persistent link: https://www.econbiz.de/10011082768
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WHY DO INVENTORIES RISE WHEN DEMAND FALLS IN HOUSING AND OTHER MARKETS?
LAZEAR, EDWARD P. - In: The Singapore Economic Review (SER) 57 (2012) 02, pp. 1250007-1
Inventories and price changes are correlated. The inverse relation is most obvious in housing where inventories build in low-demand markets and shrink in high-demand markets. This is a puzzle. Symmetry of information among buyers and sellers would seem to imply that sellers would change their...
Persistent link: https://www.econbiz.de/10010882968
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Market behavior when preferences are generated by second-order stochastic dominance.
Dana, Rose-Anne - Université Paris-Dauphine - 2004
generated by second-order stochastic dominance (SSD). Demand, Pareto-optima and equilibria dominance are fully characterized … show that expenditure functions associated to second-order stochastic dominance, provide microeconomic foundations for a …
Persistent link: https://www.econbiz.de/10009222417
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Market behavior when preferences are generated by second-order stochastic dominance
Dana, Rose-Anne - Université Paris-Dauphine (Paris IX) - 2004
generated by second-order stochastic dominance (SSD). Demand, Pareto-optima and equilibria dominance are fully characterized … show that expenditure functions associated to second-order stochastic dominance, provide microeconomic foundations for a …
Persistent link: https://www.econbiz.de/10010707968
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Estimating the Expected Marginal Rate of Substitution: Exploiting Idiosyncratic Risk
Flood, Robert P; Rose, Andrew K - C.E.P.R. Discussion Papers - 2004
with considerable precision and time-series volatility. We then use these estimates to test for asset integration, both … assets traded on a given market share the same EMRS. The technique is also powerful enough to reject integration between the …
Persistent link: https://www.econbiz.de/10005656417
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Autocorrelation and partial price adjustment
Anderson, Robert M.; Eom, Kyong Shik; Hahn, Sang Buhm; … - In: Journal of empirical finance 24 (2013), pp. 78-93
Persistent link: https://www.econbiz.de/10010371989
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Strategic trade when securitized portfolio values are unknown
Piccotti, Louis R. - In: Journal of banking & finance 115 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012489199
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Autocorrelation and partial price adjustment
Anderson, Robert M.; Eom, Kyong Shik; Hahn, Sang Buhm; … - In: Journal of Empirical Finance 24 (2013) C, pp. 78-93
Stock return autocorrelation contains spurious components—the nonsynchronous trading effect (NT) and bid–ask bounce (BAB)—and genuine components—partial price adjustment (PPA) and time-varying risk premia (TVRP). We identify a portion that can unambiguously be attributed to PPA, using...
Persistent link: https://www.econbiz.de/10011042103