Nothing Special   »   [go: up one dir, main page]
create a website
The econometrics of financial markets. (1996). pagan, adrian.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

Full description at Econpapers || Download paper

Cited: 355

Citations received by this document

Cites: 254

References cited by this document

Cocites: 66

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. (2023). Tardella, Fabio ; Martino, Manuel L ; Cesarone, Francesco.
    In: OR Spectrum: Quantitative Approaches in Management.
    RePEc:spr:orspec:v:45:y:2023:i:3:d:10.1007_s00291-023-00719-x.

    Full description at Econpapers || Download paper

  2. Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w.

    Full description at Econpapers || Download paper

  3. “Less is more” or “more is better”? The effect of asymmetric information distribution on market efficiency and wealth inequality. (2023). Morone, Andrea ; Nuzzo, Simone ; Caferra, Rocco.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:18:y:2023:i:2:d:10.1007_s11403-022-00365-6.

    Full description at Econpapers || Download paper

  4. The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis. (2023). Gungor, Selim ; Erer, Elif.
    In: Financial Innovation.
    RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00484-4.

    Full description at Econpapers || Download paper

  5. Heterogeneous tail generalized common factor modeling. (2023). Polak, Pawe ; Paolella, Marc S ; Naf, Jeffrey ; Hediger, Simon.
    In: Digital Finance.
    RePEc:spr:digfin:v:5:y:2023:i:2:d:10.1007_s42521-023-00083-z.

    Full description at Econpapers || Download paper

  6. Many learning agents interacting with an agent-based market model. (2023). Gebbie, Tim ; Paskaramoothy, Andrew ; Dicks, Matthew.
    In: Papers.
    RePEc:arx:papers:2303.07393.

    Full description at Econpapers || Download paper

  7. .

    Full description at Econpapers || Download paper

  8. Comparison of empirical and shrinkage correlation algorithm for clustering methods in the futures market. (2022). di Iura, Andrea.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:2:y:2022:i:8:d:10.1007_s43546-022-00265-8.

    Full description at Econpapers || Download paper

  9. A Bayesian analysis of gain-loss asymmetry. (2022). Terenzi, Giulia ; di Iura, Andrea.
    In: SN Business & Economics.
    RePEc:spr:snbeco:v:2:y:2022:i:5:d:10.1007_s43546-022-00207-4.

    Full description at Econpapers || Download paper

  10. Determinism and Non-linear Behaviour of Log-return and Conditional Volatility: Empirical Analysis for 26 Stock Markets. (2022). Dhifaoui, Zouhaier.
    In: South Asian Journal of Macroeconomics and Public Finance.
    RePEc:sae:smppub:v:11:y:2022:i:1:p:69-94.

    Full description at Econpapers || Download paper

  11. Disposition Effect and its outcome on endogenous price fluctuations. (2022). Tramontana, Fabio ; Cafferata, Alessia.
    In: MPRA Paper.
    RePEc:pra:mprapa:113904.

    Full description at Econpapers || Download paper

  12. Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region. (2022). Hedhli, Amel ; Chebbi, Ali.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:84:y:2022:i:c:p:430-445.

    Full description at Econpapers || Download paper

  13. Heavy tailed distributions in closing auctions. (2022). de Vilder, R ; Kleijn, B ; Derksen, M.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:593:y:2022:i:c:s0378437122000620.

    Full description at Econpapers || Download paper

  14. Modelling and forecasting based on recursive incomplete pseudoinverse matrices. (2022). Oreilly, Philip ; Morrison, John P ; Kyziropoulos, Panagiotis E ; filelis -Papadopoulos, Christos K ; Filelis-Papadopoulos, Christos K.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:197:y:2022:i:c:p:358-376.

    Full description at Econpapers || Download paper

  15. The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns. (2022). Karagiorgis, Ariston ; Drakos, Konstantinos.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001111.

    Full description at Econpapers || Download paper

  16. An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves.
    In: Papers.
    RePEc:arx:papers:2206.09772.

    Full description at Econpapers || Download paper

  17. Long memory self-exciting jump diffusion for asset prices modeling. (2022). Hainaut, Donatien ; Njike, Charles G.
    In: LIDAM Discussion Papers ISBA.
    RePEc:aiz:louvad:2022003.

    Full description at Econpapers || Download paper

  18. .

    Full description at Econpapers || Download paper

  19. Modelling Stock Markets by Multi-agent Reinforcement Learning. (2021). Palminteri, Stefano ; Bourgeois-Gironde, Sacha ; Lazarevich, Ivan ; Lussange, Johann ; Gutkin, Boris.
    In: Computational Economics.
    RePEc:kap:compec:v:57:y:2021:i:1:d:10.1007_s10614-020-10038-w.

    Full description at Econpapers || Download paper

  20. Uncertainty of M&As under asymmetric estimation. (2021). Kanungo, Rama Prasad.
    In: Journal of Business Research.
    RePEc:eee:jbrese:v:122:y:2021:i:c:p:774-793.

    Full description at Econpapers || Download paper

  21. Stochastic volatility, jumps and leverage in energy and stock markets: Evidence from high frequency data. (2021). Baum, Christopher ; Chen, Liyuan ; Zerilli, Paola.
    In: Energy Economics.
    RePEc:eee:eneeco:v:93:y:2021:i:c:s0140988319302622.

    Full description at Econpapers || Download paper

  22. Simulation and estimation of an agent-based market-model with a matching engine. (2021). Gebbie, Tim ; Chang, Patrick ; Jericevich, Ivan.
    In: Papers.
    RePEc:arx:papers:2108.07806.

    Full description at Econpapers || Download paper

  23. Calibrating an adaptive Farmer-Joshi agent-based model for financial markets. (2021). Jericevich, Ivan ; Gebbie, Tim ; McKechnie, Murray.
    In: Papers.
    RePEc:arx:papers:2104.09863.

    Full description at Econpapers || Download paper

  24. A Bayesian analysis of gain-loss asymmetry. (2021). Terenzi, Giulia ; di Iura, Andrea Giuseppe.
    In: Papers.
    RePEc:arx:papers:2104.06044.

    Full description at Econpapers || Download paper

  25. Multivariate generalized hyperbolic laws for modeling financial log‐returns: Empirical and theoretical considerations. (2020). Jandhyala, Venkata K ; Paparas, Alex ; Fotopoulos, Stergios B.
    In: Applied Stochastic Models in Business and Industry.
    RePEc:wly:apsmbi:v:36:y:2020:i:5:p:757-775.

    Full description at Econpapers || Download paper

  26. Value-at-Risk in the Presence of Structural Breaks Using Unbiased Extreme Value Volatility Estimator. (2020). Kumar, Dilip.
    In: Journal of Quantitative Economics.
    RePEc:spr:jqecon:v:18:y:2020:i:3:d:10.1007_s40953-020-00197-w.

    Full description at Econpapers || Download paper

  27. Information versus imitation in a real-time agent-based model of financial markets. (2020). Biondo, Alessio Emanuele.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:15:y:2020:i:3:d:10.1007_s11403-019-00249-2.

    Full description at Econpapers || Download paper

  28. A Comparison of the Risk Quantification in Traditional and Renewable Energy Markets. (2020). Perote, Javier ; Mora-Valencia, Andrés ; Velasquez-Gaviria, Daniel.
    In: Energies.
    RePEc:gam:jeners:v:13:y:2020:i:11:p:2805-:d:366071.

    Full description at Econpapers || Download paper

  29. Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities. (2020). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:67:y:2020:i:c:s1042443120301037.

    Full description at Econpapers || Download paper

  30. Heavy tailed distributions in closing auctions. (2020). Kleijn, B ; Derksen, M ; de Vilder, R.
    In: Papers.
    RePEc:arx:papers:2012.10145.

