Nothing Special   »   [go: up one dir, main page]
create a website
Energy price transmissions during extreme movements. (2013). Joets, Marc.
In: Working Papers.
RePEc:ipg:wpaper:2013-28.

Full description at Econpapers || Download paper

Cited: 0

Citations received by this document

Cites: 70

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

    This document has not been cited yet.

References

References cited by this document

  1. Ahn, D., Boudoukh, J., Richardson, M., and Whitelaw, R.F., 2002, Partial Adjustment or Stale Prices? Implications from Stock Index and Futures Return Autocorrelations, Review of Financial Studies, 15, 655-689.

  2. Aloui, C. and Mabrouk, S., 2010, Value-at-Risk estimations commodities via long-memory, asymmetric and fat-tailed GARCH models, Energy Policy, 38, 2326-2339.

  3. Amira, K., Taamouti, A., and Tsafack, G., 2011, What Drives International Equity Correlations? Volatility or Market Direction?, Journal of International Money and Finance, 30, 1234-63.

  4. Ang, A. and Bekaert, G., 2002, International asset allocation with regime shifts, Review of Financial Studies, 15, 1137-87.

  5. Bachmeier, L. and Gri n, J., 2006, Testing for Market Integration: Crude Oil, Coal, and Natural Gas, Energy Journal, 27, 55-72.

  6. Barberis, N, Shleifer, A., and Vishny, R., 1998, A model of investor sentiment, Journal of Financial Economics, 49, 307-43.

  7. Barrett, A. B, Barnett, L., and Seth, A. K., 2010, Multivariate Granger Causality and Generalized Variance, Physical Review E, 81:04,1907, 2-14.
    Paper not yet in RePEc: Add citation now

  8. Bollerslev, T., 1986, Generalized autoregressive conditional heteroskedacticity, Journal of Econometrics, 31, 307-327.

  9. Boudoukh, V., Richardson, M.P., and Whitelaw, R.F., 1994, A Tale of Three Schools: Insights on Autocorrelations of Short-Horizon Returns, Review of Financial Studies, 7, 539-573.

  10. Cadebo, J.D. and Moya, I., 2003, Estimating oil price ’ Value at Risk’using the historical simulation approach, Energy Economics, 25, 239-253.

  11. Campbell, J. and Diebold, F., 2009, Stock returns and expected business conditions: half a century of direct evidence, Journal of Business and Economic Statistics, 27, 266-78.

  12. Campbell, J. and Hentschel, L., 1992, No news is good news: an asymmetric model of changing volatility in stock returns, Journal of Financial Economics, 31, 281-331.

  13. Candelon, B., Joëts, M., and Tokpavi, S., 2013, Testing for Granger-causality in Distribution Tails: An application to Oil Markets Integration", Economic Modelling, vol. 31, pp. 276-285.

  14. Cao, M. and Wei, J., 2002, Stock market returns: A temperature anomaly, Working Paper, SSRN.com.
    Paper not yet in RePEc: Add citation now

  15. Creti, A., Joëts, M., and Mignon V., 2013, On the links between stock and commodity markets’volatility, Energy Economics, vol. 37, pp. 16-28.

  16. Delong, J.B., Shleifer, A., Summers, L.H., and Waldmann, R.J., 1990, Noise traders Risk in Financial Markets, Journal of Political Economy, 98, 703738.

  17. Demirer, R. and Lien, D., 2004, Firm-level return dispersion and correlation asymmetry: challenges for portfolio diversi…cation, Applied Financial Economics, 14, 447-56.

  18. Ding, L., Miyake, H., and Zou, H., 2011, Asymmetric correlations in equity returns: a fundamental-based explanation, Applied Financial Economics, 21, 389-399.

  19. Dowling, M. and Lucey, B.M., 2005, The role of feelings in investor decisionmaking, Journal of Economics Surveys, 19(2), 11-27.

  20. Dowling, M. and Lucey, B.M., 2008, Robust global mood in‡ uences in equity pricing, Journal of Multinational Financial Management, 18, 145-164.

  21. Dufour, J.-M., 2006, Monte Carlo Tests with Nuisance Parameters: a General Approach to Finite Sample Inference and Nonstandard Asymptotics, Journal of Econometrics, 27, 2, 443-477.

