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Explaining the statistical features of the Spanish stock market from the bottom-up
Pascual, José A.; Pajares Gutiérrez, Javier; … - In: Advances in artificial economics : the economy as a …, (pp. 283-294). 2006
Persistent link: https://www.econbiz.de/10003481691
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Understanding asset prices : an overview ; 2006 Autumn Meeting of Central Banks Economists
Hördahl, Peter; Packer, Frank - 2007
Persistent link: https://www.econbiz.de/10003462349
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Multifrequency jump-diffusions : an equilibrium approach
Calvet, Laurent E.; Fisher, Adlai - 2006
Persistent link: https://www.econbiz.de/10003407529
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Stochastic volatility models for ordinal valued time series with application to finance
Müller, Gernot (contributor); Czado, Claudia (contributor) - 2006
In this paper we introduce two stochastic volatility models where the response variable takes on only finite many …
Persistent link: https://www.econbiz.de/10003422189
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Rational pessimism, rational exuberance, and asset pricing models
Bansal, Ravi; Gallant, A. Ronald; Tauchen, George Eugene - 2007
financial markets such as the size of the equity premium and the volatility of the stock market. In one model, the long run … significance levels, and they can track quite closely a new measure of realized annual volatility. Further scrutiny using a rich …
Persistent link: https://www.econbiz.de/10003472860
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A nonlinear structural model for volatility clustering
Gaunersdorfer, Andrea; Hommes, Cars H. - In: Long memory in economics : with 50 tables, (pp. 265-288). 2006
Persistent link: https://www.econbiz.de/10003375647
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Volatility clustering in financial markets : empirical facts and agent-based models
Cont, Rama - In: Long memory in economics : with 50 tables, (pp. 289-309). 2006
Persistent link: https://www.econbiz.de/10003375648
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Determinants of financial stress and recovery during the great recession
Aizenman, Joshua; Pasricha, Gurnain Kaur - 2010
In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price...
Persistent link: https://www.econbiz.de/10008689040
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Monetary policy and stock market booms
Christiano, Lawrence J.; Ilut, Cosmin L.; Motto, Roberto; … - 2010
Persistent link: https://www.econbiz.de/10008695812
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Structural change in stock price volatility of Asian financial markets
Kim, Jin Woong; Seo, Byeongseon; Leatham, David J. - In: Journal of economic research 15 (2010) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10003979358