    Full description at Econpapers || Download paper

  31. An extensive study of stylized facts displayed by Bitcoin returns. (2020). Brigatti, E ; Bertella, M A ; Silva, J N ; F. N. M. de Sousa Filho, .
    In: Papers.
    RePEc:arx:papers:2004.05870.

    Full description at Econpapers || Download paper

  32. .

    Full description at Econpapers || Download paper

  33. .

    Full description at Econpapers || Download paper

  34. .

    Full description at Econpapers || Download paper

  35. .

    Full description at Econpapers || Download paper

  36. .

    Full description at Econpapers || Download paper

  37. .

    Full description at Econpapers || Download paper

  38. Comparison of Block Maxima and Peaks Over Threshold Value-at-Risk models for market risk in various economic conditions. (2019). Chlebus, Marcin ; Marcin, Chlebus ; Filip, Szubzda.
    In: Central European Economic Journal.
    RePEc:vrs:ceuecj:v:6:y:2019:i:53:p:70-85:n:5.

    Full description at Econpapers || Download paper

  39. Dissecting the myth of the house price in Chinese metropolises: allowing for behavioral heterogeneity among investors. (2019). Zhang, Hao ; Bian, Wenlong.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:14:y:2019:i:4:d:10.1007_s11403-019-00267-0.

    Full description at Econpapers || Download paper

  40. Fast traders and slow price adjustments: an artificial market with strategic interaction and transaction costs. (2019). tolotti, marco ; Pellizzari, Paolo ; LIUZZI, DANILO.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:14:y:2019:i:3:d:10.1007_s11403-018-0233-8.

    Full description at Econpapers || Download paper

  41. Order book modeling and financial stability. (2019). Biondo, Alessio Emanuele.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:14:y:2019:i:3:d:10.1007_s11403-018-0227-6.

    Full description at Econpapers || Download paper

  42. Day-of-the-week and month-of-the-year effects on French Small-Cap Volatility: the role of asymmetry and long memory. (2019). Chikhi, Mohamed ; BENDOB, ALI ; Siagh, Ahmed Ramzi.
    In: Eastern Journal of European Studies.
    RePEc:jes:journl:y:2019:v:10:p:221-248.

    Full description at Econpapers || Download paper

  43. “Distant or close cousins: Connectedness between cryptocurrencies and traditional currencies volatilities”. (2019). Sosvilla-Rivero, Simon ; Fernandez-Perez, Adrian ; Andrada-Felix, Julian.
    In: IREA Working Papers.
    RePEc:ira:wpaper:201912.

    Full description at Econpapers || Download paper

  44. Analysis of a Global Futures Trend-Following Strategy. (2019). Fulton, Lawrence ; Nokes, Derek.
    In: JRFM.
    RePEc:gam:jjrfmx:v:12:y:2019:i:3:p:111-:d:244237.

    Full description at Econpapers || Download paper

  45. A novel approach to detect volatility clusters in financial time series. (2019). Sanchez-Granero, M A ; Fernandez-Martinez, M ; Trinidad, J E.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:535:y:2019:i:c:s0378437119314098.

    Full description at Econpapers || Download paper

  46. The stylized facts of prediction markets: Analysis of price changes. (2019). Restocchi, Valerio ; Gerding, Enrico ; McGroarty, Frank.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:515:y:2019:i:c:p:159-170.

    Full description at Econpapers || Download paper

  47. Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach. (2019). Tiwari, Aviral ; GUPTA, RANGAN ; Aye, Goodness C.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:28:y:2019:i:c:p:398-411.

    Full description at Econpapers || Download paper

  48. Heterogeneous agent models in financial markets: A nonlinear dynamics approach. (2019). Li, Youwei ; He, Xuezhong ; Zheng, Min.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:62:y:2019:i:c:p:135-149.

    Full description at Econpapers || Download paper

  49. Stylized Facts and Agent-Based Modeling. (2019). Trimborn, Torsten ; Cramer, Simon.
    In: Papers.
    RePEc:arx:papers:1912.02684.

    Full description at Econpapers || Download paper

  50. Portfolio Optimization and Model Predictive Control: A Kinetic Approach. (2019). Frank, Martin ; Pareschi, Lorenzo ; Trimborn, Torsten.
    In: Papers.
    RePEc:arx:papers:1711.03291.

    Full description at Econpapers || Download paper

  51. Learning to forecast, risk aversion, and microstructural aspects of financial stability. (2018). Biondo, Alessio Emanuele.
    In: Economics - The Open-Access, Open-Assessment E-Journal.
    RePEc:zbw:ifweej:201820.

    Full description at Econpapers || Download paper

  52. Stock price reaction to profit warnings: the role of time-varying betas. (2018). Saadouni, Brahim ; Benamraoui, Abdelhafid ; Mazouz, Khelifa ; Yin, Shuxing.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:1:d:10.1007_s11156-017-0623-3.

    Full description at Econpapers || Download paper

  53. Order book microstructure and policies for financial stability. (2018). Biondo, Alessio Emanuele.
    In: Studies in Economics and Finance.
    RePEc:eme:sefpps:sef-04-2017-0087.

    Full description at Econpapers || Download paper

  54. Stock market efficiency: A comparative analysis of Islamic and conventional stock markets. (2018). Ali, Sajid ; Al-Yahyaee, Khamis Hamed ; Raza, Naveed ; Hussain, Syed Jawad.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:503:y:2018:i:c:p:139-153.

    Full description at Econpapers || Download paper

  55. Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

    Full description at Econpapers || Download paper

  56. Simulation of Stylized Facts in Agent-Based Computational Economic Market Models. (2018). Trimborn, Torsten ; Pabich, Emma ; Otte, Philipp ; Frank, Martin ; Cramer, Simon ; Beikirch, Maximilian.
    In: Papers.
    RePEc:arx:papers:1812.02726.

    Full description at Econpapers || Download paper

  57. .

    Full description at Econpapers || Download paper

  58. .

    Full description at Econpapers || Download paper

  59. Learning to forecast, risk aversion, and microstructural aspects of financial stability. (2017). Biondo, Alessio Emanuele.
    In: Economics Discussion Papers.
    RePEc:zbw:ifwedp:2017104.

    Full description at Econpapers || Download paper

  60. Using an artificial financial market for studying a cryptocurrency market. (2017). Marchesi, Michele ; Concas, Giulio ; Cocco, Luisanna.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:12:y:2017:i:2:d:10.1007_s11403-015-0168-2.

    Full description at Econpapers || Download paper

  61. Informative Contagion Dynamics in a Multilayer Network Model of Financial Markets. (2017). Biondo, Alessio Emanuele ; Rapisarda, Andrea ; Pluchino, Alessandro.
    In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti.
    RePEc:spr:italej:v:3:y:2017:i:3:d:10.1007_s40797-017-0052-4.

    Full description at Econpapers || Download paper

  62. DO SEASONAL ANOMALIES STILL EXIST IN CENTRAL AND EASTERN EUROPEAN COUNTRIES? A CONDITIONAL VARIANCE APPROACH. (2017). AndrieÈ™, Alin Marius ; Sprincean, Nicu ; Ihnatov, Iulian.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2017:i:4:p:60-83.

    Full description at Econpapers || Download paper

  63. A detailed heterogeneous agent model for a single asset financial market with trading via an order book. (2017). Larralde, Hernan ; Navarro, Roberto Mota.
    In: PLOS ONE.
    RePEc:plo:pone00:0170766.

    Full description at Econpapers || Download paper

  64. Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck .
    In: OUP Catalogue.
    RePEc:oxp:obooks:9780190205034.

    Full description at Econpapers || Download paper

  65. Modeling persistence of volatility in the Moroccan exchange market using a fractionally integrated EGARCH. (2017). el Jebari, Ouael ; Hakmaoui, Abdelati.
    In: Turkish Economic Review.
    RePEc:ksp:journ2:v:4:y:2017:i:4:p:388-399.