  22. Edelstein, P. and Kilian, L., 2007, The Response of Business Fixed Investment to Changes in Energy Prices: A Test of Some Hypotheses about the Transmission of Energy Price Shocks, The B.E. Journal of Macroeconomics, Berkeley Electronic Press, vol. 7(1), pages 35.

  23. Engle, R.F. and Manganelli S., 2004, CAViaR: Conditional autoregressive Value at Risk by regression quantile, Journal of Business and Economic Statistics, 22, 367-381.

  24. Engle, R.F., 1982, Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom In‡ ation, Econometrica, 50, 987-1007.

  25. Eom, K.S., Hahn, S.B., and Joo, S., 2004, Partial Price Adjustment and Autocorrelation in Foreign Exchange Markets, Preprint, University of California at Berkeley.
    Paper not yet in RePEc: Add citation now

  26. Fan, Y., Zhang, Y-J., Tsai, H-T., and Wei, Y-M., 2008, Estimating ’ Value at Risk’of crude oil price and its spillover eect using the GED-GARCH approach, Energy Economics, 30, 3156-3171.

  27. Feng, C.S., Wu, J.C., and Jiang, F., 2004, To compute the oil market value at risk by applying semi-parametric approach, Journal of Hubei University (Natural Science Edition), 26, 213-217.
    Paper not yet in RePEc: Add citation now
  28. Forgas, J.P., 1995, Mood and Judgment: The Aect Infusion Model (AIM), Psychological Bulletin, 117, 39-66.
    Paper not yet in RePEc: Add citation now

  29. Gelper, S. and Croux, C., 2007, Multivariate out-of-sample tests for Granger causality, Computational Statistics & Data Analysis, 51, 7, 3319-3329.

  30. Giot, P. and Laurent, S., 2003, Market risk in commodity markets: a VaR approach, Energy Economics, 25, 435-457.

  31. Gouriéroux, C. and Jasiak J., 2001, Local Likelihood Density Estimation and Value at Risk, Working Paper 31, Centre de Recherche en Economie et Statistique.
    Paper not yet in RePEc: Add citation now

  32. Hamilton, J. D., 2003, What Is an Oil Shock?, Journal of Econometrics, 113, 363-398.

  33. Hamilton, J. D., 2009, Causes and Consequences of the Oil Shock of 2007-08, Brookings Papers on Economic Activity, 40, 215-283.

  34. Hansen, B.E., 1994, Autoregressive Conditional Density Estimation, International Economic Review, 35, 705-30.

  35. Harvey, C.R. and Siddique, A., 1999, Autoregressive Conditional Skewness, Journal of Financial and Quantitative Analysis, 34, 465-488.

  36. Harvey, C.R. and Siddique, A., 2000, Conditional Skewness in Asset Pricing Tests, Journal of Finance, 55, 1263-1295.

  37. Hirshleifer, D. and Shumway, T., 2003, Good day sunshine: Stock returns and the weather, Journal of Finance, 58(3), 1009-1032.

  38. Hong, Y., Liu, Y., and Wang, S., 2009, Granger Causality in Risk and Detection of Extreme Risk Spillover between Financial Markets, Journal of Econometrics, 150 (2), 271– 287.

  39. Hong, Y., Tu, J., and Zhou, G., 2007, Asymmetries in stock returns: statistical tests and economic evaluations, Review of Financial Studies, 20, 1547-81.
    Paper not yet in RePEc: Add citation now

  40. Joëts, M. and Mignon, V., 2011, On the link between forward energy prices: A nonlinear panel cointegration approach, Energy Economics, vol. 33, pp. 1170-1175.

