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Price dynamics in a market with heterogeneous investment horizons and boundedly rational traders

Chauveau, Thierry; Subbotin, Alexander - In: Journal of economic dynamics & control 37 (2013) 5, pp. 1040-1065

Persistent link: https://www.econbiz.de/10009738270

Blitz, David; Hanauer, Matthias; Vidojevic, Milan - In: International review of economics & finance : IREF 69 (2020), pp. 932-957

Persistent link: https://www.econbiz.de/10012487461

Investigating the drivers of international comovement in real financial asset returns

McKinnon, Kate - 2019

Persistent link: https://www.econbiz.de/10012224630

The pricing of idiosyncratic volatility : an Australian study

Liu, Bin; Di Iorio, Amalia - In: Australian journal of management 41 (2016) 2, pp. 353-375

Persistent link: https://www.econbiz.de/10011577340

Investor sentiment and aggregate volatility pricing

Labidi, Chiraz; Yaakoubi, Soumaya - In: The quarterly review of economics and finance : journal … 61 (2016), pp. 53-63

Persistent link: https://www.econbiz.de/10011627506

On variance bounds for asset price changes

Lansing, Kevin J. - In: Journal of financial markets 28 (2016), pp. 132-148

Persistent link: https://www.econbiz.de/10011722241

Fundamentals unknown : momentum, mean-reversion and price-to-earnings trading in an artificial stock market

Schasfoort, Joeri; Stockermans, Christopher - 2017

The use of fundamentalist traders in the stock market models is problematic since fundamental values in the real world are unknown. Yet, in the literature to date, fundamentalists are often required to replicate key stylized facts. The authors present an agent-based model of the stock market in...

Persistent link: https://www.econbiz.de/10011723700

Semiparametric estimation of risk-return relationships

Escanciano, Juan Carlos; Pardo-Fernández, Juan Carlos; … - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 1, pp. 40-52

Persistent link: https://www.econbiz.de/10011704099

Conditional volatility exposures in asset pricing in the downside and classical framework

Markowski, Lesław - In: Research in economics and business : Central and … 7 (2015) 1, pp. 5-22

Persistent link: https://www.econbiz.de/10011656019

The impact of skew on the pricing of CoCo bonds

De Spiegeleer, Jan; Forys, Monika B.; Marquet, Ine; … - In: International journal of financial engineering 4 (2017) 1, pp. 1-19

Persistent link: https://www.econbiz.de/10011673124