    Full description at Econpapers || Download paper

  66. Is the Extension of Trading Hours Always Beneficial? An Artificial Agent-Based Analysis. (2017). Ueda, Kazuhiro ; Miwa, Kotaro.
    In: Computational Economics.
    RePEc:kap:compec:v:50:y:2017:i:4:d:10.1007_s10614-016-9613-0.

    Full description at Econpapers || Download paper

  67. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent-Based Model with Low- and High-Frequency Trading. (2017). Leal, Sandrine Jacob ; Napoletano, Mauro.
    In: Post-Print.
    RePEc:hal:journl:hal-01768876.

    Full description at Econpapers || Download paper

  68. Generalized fractional Laplace motion. (2017). Gajda, J ; Kumar, A ; Wyomaska, A.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:124:y:2017:i:c:p:101-109.

    Full description at Econpapers || Download paper

  69. Simulation of sovereign CDS market based on interaction between market participant. (2017). Ko, Bonggyun ; Kim, Kyungwon .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:479:y:2017:i:c:p:324-340.

    Full description at Econpapers || Download paper

  70. Fractional Brownian motion time-changed by gamma and inverse gamma process. (2017). Sundar, S ; Wyomaska, A ; Pooczaski, R ; Kumar, A.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:468:y:2017:i:c:p:648-667.

    Full description at Econpapers || Download paper

  71. Decoding Chinese stock market returns: Three-state hidden semi-Markov model. (2017). Wang, Shixuan ; Liu, Zhenya.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:44:y:2017:i:c:p:127-149.

    Full description at Econpapers || Download paper

  72. Excess stock return comovements and the role of investor sentiment. (2017). Verschoor, Willem ; Frijns, Bart.
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:49:y:2017:i:c:p:74-87.

    Full description at Econpapers || Download paper

  73. The price of shelter - Downside risk reduction with precious metals. (2017). Potì, Valerio ; Conlon, Thomas ; Bredin, Don ; Poti, Valerio.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:49:y:2017:i:c:p:48-58.

    Full description at Econpapers || Download paper

  74. Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng.
    In: Energy Economics.
    RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

    Full description at Econpapers || Download paper

  75. Trading Heterogeneity Under Information Uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan.
    In: Research Paper Series.
    RePEc:uts:rpaper:373.

    Full description at Econpapers || Download paper

  76. Market Stability vs. Market Resilience: Regulatory Policies Experiments in an Agent Based Model with Low- and High-Frequency Trading. (2016). Napoletano, Mauro ; Leal, Sandrine Jacob.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2016/15.

    Full description at Econpapers || Download paper

  77. Rock around the clock: An agent-based model of low- and high-frequency trading. (2016). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
    In: Journal of Evolutionary Economics.
    RePEc:spr:joevec:v:26:y:2016:i:1:p:49-76.

    Full description at Econpapers || Download paper

  78. Estimating and forecasting value-at-risk using the unbiased extreme value volatility estimator. (2016). Kumar, Dilip.
    In: Proceedings of Economics and Finance Conferences.
    RePEc:sek:iefpro:3205528.

    Full description at Econpapers || Download paper

  79. Modeling and Simulation of the Economics of Mining in the Bitcoin Market. (2016). Marchesi, Michele ; Cocco, Luisanna.
    In: PLOS ONE.
    RePEc:plo:pone00:0164603.

    Full description at Econpapers || Download paper

  80. Exploring Price Fluctuations in a Double Auction Market. (2016). Ji, Mingjie ; Li, Hong Gang.
    In: Computational Economics.
    RePEc:kap:compec:v:48:y:2016:i:2:d:10.1007_s10614-015-9520-9.

    Full description at Econpapers || Download paper

  81. MENA stock market volatility persistence: Evidence before and after the financial crisis of 2008. (2016). Assaf, Ata.
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:36:y:2016:i:c:p:222-240.

    Full description at Econpapers || Download paper

  82. BRIC or CBRI: It just doesn’t sound as sexy, does it?. (2016). Delcoure, Natalya ; Singh, Harmeet .
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:61:y:2016:i:c:p:230-239.

    Full description at Econpapers || Download paper

  83. Observability of market daily volatility. (2016). Serva, Maurizio ; Petroni, Filippo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:444:y:2016:i:c:p:838-842.

    Full description at Econpapers || Download paper

  84. Common trends in global volatility. (2016). Hurn, Stan ; Clements, Adam ; Volkov, V V.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:67:y:2016:i:c:p:194-214.

    Full description at Econpapers || Download paper

  85. Trading heterogeneity under information uncertainty. (2016). He, Xuezhong ; Zheng, Huanhuan.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:130:y:2016:i:c:p:64-80.

    Full description at Econpapers || Download paper

  86. Foster–Hart optimal portfolios. (2016). Anand, Abhinav ; Kurosaki, Tetsuo ; Li, Tiantian ; Kim, Young Shin.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:68:y:2016:i:c:p:117-130.

    Full description at Econpapers || Download paper

  87. On the “usual” misunderstandings between econophysics and finance: Some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:7-14.

    Full description at Econpapers || Download paper

  88. Breaking down the barriers between econophysics and financial economics. (2016). Schinckus, Christophe ; Jovanovic, Franck .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:47:y:2016:i:c:p:256-266.

    Full description at Econpapers || Download paper

  89. Heterogeneous expectation, beliefs evolution and house price volatility. (2016). Zhang, Hao ; Yao, Haixiang ; Huang, Yuyuan .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:53:y:2016:i:c:p:409-418.

    Full description at Econpapers || Download paper

  90. On the usual misunderstandings between econophysics and finance: some clarifications on modelling approaches and efficient market hypothesis. (2016). ausloos, marcel ; Schinckus, Christophe ; Jovanovic, Franck .
    In: Papers.
    RePEc:arx:papers:1606.02045.

    Full description at Econpapers || Download paper

  91. Modeling and Simulation of the Economics of Mining in the Bitcoin Market. (2016). Marchesi, Michele ; Cocco, Luisanna .
    In: Papers.
    RePEc:arx:papers:1605.01354.

    Full description at Econpapers || Download paper

  92. A new structural stochastic volatility model of asset pricing and its stylized facts. (2016). Pruna, Radu T ; Jennings, Nicholas R ; Polukarov, Maria.
    In: Papers.
    RePEc:arx:papers:1604.08824.

    Full description at Econpapers || Download paper

  93. A detailed heterogeneous agent model for a single asset financial market with trading via an order book. (2016). Navarro, Roberto Mota ; Ridaura, Hern'An Larralde .
    In: Papers.
    RePEc:arx:papers:1601.00229.

    Full description at Econpapers || Download paper

  94. A Critical Review of the Main Approaches on Financial Market Dynamics Modelling. (2015). LUCIAN, PASCA .
    In: Journal of Heterodox Economics.
    RePEc:vrs:joheec:v:2:y:2015:i:2:p:151-167:n:4.

    Full description at Econpapers || Download paper

  95. The Adaptiveness in Stock Markets: Testing the Stylized Facts in the Dax 30. (2015). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:364.

    Full description at Econpapers || Download paper

  96. Kalman filter-based modelling and forecasting of stochastic volatility with threshold. (2015). Gurung, Bishal ; Prajneshu, ; Ghosh, Himadri .
    In: Journal of Applied Statistics.
    RePEc:taf:japsta:v:42:y:2015:i:3:p:492-507.

    Full description at Econpapers || Download paper

  97. A simple nonparametric test for the existence of finite moments. (2015). Fedotenkov, Igor.
    In: MPRA Paper.
    RePEc:pra:mprapa:66089.

    Full description at Econpapers || Download paper

  98. Value-at-Risk analysis in the MENA equity markets: Fat tails and conditional asymmetries in return distributions. (2015). Assaf, Ata.
    In: Journal of Multinational Financial Management.
    RePEc:eee:mulfin:v:29:y:2015:i:c:p:30-45.