  41. Joëts, M., 2012, Mood-misattribution eect on energy markets: A biorhythm approach, in International Symposia in Economic Theory and Econometrics, edited by Barnett W. and Jawadi F., Emerald Publishing, Bingley, Vol. 22.
    Paper not yet in RePEc: Add citation now

  42. Joëts, M., 2013, Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics, FEEM Working Paper n 32.

  43. Jondeau, E. and Rockinger, M., 2003, Testing for Dierences in the Tails of the Stock-Market Returns, Journal of Empirical Finance, 10, 559-581.
    Paper not yet in RePEc: Add citation now
  44. Jorion, P., 2003, Value at Risk: The New Benchmark for Managing Financial Risk, McGraw-Hill companies.
    Paper not yet in RePEc: Add citation now

  45. Kahneman, D. and Tversky, A., 1979, Prospect Theory: An analysis of decision under risk, Econometrica, 47, 263-291.

  46. Kamstra, M., Kramer, L., and Levi, M.D., 2000, Losing sleep at the market: The daylight-savings anomaly, American Economic Review, 90(4), 10051011.

  47. Kamstra, M., Kramer, L., and Levi, M.D., 2003, Winter blues: a SAD stock market cycle, American Economic Review, 93, 324-343.

  48. Karolyi, A. and Stulz, R.M., 1995, Why do markets move together?, Working Paper, Ohio State University.
    Paper not yet in RePEc: Add citation now

  49. Kaufmann, R. K. and Ullman, B., 2009, Oil prices, speculation, and fundamentals: Interpreting causal relations among spot and futures prices, Energy Economics, 31, 550 - 558.

  50. Kilian, L. and Murphy, P., 2012, The Role of Inventories and Speculative Trading in the Global Market for Crude Oil, Journal of Applied Econometrics (forthcoming).
    Paper not yet in RePEc: Add citation now

  51. Kilian, L. and Murphy, P., 2012, Why Agnostic Sign Restrictions Are Not Enough: Understanding the Dynamics of Oil Market VAR Models, Journal of the European Economic Association, 10(5), October 2012, 1166-1188.

  52. Kilian, L., 2008, "A Comparison of the Eects of Exogenous Oil Supply Shocks on Output and In‡ ation in the G7 Countries", Journal of the European Economic Association, 6(1), 78-121.

  53. Kilian, L., 2008, Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?, Review of Economics and Statistics, 90(2), 216-240, May 2008.

  54. Kilian, L., 2009, Comment causes and consequences of the oil shock of 20072008, Brookings Papers on Economic Activity, 267-284.
    Paper not yet in RePEc: Add citation now

  55. Kim, C.J., Kim, Y., and Nelson, C., 2008, Pricing stock market volatility: does it matter whether the volatility is related to the business cycle?, Unpublished manuscript.

  56. Lee, J. and Strazicich, M., 2003, Minimum Lagrance multiplier unit root test with two structural breaks, The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 1082-1089.

  57. Lin, S.X. and Tamvakis, M.N., 2001, Spillover eects in energy futures markets, Energy Economics, 23, 43-66.
    Paper not yet in RePEc: Add citation now

  58. Lin, W-L., Engle, R.F., and Ito, T., 1994, Do Bulls and Bears Move Across Borders? International Transmission of Stock Returns and Volatility, The Review of Financial Studies, 7, 3, 507-538.

  59. Lombardi, M.J. and Van Robays, I., 2011, Do …nancial investors destabilize the oil price?, ECB Working Paper, 1346.

  60. Longin, F. and Solnik, B., 1995, Is the correlation in international equity returns constant: 1960-1990?, Journal of International Money and Finance, 14, 3-23.

  61. Longin, F. and Solnik, B., 2001, Extreme correlation of international equity markets, Journal of Finance, 56, 649-76.

  62. Ma, H. and Oxley, L., 2010, The integration of major fuel sources markets in China: Evidence from panel cointegration tests, Energy Economics, 32, 1139-1146.

  63. Mjelde, J.W. and Bessler, D.A., 2009, Market integration among electricity markets and their major fuel source markets, Energy Economics, 31, 482 -491.

  64. Mohammadi, H., 2009, Electricity prices and fuel costs: Long-run relations and short-run dynamics, Energy Economics, 31, 503-509.

  65. Oberndorfer, U., 2009, Energy prices, volatility, and the stock market: Evidence from the Eurozone, Energy Policy, 37, 5787 - 5795.

  66. Ramchand, L. and Susmel, R., 1998, Volatility and Cross Correlation in Global Equity Markets, Journal of Empirical Finance, 5, 397-416.
    Paper not yet in RePEc: Add citation now

  67. Sadeghi, M. and Shavvalpour, S., 2006, Energy risk management and value at risk modeling, Energy Policy, 34, 3367-3373.

  68. Sadorsky, P., 1999, Oil Price Shocks and Stock Market Activity, Energy Economics 2, 449-469.

  69. Saunders, E.M., 1993, Stock prices and wall street weather, American Economic Review, 83(5), 1337-1345.

  70. Shalen, C.T., 1993, Volume, volatility, and the dispersion of beliefs, Review of Financial Studies, 6, 405-434.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Predicting the Australian equity risk premium. (2022). Jurdi, Doureige J.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:71:y:2022:i:c:s0927538x21001906.

    Full description at Econpapers || Download paper

  2. Bond risk’s role in the equity risk-return tradeoff. (2022). Stivers, Chris ; Bansal, Naresh.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:60:y:2022:i:c:s1386418121000744.

    Full description at Econpapers || Download paper

  3. Speculation and the informational efficiency of commodity futures markets. (2021). Sulewski, Christoph ; Putz, Alexander ; Bohl, Martin T.
    In: Journal of Commodity Markets.
    RePEc:eee:jocoma:v:23:y:2021:i:c:s2405851320300362.

    Full description at Econpapers || Download paper

  4. Analysis of Dairy Product Price Transmission in Hungary: A Nonlinear ARDL Model. (2020). Lakner, Zoltan ; Farkas, Maria Fekete ; ben Abdallah, Marwa.
    In: Agriculture.
    RePEc:gam:jagris:v:10:y:2020:i:6:p:217-:d:369273.

    Full description at Econpapers || Download paper

  5. Stock market uncertainty, volatility connectedness of financial institutions, and stock-bond return correlations. (2020). Lee, Hsiu-Chuan ; Hsu, Chih-Hsiang ; Lien, Donald.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:70:y:2020:i:c:p:600-621.

    Full description at Econpapers || Download paper

  6. Indexing and stock market serial dependence around the world. (2019). Da, Zhi ; van Bekkum, Sjoerd ; Baltussen, Guido.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:132:y:2019:i:1:p:26-48.

    Full description at Econpapers || Download paper

  7. 151 Trading Strategies. (2018). Serur, Juan Andres ; Kakushadze, Zura.
    In: Springer Books.
    RePEc:spr:sprbok:978-3-030-02792-6.

    Full description at Econpapers || Download paper

  8. Macroeconomic uncertainty and the distant forward-rate slope. (2018). Connolly, Robert ; Stivers, Chris ; Dubofsky, David.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:48:y:2018:i:c:p:140-161.

    Full description at Econpapers || Download paper

  9. Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

    Full description at Econpapers || Download paper

  10. .

    Full description at Econpapers || Download paper

  11. Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

    Full description at Econpapers || Download paper

  12. Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency. (2016). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:31:y:2016:i:1:p:108-114.

    Full description at Econpapers || Download paper

  13. Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency. (2016). Rizvi, Syed Aun R. ; Alam, Nafis ; Arshad, Shaista ; Aun, Syed .
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:31:y:2016:i:c:p:108-114.

    Full description at Econpapers || Download paper

  14. Long-run international diversification. (2015). Conlon, Thomas ; cotter, john ; Genay, Ramazan.
    In: Working Papers.
    RePEc:ucd:wpaper:201502.

    Full description at Econpapers || Download paper

  15. Stock return commonality within business groups: Fundamentals or sentiment?. (2015). Kim, Woojin ; Lee, Dongwook.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:35:y:2015:i:pa:p:198-224.

    Full description at Econpapers || Download paper

  16. Information transmission between stock markets in Hong Kong, Europe and the US: New evidence on time- and state-dependence. (2015). Maderitsch, R.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:35:y:2015:i:pa:p:13-36.

    Full description at Econpapers || Download paper

  17. When Do Opening Stock Returns Tend to be Higher?. (2014). Kudryavtsev, Andrey.
    In: International Economic Journal.
    RePEc:taf:intecj:v:28:y:2014:i:3:p:445-458.

    Full description at Econpapers || Download paper

  18. Energy price transmissions during extreme movements. (2014). Joëts, Marc ; Joets, Marc.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:40:y:2014:i:c:p:392-399.