    Full description at Econpapers || Download paper

  99. Super-exponential endogenous bubbles in an equilibrium model of fundamentalist and chartist traders. (2015). Kaizoji, Taisei ; Saichev, Alexander ; Leiss, Matthias ; Sornette, Didier.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:112:y:2015:i:c:p:289-310.

    Full description at Econpapers || Download paper

  100. Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis. (2015). Treepongkaruna, Sirimon ; Do, Hung Xuan ; Brooks, Robert.
    In: Global Finance Journal.
    RePEc:eee:glofin:v:28:y:2015:i:c:p:24-37.

    Full description at Econpapers || Download paper

  101. The financial econometrics of price discovery and predictability. (2015). Smyth, Russell ; Narayan, Seema.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:380-393.

    Full description at Econpapers || Download paper

  102. Long memory and level shifts in REITs returns and volatility. (2015). Assaf, Ata.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:42:y:2015:i:c:p:172-182.

    Full description at Econpapers || Download paper

  103. Testing of a market fraction model and power-law behaviour in the DAX 30. (2015). Li, Youwei ; He, Xuezhong.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:31:y:2015:i:c:p:1-17.

    Full description at Econpapers || Download paper

  104. Power law scaling and “Dragon-Kings” in distributions of intraday financial drawdowns. (2015). Sornette, Didier ; Filimonov, Vladimir.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:74:y:2015:i:c:p:27-45.

    Full description at Econpapers || Download paper

  105. Robust bootstrap forecast densities for GARCH models: returns, volatilities and value-at-risk. (2015). Ruiz, Esther ; Hotta, Luiz ; Trucos, Carlos .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws1523.

    Full description at Econpapers || Download paper

  106. Quantile Correlations: Uncovering temporal dependencies in financial time series. (2015). Schmitt, Thilo A ; Guhr, Thomas ; Dette, Holger ; Schafer, Rudi .
    In: Papers.
    RePEc:arx:papers:1507.04990.

    Full description at Econpapers || Download paper

  107. Observability of Market Daily Volatility. (2015). Petroni, Filippo ; Serva, Maurizio .
    In: Papers.
    RePEc:arx:papers:1503.08032.

    Full description at Econpapers || Download paper

  108. Power law scaling and Dragon-Kings in distributions of intraday financial drawdowns. (2015). Sornette, Didier ; Filimonov, Vladimir .
    In: Papers.
    RePEc:arx:papers:1407.5037.

    Full description at Econpapers || Download paper

  109. Leverage effect in energy futures. (2014). Krištoufek, Ladislav.
    In: FinMaP-Working Papers.
    RePEc:zbw:fmpwps:17.

    Full description at Econpapers || Download paper

  110. THE IMPLICATIONS OF TRADER COGNITIVE ABILITIES ON STOCK MARKET PROPERTIES. (2014). Hudson, Robert ; Soufian, Mona ; Manahov, Viktor.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:21:y:2014:i:1:p:1-18.

    Full description at Econpapers || Download paper

  111. Heterogeneous Expectations in Asset Pricing: Empirical Evidence from the S&P500. (2014). Zwinkels, Remco ; He, Xuezhong ; Chiarella, Carl ; Remco C. J. Zwinkels, ; Remco C. J. Zwinkels, .
    In: Research Paper Series.
    RePEc:uts:rpaper:344.

    Full description at Econpapers || Download paper

  112. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:13.

    Full description at Econpapers || Download paper

  113. Asset Price Dynamics with Heterogeneous Beliefs and Time Delays. (2014). Li, Kai.
    In: PhD Thesis.
    RePEc:uts:finphd:1-2014.

    Full description at Econpapers || Download paper

  114. Rock around the clock: an agent-based model of low- and high-frequency trading. (2014). Roventini, Andrea ; Napoletano, Mauro ; Fagiolo, Giorgio ; Leal, Sandrine Jacob.
    In: Sciences Po publications.
    RePEc:spo:wpmain:info:hdl:2441/f6h8764enu2lskk9p4oq9ig8k.

    Full description at Econpapers || Download paper

  115. Hedging Effectiveness of Applying Constant and Time-Varying Hedge Ratios: Evidence from Taiwan Stock Index Spot and Futures. (2014). Chen, Dar-Hsin ; Tseng, Chun-Yi ; Bin, Leo .
    In: Journal of Risk & Control.
    RePEc:rmk:rmkjrc:v:1:y:2014:i:1:p:31-49.

    Full description at Econpapers || Download paper

  116. Leverage effect in energy futures. (2014). Krištoufek, Ladislav.
    In: Energy Economics.
    RePEc:eee:eneeco:v:45:y:2014:i:c:p:1-9.

    Full description at Econpapers || Download paper

  117. High-order moments and extreme value approach for value-at-risk. (2014). Chien, Chang-Cheng Chang ; Kao, Wei-Shun ; Lin, Chu-Hsiung ; Changchien, Chang-Cheng .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:29:y:2014:i:c:p:421-434.

    Full description at Econpapers || Download paper

  118. Theoretical and empirical estimates of mean–variance portfolio sensitivity. (2014). Palczewski, Andrzej.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:234:y:2014:i:2:p:402-410.

    Full description at Econpapers || Download paper

  119. Time Series Models for Business and Economic Forecasting. (2014). Franses, Philip Hans ; Opschoor, Anne ; van Dijk, Dick.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521520911.

    Full description at Econpapers || Download paper

  120. Using an Artificial Financial Market for studying a Cryptocurrency Market. (2014). Marchesi, Michele ; Concas, Giulio ; Cocco, Luisanna .
    In: Papers.
    RePEc:arx:papers:1406.6496.

    Full description at Econpapers || Download paper

  121. Leverage effect in energy futures. (2014). Krištoufek, Ladislav ; Kristoufek, Ladislav.
    In: Papers.
    RePEc:arx:papers:1403.0064.

    Full description at Econpapers || Download paper

  122. Self-affinity in financial asset returns. (2014). Onali, Enrico ; Goddard, John.
    In: Papers.
    RePEc:arx:papers:1401.7170.

    Full description at Econpapers || Download paper

  123. Portfolio return distributions: Sample statistics with non-stationary correlations. (2014). CHETALOVA, DESISLAVA ; Guhr, Thomas ; Schmitt, Thilo A. ; Schafer, Rudi .
    In: Papers.
    RePEc:arx:papers:1308.3961.

    Full description at Econpapers || Download paper

  124. Ready for euro? Empirical study of the actual monetary policy independence in Poland. (2013). Mycielska, Dagmara ; Goczek, Lukasz.
    In: Working Papers.
    RePEc:war:wpaper:2013-13.

    Full description at Econpapers || Download paper

  125. Asymmetric returns, gradual bubbles and sudden crashes. (2013). Chia, Wai-Mun ; Zheng, Huanhuan ; Huang, Weihong.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:19:y:2013:i:5:p:420-437.

    Full description at Econpapers || Download paper

  126. Effectiveness of volatility models in option pricing: evidence from recent financial upheavals. (2013). Singh, Vipul Kumar.
    In: Journal of Advances in Management Research.
    RePEc:eme:jamrpp:v:10:y:2013:i:3:p:352-375.

    Full description at Econpapers || Download paper

  127. Econometric modeling of exchange rate volatility and jumps. (2013). Neely, Christopher J. ; Laurent, Sbastien ; Erdemlioglu, Deniz.
    In: Chapters.
    RePEc:elg:eechap:14545_16.

    Full description at Econpapers || Download paper

  128. Scaling, stability and distribution of the high-frequency returns of the Ibex35 index. (2013). Gomez-Ullate, David ; Suarez-Garcia, Pablo .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:6:p:1409-1417.

    Full description at Econpapers || Download paper

  129. Herd behaviour experimental testing in laboratory artificial stock market settings. Behavioural foundations of stylised facts of financial returns. (2013). Hudson, Robert ; Manahov, Viktor .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:392:y:2013:i:19:p:4351-4372.