    Full description at Econpapers || Download paper

  19. Does federal funds futures rate contain information about the treasury bill rate?. (2013). Marfatia, Hardik ; Kishor, N.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:23:y:2013:i:16:p:1311-1324.

    Full description at Econpapers || Download paper

  20. Think About Tomorrow Morning: Opening Stock Returns May Show Reversals. (2013). Kudryavtsev, Andrey.
    In: Romanian Economic Journal.
    RePEc:rej:journl:v:16:y:2013:i:50:p:51-64.

    Full description at Econpapers || Download paper

  21. Energy price transmissions during extreme movements. (2013). Jots, Marc .
    In: Working Papers.
    RePEc:ipg:wpaper:28.

    Full description at Econpapers || Download paper

  22. Energy price transmissions during extreme movements. (2013). Joets, Marc.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-28.

    Full description at Econpapers || Download paper

  23. Energy price transmissions during extreme movements. (2013). Jeunet, Jully ; Joets, Marc.
    In: Working Papers.
    RePEc:ipg:wpaper:2013-028.

    Full description at Econpapers || Download paper

  24. Country-specific idiosyncratic risk and global equity index returns. (2013). Hueng, C. ; Yau, Ruey .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:25:y:2013:i:c:p:326-337.

    Full description at Econpapers || Download paper

  25. A review of the international literature on the short term predictability of stock prices conditional on large prior price changes: Microstructure, behavioral and risk related explanations. (2013). Hudson, Robert ; Gebka, Bartosz ; Amini, Shima ; Keasey, Kevin.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:26:y:2013:i:c:p:1-17.

    Full description at Econpapers || Download paper

  26. Autocorrelation and partial price adjustment. (2013). Park, Jong-Ho ; Hahn, Sang Buhm ; Anderson, Robert M. ; Eom, Kyong Shik .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:24:y:2013:i:c:p:78-93.

    Full description at Econpapers || Download paper

  27. Testing for Granger causality in distribution tails: An application to oil markets integration. (2013). Tokpavi, Sessi ; Joëts, Marc ; Candelon, Bertrand ; Joets, Marc.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:276-285.

    Full description at Econpapers || Download paper

  28. Stock Return Serial Dependence and Out-of-Sample Portfolio Performance. (2013). Uppal, Raman ; Nogales, Francisco J. ; Demiguel, Victor ; de Miguel, Victor .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:9456.

    Full description at Econpapers || Download paper

  29. MECHANISM OF AUTOCORRELATIONS OF INDIVIDUAL STOCKS OPENING RETURNS. (2013). Kudryavtsev, Andrey.
    In: Review of Economic and Business Studies.
    RePEc:aic:revebs:y:2013:i:12:kudryavtseva.

    Full description at Econpapers || Download paper

  30. Time series momentum. (2012). Pedersen, Lasse ; Ooi, Yao Hua ; Moskowitz, Tobias J..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:104:y:2012:i:2:p:228-250.

    Full description at Econpapers || Download paper

  31. Delegated trading and the speed of adjustment in security prices. (2012). Kadlec, Gregory B. ; Edelen, Roger M..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:103:y:2012:i:2:p:294-307.

    Full description at Econpapers || Download paper

  32. Are there arbitrage gaps in the UK gilt strips market?. (2012). Hodgkinson, Lynn ; Wells, Jo ; Chakravarty, Shanti P. ; Armitage, Seth.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:11:p:3080-3090.

    Full description at Econpapers || Download paper

  33. Energy price transmissions during extreme movements. (2012). Joëts, Marc ; Joets, Marc.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2012-38.

    Full description at Econpapers || Download paper

  34. Testing for crude oil markets globalization during extreme price movements. (2012). Tokpavi, Sessi ; Joëts, Marc ; Candelon, Bertrand.
    In: EconomiX Working Papers.
    RePEc:drm:wpaper:2012-28.

    Full description at Econpapers || Download paper

  35. Weather Shocks, Spot and Futures Agricultural Commodity Prices- An Analysis for India. (2012). Bhanumurthy, N R ; Kumawat, Lokendra ; Dua, Pami.
    In: Working papers.
    RePEc:cde:cdewps:219.