    Full description at Econpapers || Download paper

  130. Analysis of non-stationary dynamics in the financial system. (2013). Houser, Daniel ; Rosen, Scott L. ; Guharay, Samar K. ; Thakur, Gaurav S. ; Goodman, Fred J..
    In: Economics Letters.
    RePEc:eee:ecolet:v:121:y:2013:i:3:p:454-457.

    Full description at Econpapers || Download paper

  131. Understanding the dynamics of inflation volatility in Nigeria: A GARCH perspective. (2012). Omotosho, Babatunde ; Doguwa, Sani I.
    In: MPRA Paper.
    RePEc:pra:mprapa:96125.

    Full description at Econpapers || Download paper

  132. Analysis on Runs of Daily Returns in Istanbul Stock Exchange. (2012). Sensoy, Ahmet ; Åžensoy, Ahmet.
    In: MPRA Paper.
    RePEc:pra:mprapa:42645.

    Full description at Econpapers || Download paper

  133. Variance Ratio Test of Random Walk for Foreign Trade: The Study in India during the Globalization Era of 1990s. (2012). Pradhan, Rudra Prakash .
    In: International Journal of Financial Research.
    RePEc:jfr:ijfr11:v:3:y:2012:i:1:p:101-104.

    Full description at Econpapers || Download paper

  134. Stylized facts of CO2 returns. (2012). Tornero, angel Pardo ; Martinez, Vicente Medina .
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2012-14.

    Full description at Econpapers || Download paper

  135. Agent-based risk management - A regulatory approach to financial markets. (2012). Theobald, Thomas.
    In: IMK Working Paper.
    RePEc:imk:wpaper:95-2012.

    Full description at Econpapers || Download paper

  136. Econometric modeling of exchange rate volatility and jumps. (2012). Neely, Christopher ; Laurent, Sébastien ; Erdemlioglu, Deniz.
    In: Working Papers.
    RePEc:fip:fedlwp:2012-008.

    Full description at Econpapers || Download paper

  137. Time-Varying Betas of Banking Sectors. (2012). Jánský, Ivo ; Benecká, Soňa ; Adam, Tomas ; Benecka, Sona ; Jansky, Ivo .
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:62:y:2012:i:6:p:485-504.

    Full description at Econpapers || Download paper

  138. Kinetic models for socio-economic dynamics of speculative markets. (2012). Maldarella, Dario ; Pareschi, Lorenzo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:3:p:715-730.

    Full description at Econpapers || Download paper

  139. The level crossing and inverse statistic analysis of German stock market index (DAX) and daily oil price time series. (2012). Shayeganfar, F. ; Reza Rahimi Tabar, M., ; Holling, M. ; Peinke, J..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:1:p:209-216.

    Full description at Econpapers || Download paper

  140. The endogenous dynamics of financial markets: Interaction and information dissemination. (2012). Xia, BingYing ; Hu, Sen ; Yang, Chunxia.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:391:y:2012:i:12:p:3513-3525.

    Full description at Econpapers || Download paper

  141. Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation. (2012). Vahid, Farshid ; Choi, Pilsun ; Choe, Kwang-il ; Nam, Kiseok.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:20:y:2012:i:2:p:271-291.

    Full description at Econpapers || Download paper

  142. THE STYLIZED FACTS OF ASSET RETURNS AND THEIR IMPACT ON VALUE-AT-RISK MODELS. (2012). Iorgulescu, Filip ; Filip, IORGULESCU .
    In: Revista Economica.
    RePEc:blg:reveco:v:supplement:y:2012:i:4:p:360-368.

    Full description at Econpapers || Download paper

  143. Dynamic Linkages among Financial Markets in the Greater China Region: A Multivariate Asymmetric Approach. (2012). Zhang, Zhaoyong ; HO, Kin Yip.
    In: The World Economy.
    RePEc:bla:worlde:v:35:y:2012:i:4:p:500-523.

    Full description at Econpapers || Download paper

  144. Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:7:p:991-1012.

    Full description at Econpapers || Download paper

  145. Econophysics review: II. Agent-based models. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:11:y:2011:i:7:p:1013-1041.

    Full description at Econpapers || Download paper

  146. The impact on the pricing process of costly active management and performance chasing clients. (2011). Pellizzari, Paolo ; Casavecchia, Lorenzo ; Bird, Ron ; Woolley, Paul .
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:6:y:2011:i:1:p:61-82.

    Full description at Econpapers || Download paper

  147. Volatility clustering and herding agents: does it matter what they observe?. (2011). Yamamoto, Ryuichi.
    In: Journal of Economic Interaction and Coordination.
    RePEc:spr:jeicoo:v:6:y:2011:i:1:p:41-59.

    Full description at Econpapers || Download paper

  148. A Note on institutional hierarchy and volatility in financial markets. (2011). Raddant, Matthias ; Milaković, Mishael ; Alfarano, Simone.
    In: MPRA Paper.
    RePEc:pra:mprapa:30902.

    Full description at Econpapers || Download paper

  149. Who Drives the Market? Estimating a Heterogeneous Agent-based Financial Market Model Using a Neural Network Approach. (2011). Urbig, Diemo ; Klein, Achim.
    In: MPRA Paper.
    RePEc:pra:mprapa:116175.

    Full description at Econpapers || Download paper

  150. Econophysics review: I. Empirical facts. (2011). Chakraborti, Anirban ; Patriarca, Marco ; Toke, Ioane Muni ; Abergel, Frederic.
    In: Post-Print.
    RePEc:hal:journl:hal-00621058.

    Full description at Econpapers || Download paper

  151. Does volatility matter? Expectations of price return and variability in an asset pricing experiment. (2011). Pancotto, Francesca ; Devetag, Giovanna ; Bottazzi, Giulio.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:77:y:2011:i:2:p:124-146.

    Full description at Econpapers || Download paper

  152. How accurate is the square-root-of-time rule in scaling tail risk: A global study. (2011). Yeh, Jin-Huei ; Cheng, Nick Ying-Pin ; Wang, Jying-Nan.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:5:p:1158-1169.

    Full description at Econpapers || Download paper

  153. An analysis of the effect of noise in a heterogeneous agent financial market model. (2011). Zheng, Min ; Chiarella, Carl.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:1:p:148-162.

    Full description at Econpapers || Download paper

  154. Econophysics: Bridges over a Turbulent Current. (2011). Chen, Shu-Heng ; Li, Sai-Ping.
    In: Papers.
    RePEc:arx:papers:1107.5373.

    Full description at Econpapers || Download paper

  155. Switching rates and the asymptotic behavior of herding models. (2010). Milaković, Mishael ; Irle, Albrecht ; Lux, Thomas ; Kauschke, Jonas .
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1595.

    Full description at Econpapers || Download paper

  156. Econometric analysis of microscopic simulation models. (2010). Li, Youwei ; Donkers, Bas ; Melenberg, Bertrand.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:10:p:1187-1201.

    Full description at Econpapers || Download paper

  157. The volatility of Australian traded goods prices. (2010). Woodland, Alan ; Sen, Kishti .
    In: Applied Economics.
    RePEc:taf:applec:v:42:y:2010:i:30:p:3849-3869.

    Full description at Econpapers || Download paper

  158. Univariate GARCH models: a survey (in Russian). (2010). Rossi, Eduardo.
    In: Quantile.
    RePEc:qnt:quantl:y:2010:i:8:p:1-67.

    Full description at Econpapers || Download paper

  159. Some Further Evidence on the Behaviour of Stock Returns in India. (2010). HIREMATH, GOURISHANKAR ; Bandi, Kamaiah .
    In: MPRA Paper.
    RePEc:pra:mprapa:48518.

    Full description at Econpapers || Download paper

  160. Stock volatility in the periods of booms and stagnations. (2010). Kaizoji, Taisei.
    In: MPRA Paper.
    RePEc:pra:mprapa:23727.