    Full description at Econpapers || Download paper

  36. EARLY TO RISE: WHEN OPENING STOCK RETURNS ARE HIGHER THAN DAILY RETURNS?. (2012). Kudryavtsev, Andrey.
    In: Studies in Business and Economics.
    RePEc:blg:journl:v:7:y:2012:i:3:p:58-73.

    Full description at Econpapers || Download paper

  37. Extreme Correlation of Stock and Bond Futures Markets: International Evidence. (2012). Yang, Jian ; Chui, Chin Man.
    In: The Financial Review.
    RePEc:bla:finrev:v:47:y:2012:i:3:p:565-587.

    Full description at Econpapers || Download paper

  38. A Bayesian analysis of market information linkages among NAFTA countries using a multivariate stochastic volatility model. (2011). Maller, Ross ; Fleischer, Petra ; Muller, Gernot.
    In: Journal of Economics and Finance.
    RePEc:spr:jecfin:v:35:y:2011:i:2:p:123-148.

    Full description at Econpapers || Download paper

  39. Nonlinearity, data-snooping, and stock index ETF return predictability. (2010). Yang, Jian ; Wang, Tao ; Cabrera, Juan .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:200:y:2010:i:2:p:498-507.

    Full description at Econpapers || Download paper

  40. The Weak-form Efficiency of Chinese Stock Markets. (2009). Lim, Kian-Ping ; Habibullah, Muzafar Shah.
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:8:y:2009:i:2:p:133-163.

    Full description at Econpapers || Download paper

  41. Beyond greed, fear and the iron curtain. (2008). Simon, Marta ; Durand, Robert .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:4:p:275-293.

    Full description at Econpapers || Download paper

  42. The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems. (2008). Sebastião, Helder ; Sebastios, Helder.
    In: GEMF Working Papers.
    RePEc:gmf:wpaper:2008-07.

    Full description at Econpapers || Download paper

  43. Taxation, regulation and the information efficiency of the Berlin stock exchange, 1892–1913. (2008). Gelman, Sergey ; Burhop, Carsten.
    In: European Review of Economic History.
    RePEc:cup:ereveh:v:12:y:2008:i:01:p:39-66_00.

    Full description at Econpapers || Download paper

  44. Serial correlation in the Spanish Stock Market. (2007). Gil-Alana, Luis ; DePenya, Francisco J..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:18:y:2007:i:1:p:84-103.

    Full description at Econpapers || Download paper

  45. Predicting bubbles. (2006). HICKSON, CHARLES R. ; Thompson, Earl A..
    In: Global Business and Economics Review.
    RePEc:ids:gbusec:v:8:y:2006:i:3/4:p:217-246.

    Full description at Econpapers || Download paper

  46. Intraday dynamics of stock market returns and volatility. (2006). Gencay, Ramazan ; Seluk, Faruk ; Genay, Ramazan.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:367:y:2006:i:c:p:375-387.

    Full description at Econpapers || Download paper

  47. Chasing trends: recursive moving average trading rules and internet stocks. (2005). Fong, Wai Mun ; Yong, Lawrence H. M., .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:12:y:2005:i:1:p:43-76.

    Full description at Econpapers || Download paper

  48. Stock Return Autocorrelation is Not Spurious. (2005). Park, Jong-Ho ; Hahn, Sang Buhm ; Anderson, Robert M. ; Eom, Kyong Shik .
    In: Department of Economics, Working Paper Series.
    RePEc:cdl:econwp:qt9s35b82c.

    Full description at Econpapers || Download paper

  49. Predicting Bubbles and Bubbles-Substitutes. (2004). Treussard, Jonathan ; HICKSON, CHARLES R. ; Thompson, Earl A..
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:836.

    Full description at Econpapers || Download paper

  50. Pricing Efficiency in a Thin Market with Competitive Market Makers: Box Spread Strategies in the Hang Seng Index Options Market. (2004). Joseph K. W. Fung, ; Henry M. K. Mok, ; Kenneth C. K. Wong, .
    In: The Financial Review.
    RePEc:bla:finrev:v:39:y:2004:i:3:p:435-454.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-06 23:10:55 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.