    Full description at Econpapers || Download paper

  161. Auto-correlated behavior of WTI crude oil volatilities: A multiscale perspective. (2010). Wang, Yudong ; Wu, Chongfeng ; Wei, YU.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:389:y:2010:i:24:p:5759-5768.

    Full description at Econpapers || Download paper

  162. Do benchmark African equity indices exhibit the stylized facts?. (2010). Li, Youwei ; Opong, Kwaku K. ; Hamill, Philip A..
    In: Global Finance Journal.
    RePEc:eee:glofin:v:21:y:2010:i:1:p:71-97.

    Full description at Econpapers || Download paper

  163. A Dynamic Analysis of the Microstructure of Moving Average Rules in a Double Auction Market. (2009). Pellizzari, Paolo ; He, Xuezhong ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:251.

    Full description at Econpapers || Download paper

  164. Statistical properties of an experimental political futures market. (2009). Tai, Chung-Ching ; Wang, Sun-Chong ; Che, Shu-Heng ; Li, Sai-Ping.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:1:p:9-16.

    Full description at Econpapers || Download paper

  165. Does Volatility matter? Expectations of price return and variability in an asset pricing experiment. (2009). Pancotto, Francesca ; Devetag, Giovanna ; Bottazzi, Giulio.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2009/02.

    Full description at Econpapers || Download paper

  166. Extreme observations and risk assessment in the equity markets of MENA region: Tail measures and Value-at-Risk. (2009). Assaf, A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:18:y:2009:i:3:p:109-116.

    Full description at Econpapers || Download paper

  167. Extreme Value Theory and Value at Risk: Application to oil market. (2009). Trabelsi, Abdelwahed ; Marimoutou, Velayoudoum ; Raggad, Bechir .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:4:p:519-530.

    Full description at Econpapers || Download paper

  168. Modeling the price dynamics of CO2 emission allowances. (2009). Trueck, Stefan ; Benz, Eva ; Truck, Stefan.
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:1:p:4-15.

    Full description at Econpapers || Download paper

  169. Asset prices, traders behavior and market design. (2009). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:5:p:1073-1090.

    Full description at Econpapers || Download paper

  170. Network structure and N-dependence in agent-based herding models. (2009). Milaković, Mishael ; Alfarano, Simone ; Milakovic, Mishael .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:1:p:78-92.

    Full description at Econpapers || Download paper

  171. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:1426.

    Full description at Econpapers || Download paper

  172. Stochastic behavioral asset pricing models and the stylized facts. (2008). Lux, Thomas.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:7328.

    Full description at Econpapers || Download paper

  173. Heterogeneity, Market Mechanisms, and Asset Price Dynamics. (2008). He, Xuezhong ; Chiarella, Carl ; Dieci, Roberto.
    In: Research Paper Series.
    RePEc:uts:rpaper:231.

    Full description at Econpapers || Download paper

  174. Heterogeneity, convergence, and autocorrelations. (2008). Li, Youwei ; He, Xuezhong.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:8:y:2008:i:1:p:59-79.

    Full description at Econpapers || Download paper

  175. Empirical distributions of stock returns: Paris stock market, 1980-2003. (2008). Panas, Epaminondas ; Kanellopoulou, Stella .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:18:y:2008:i:16:p:1289-1302.

    Full description at Econpapers || Download paper

  176. Volatility and Long Term Relations in Equity Markets: Empirical Evidence from Germany, Switzerland, and the UK. (2008). Guidi, Francesco.
    In: MPRA Paper.
    RePEc:pra:mprapa:11535.

    Full description at Econpapers || Download paper

  177. S&P Global Sector survivals: Momentum effects in sector indices underlying iShares. (2008). Kos, Hartwig ; Todorovic, Natasa.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:48:y:2008:i:3:p:520-540.

    Full description at Econpapers || Download paper

  178. Heavy-tailed value-at-risk analysis for Malaysian stock exchange. (2008). cheong, chin.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:387:y:2008:i:16:p:4285-4298.

    Full description at Econpapers || Download paper

  179. The role of autoregressive conditional skewness and kurtosis in the estimation of conditional VaR. (2008). Mo, Hengyong ; Tang, YI ; Bali, Turan G..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:2:p:269-282.

    Full description at Econpapers || Download paper

  180. Estimation of an adaptive stock market model with heterogeneous agents. (2008). Amilon, Henrik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:2:p:342-362.

    Full description at Econpapers || Download paper

  181. Asymmetric and leptokurtic distribution for heteroscedastic asset returns: The SU-normal distribution. (2008). Nam, Kiseok ; Choi, Pilsun .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:1:p:41-63.

    Full description at Econpapers || Download paper

  182. Interpreting Value at Risk (VaR) forecasts. (2008). Gregory, Allan ; Reeves, Jonathan J..
    In: Economic Systems.
    RePEc:eee:ecosys:v:32:y:2008:i:2:p:167-176.

    Full description at Econpapers || Download paper

  183. Quantifying and understanding the economics of large financial movements. (2008). Gabaix, Xavier ; Stanley, Eugene H. ; Plerou, Vasiliki ; Gopikrishnan, Parameswaran .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:1:p:303-319.

    Full description at Econpapers || Download paper

  184. Sample period selection and long-term dependence: New evidence from the Dow Jones index. (2008). Ellis, Craig A ; Batten, Jonathan A ; Fethertson, Thomas A.
    In: Chaos, Solitons & Fractals.
    RePEc:eee:chsofr:v:36:y:2008:i:5:p:1126-1140.

    Full description at Econpapers || Download paper

  185. Glossary to ARCH (GARCH). (2008). Bollerslev, Tim.
    In: CREATES Research Papers.
    RePEc:aah:create:2008-49.

    Full description at Econpapers || Download paper

  186. Rothschild–Stiglitzs definition of increasing risk and the relationship between volatility and risk premium. (2007). Kanniainen, Juho.
    In: Review of Financial Economics.
    RePEc:wly:revfec:v:16:y:2007:i:4:p:363-374.

    Full description at Econpapers || Download paper

  187. The Stochastic Dynamics of Speculative Prices. (2007). Zheng, Min ; Chiarella, Carl.
    In: Research Paper Series.
    RePEc:uts:rpaper:208.

    Full description at Econpapers || Download paper

  188. Fractional integration in the equity markets of MENA region. (2007). Assaf, A..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:9:p:709-723.

    Full description at Econpapers || Download paper

  189. Stock return dynamics and stock market interdependencies. (2007). Tsouma, Ekaterini.
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:17:y:2007:i:10:p:805-825.

    Full description at Econpapers || Download paper

  190. A switching ARCH (SWARCH) model of stock market volatility: some evidence from Latin America. (2007). Canarella, Giorgio ; Pollard, Stephen .
    In: International Review of Economics.
    RePEc:spr:inrvec:v:54:y:2007:i:4:p:445-462.

    Full description at Econpapers || Download paper

  191. Calculation of Stationary Random Sequences Extreme Values Characteristics and their Application to Determination of the Volatility of Russian and Foreign Financial Indices and Estimation of the Invest. (2007). Stikhova, Olga .
    In: Applied Econometrics.
    RePEc:ris:apltrx:0138.

    Full description at Econpapers || Download paper

  192. Nonlinear Combination of Financial Forecast with Genetic Algorithm. (2007). Ozun, Alper ; Cifter, Atilla.
    In: MPRA Paper.
    RePEc:pra:mprapa:2488.

    Full description at Econpapers || Download paper

  193. Social Simulation of Stock Markets: Taking It to the Next Level. (2007). Hoffmann, Arvid ; A. O. I. Hoffmann, ; Jager, W. ; von Eije, J. H..
    In: Journal of Artificial Societies and Social Simulation.
    RePEc:jas:jasssj:2006-33-3.

    Full description at Econpapers || Download paper

  194. Long Memory Persistence in the Factor of Implied Volatility Dynamics. (2007). mungo, julius ; Härdle, Wolfgang ; Hardle, Wolfgang.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2007-027.

    Full description at Econpapers || Download paper

  195. Rothschild-Stiglitzs definition of increasing risk and the relationship between volatility and risk premium. (2007). Kanniainen, Juho.
    In: Review of Financial Economics.
    RePEc:eee:revfin:v:16:y:2007:i:4:p:363-374.

    Full description at Econpapers || Download paper

  196. Turnover activity in wealth portfolios. (2007). Milaković, Mishael ; Castaldi, Carolina ; Milakovic, Mishael .
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:63:y:2007:i:3:p:537-552.

    Full description at Econpapers || Download paper

  197. An evolutionary game theory explanation of ARCH effects. (2007). Waters, George ; Parke, William R..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:7:p:2234-2262.

    Full description at Econpapers || Download paper

  198. How does learning affect market liquidity? A simulation analysis of a double-auction financial market with portfolio traders. (2007). Consiglio, Andrea ; Russino, Annalisa.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:6:p:1910-1937.

    Full description at Econpapers || Download paper

  199. A conditional extreme value volatility estimator based on high-frequency returns. (2007). Weinbaum, David ; Bali, Turan G..
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:2:p:361-397.

    Full description at Econpapers || Download paper

  200. Power-law behaviour, heterogeneity, and trend chasing. (2007). Li, Youwei ; He, Xuezhong.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:10:p:3396-3426.

    Full description at Econpapers || Download paper

  201. Dynamic conditional correlation analysis of financial market interdependence: An application to Thailand and Indonesia. (2007). Lestano, Lestano ; Kuper, Gerard.
    In: Journal of Asian Economics.
    RePEc:eee:asieco:v:18:y:2007:i:4:p:670-684.

    Full description at Econpapers || Download paper

  202. The Predictive Performance of Asymmetric Normal Mixture GARCH in Risk Management: Evidence from Turkey. (2007). Ozun, Alper ; Cifter, Atilla.
    In: Journal of BRSA Banking and Financial Markets.
    RePEc:bdd:journl:v:1:y:2007:i:1:p:7-34.

    Full description at Econpapers || Download paper

  203. Agent-based Models of Financial Markets. (2007). Lux, Thomas ; Stauffer, D. ; Zschischang, E. ; Samanidou, E..
    In: Papers.
    RePEc:arx:papers:physics/0701140.

    Full description at Econpapers || Download paper

  204. Asset Prices, Traders Behavior, and Market Design. (2007). Panchenko, Valentyn ; Anufriev, Mikhail.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:07-14.

    Full description at Econpapers || Download paper

  205. Microscopic models of financial markets. (2006). Lux, Thomas ; Stauffer, Dietrich ; Zschischang, Elmar ; Samanidou, Egle.
    In: Economics Working Papers.
    RePEc:zbw:cauewp:5162.

    Full description at Econpapers || Download paper

  206. Canadian REITs and Stock Prices: Fractional Cointegration and Long Memory. (2006). Assaf, Ata.
    In: Review of Pacific Basin Financial Markets and Policies (RPBFMP).
    RePEc:wsi:rpbfmp:v:09:y:2006:i:03:n:s0219091506000793.

    Full description at Econpapers || Download paper

  207. Multivariate GARCH models: a survey. (2006). , Jeroen ; Laurent, Sebastien ; Bauwens, Luc.
    In: Journal of Applied Econometrics.
    RePEc:wly:japmet:v:21:y:2006:i:1:p:79-109.

    Full description at Econpapers || Download paper

  208. The Interplay Between the Thai and Several Other International Stock Markets. (2006). Valadkhani, Abbas ; Chancharat, Surachai ; Harvie, Charles.
    In: Economics Working Papers.
    RePEc:uow:depec1:wp06-18.

    Full description at Econpapers || Download paper

  209. On microscopic simulation models of financial markets. (2006). Li, Youwei.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:ec2f852d-4a7f-47b1-99b8-4237331b7171.

    Full description at Econpapers || Download paper

  210. The Econometric Analysis of Microscopic Simulation Models. (2006). Li, Youwei ; Donkers, Bas ; Melenberg, B ; Donkers, A. C. D., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:1beb5afd-1771-4e7b-a3ea-1cc962fc3b61.

    Full description at Econpapers || Download paper

  211. The Econometric Analysis of Microscopic Simulation Models. (2006). Melenberg, Bertrand ; Li, Youwei ; Donkers, Bas ; Donkers, A. C. D., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:1beb5afd-1771-4e7b-a3ea-1cc962fc3b61.

    Full description at Econpapers || Download paper

  212. Asymmetry and downside risk in foreign exchange markets. (2006). Bond, Shaun ; Satchell, Stephen.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:12:y:2006:i:4:p:313-332.

    Full description at Econpapers || Download paper

  213. An automated econometric decision support system: forecasts for foreign exchange trades. (2006). Schuster, Matthias ; Keber, Christian ; Brandl, Bernd.
    In: Central European Journal of Operations Research.
    RePEc:spr:cejnor:v:14:y:2006:i:4:p:401-415.

    Full description at Econpapers || Download paper

  214. Multivariate GARCH models: a survey. (2006). Rombouts, Jeroen ; Laurent, Sébastien ; Bauwens, Luc.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:1:p:79-109.

    Full description at Econpapers || Download paper

  215. Extreme Value Theory and Value at Risk : Application to Oil Market. (2006). Trabelsi, Abdelwahed ; Marimoutou, Velayoudom ; Raggad, Bechir .
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00410746.

    Full description at Econpapers || Download paper

  216. Dependence and mean reversion in stock prices: The case of the MENA region. (2006). Assaf, A..
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:20:y:2006:i:3:p:286-304.

    Full description at Econpapers || Download paper

  217. On the suitability of Yule process to stochastically model some properties of object-oriented systems. (2006). Marchesi, Michele ; Concas, Giulio ; Pinna, Sandro ; Serra, Nicola .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:2:p:817-831.

    Full description at Econpapers || Download paper

  218. Estimation of a simple agent-based model of financial markets: An application to Australian stock and foreign exchange data. (2006). Alfarano, Simone ; Wagner, Friedrich ; Lux, Thomas.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:370:y:2006:i:1:p:38-42.

    Full description at Econpapers || Download paper

  219. Fat tails and multi-scaling in a simple model of limit order markets. (2006). Krause, Andreas.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:368:y:2006:i:1:p:183-190.

    Full description at Econpapers || Download paper

  220. 25 years of time series forecasting. (2006). Hyndman, Rob ; Gooijer, Jan G..
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:22:y:2006:i:3:p:443-473.

    Full description at Econpapers || Download paper

  221. Clustering and psychological barriers in exchange rates. (2006). Izan, H. Y. ; Mitchell, Jason .
    In: Journal of International Financial Markets, Institutions and Money.
    RePEc:eee:intfin:v:16:y:2006:i:4:p:318-344.

    Full description at Econpapers || Download paper

  222. Comparing downside risk measures for heavy tailed distributions. (2006). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Sarma, Mandira.
    In: Economics Letters.
    RePEc:eee:ecolet:v:92:y:2006:i:2:p:202-208.

    Full description at Econpapers || Download paper

  223. Volatility and Correlation Forecasting. (2006). Diebold, Francis X. ; Andersen, Torben G. ; Bollerslev, Tim ; Christoffersen, Peter F..
    In: Handbook of Economic Forecasting.
    RePEc:eee:ecofch:1-15.

    Full description at Econpapers || Download paper

  224. The Impact of Stock Exchange Rules on Volatility and Error Transmission -- The Case of Frankfurt and Zurich Cross-Listed Equities. (2006). Katrakilidis, Constantinos ; Koulakiotis, Athanasios .
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2006:v:7:i:2:p:321-338.

    Full description at Econpapers || Download paper

  225. CRISIS DE MERCADOS DE BONOS EMERGENTES Y CONTAGIO: DEPENDENCIA EXTREMA. (2006). Lopez, Diego Nicolas.
    In: DOCUMENTOS CEDE.
    RePEc:col:000089:002243.

    Full description at Econpapers || Download paper

  226. Time-varying Beta Risk of Pan-European Industry Portfolios: A Comparison of Alternative Modeling Techniques. (2005). Mergner, Sascha ; Bulla, Jan.
    In: Finance.
    RePEc:wpa:wuwpfi:0510029.

    Full description at Econpapers || Download paper

  227. Long Memory, Heterogeneity and Trend Chasing. (2005). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:148.

    Full description at Econpapers || Download paper

  228. Heterogeneity, Profitability and Autocorrelations. (2005). Li, Youwei ; He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:147.

    Full description at Econpapers || Download paper

  229. 25 Years of IIF Time Series Forecasting: A Selective Review. (2005). Hyndman, Rob ; De Gooijer, Jan G..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050068.

    Full description at Econpapers || Download paper

  230. A simulation analysis of the microstructure of an order driven financial market with multiple securities and portfolio choices. (2005). Consiglio, Andrea ; Lacagnina, Valerio ; Russino, Annalisa.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:5:y:2005:i:1:p:71-87.

    Full description at Econpapers || Download paper

  231. Volatility Forecasting. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
    In: PIER Working Paper Archive.
    RePEc:pen:papers:05-011.

    Full description at Econpapers || Download paper

  232. Estimation of Agent-Based Models: The Case of an Asymmetric Herding Model. (2005). Lux, Thomas ; Alfarano, Simone.
    In: Computational Economics.
    RePEc:kap:compec:v:26:y:2005:i:1:p:19-49.

    Full description at Econpapers || Download paper

  233. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2005). Amilon, Henrik.
    In: Working Paper Series.
    RePEc:hhs:rbnkwp:0177.

    Full description at Econpapers || Download paper

  234. Financial Market in the Laboratory, an Experimental Analysis of some Stylized Facts. (2005). Morone, Andrea.
    In: Papers on Strategic Interaction.
    RePEc:esi:discus:2005-27.

    Full description at Econpapers || Download paper

  235. Comparing downside risk measures for heavy tailed distribution. (2005). Jorgensen, Bjorn ; de Vries, Casper ; Danielsson, Jon ; Sarma, Mandira.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24671.

    Full description at Econpapers || Download paper

  236. Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information. (2005). GAO, Jiti ; Yao, Juan ; Alles, Lakshman.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:13:y:2005:i:2:p:225-245.

    Full description at Econpapers || Download paper

  237. Slow boom, sudden crash. (2005). Veldkamp, Laura.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:124:y:2005:i:2:p:230-257.

    Full description at Econpapers || Download paper

  238. Paramater estimation bias and volatility scaling in Black-Scholes option prices. (2005). Batten, Jonathan ; Ellis, Craig A..
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:2:p:165-176.

    Full description at Econpapers || Download paper

  239. Transmission of prices and price volatility in Australian electricity spot markets: a multivariate GARCH analysis. (2005). Worthington, Andrew ; Kay-Spratley, Adam ; Higgs, Helen .
    In: Energy Economics.
    RePEc:eee:eneeco:v:27:y:2005:i:2:p:337-350.

    Full description at Econpapers || Download paper

  240. Sign Tests for Dependent Observations and Bounds for Path-Dependent Options. (2005). Ibragimov, Rustam ; Brown, Donald.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1518.

    Full description at Econpapers || Download paper

  241. Comparison of volatility distributions in the periods of booms and stagnations: an empirical study on stock price indices. (2005). Kaizoji, Taisei.
    In: Papers.
    RePEc:arx:papers:physics/0506114.

    Full description at Econpapers || Download paper

  242. A nonlinear structural model for volatility clustering. (2005). Hommes, Cars ; Gaunersdorfer, A..
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:05-02.

    Full description at Econpapers || Download paper

  243. Financial Market in the Laboratory. (2004). Morone, Andrea.
    In: Experimental.
    RePEc:wpa:wuwpex:0401002.

    Full description at Econpapers || Download paper

  244. Statistical Properties of a Heterogeneous Asset Price Model with Time-Varying Second Moment. (2004). He, Xuezhong ; Chiarella, Carl ; Wang, Duo.
    In: Research Paper Series.
    RePEc:uts:rpaper:142.

    Full description at Econpapers || Download paper

  245. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp0304.

    Full description at Econpapers || Download paper

  246. The Econometric Analysis of Microscopic Simulation Models. (2004). Li, Youwei ; Donkers, Bas.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:195.

    Full description at Econpapers || Download paper

  247. Financial Liberalization and Emerging Stock Market Volatility. (2004). Gómez Biscarri, Javier ; J. Cuñado; J. Gómez, ; de Gracia, Prez F..
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:124.

    Full description at Econpapers || Download paper

  248. LARCH, Leverage, and Long Memory. (2004). Giraitis, Liudas.
    In: Journal of Financial Econometrics.
    RePEc:oup:jfinec:v:2:y:2004:i:2:p:177-210.

    Full description at Econpapers || Download paper

  249. Asymmetries in conditional mean and variance: modelling stock returns by asMA-asQGARCH. (2004). Gooijer, Jan G. ; Brännäs, Kurt.
    In: Journal of Forecasting.
    RePEc:jof:jforec:v:23:y:2004:i:3:p:155-171.

    Full description at Econpapers || Download paper

  250. The term structure of commercial paper rates. (2004). Oliner, Stephen ; Downing, Chris .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2004-18.

    Full description at Econpapers || Download paper

  251. LARCH, leverage, and long memory. (2004). Surgailis, Donatas ; Leipus, Remigijus ; Robinson, Peter M. ; Giraitis, Liudas.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:294.

    Full description at Econpapers || Download paper

  252. An analysis of option pricing under systematic consumption risk using GARCH. (2004). Masih, Abul ; Georgievski, Alex ; Masih, A. Mansur M., .
    In: Research in International Business and Finance.
    RePEc:eee:riibaf:v:18:y:2004:i:2:p:151-171.

    Full description at Econpapers || Download paper

  253. Do Markov-switching models capture nonlinearities in the data?. (2004). pagan, adrian ; Breunig, Robert.
    In: Mathematics and Computers in Simulation (MATCOM).
    RePEc:eee:matcom:v:64:y:2004:i:3:p:401-407.

    Full description at Econpapers || Download paper

  254. Structural changes in volatility and stock market development: Evidence for Spain. (2004). Pérez de Gracia, Fernando ; Gómez Biscarri, Javier ; Cuñado, Juncal ; Hidalgo, Fernando Perez de Gracia, ; Eizaguirre, Juncal Cunado.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:28:y:2004:i:7:p:1745-1773.

    Full description at Econpapers || Download paper

  255. The effect of CBOE option listing on the volatility of NYSE traded stocks: a time-varying variance approach. (2004). Mazouz, Khelifa.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:11:y:2004:i:5:p:695-708.

    Full description at Econpapers || Download paper

  256. Official Interventions and Occasional Violations of Uncovered Interest Parity in the Dollar-DM Market. (2004). Moh, Young-Kyu ; Mark, Nelson.
    In: Econometric Society 2004 Far Eastern Meetings.
    RePEc:ecm:feam04:762.

    Full description at Econpapers || Download paper

  257. Modeling dependence structure in size-sorted portfolios: A Structural Multivariate GARCH Model. (2004). Milunovich, George.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:55.

    Full description at Econpapers || Download paper

  258. Applied Time Series Econometrics. (2004). Lütkepohl, Helmut ; Krätzig, Markus.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521547871.

    Full description at Econpapers || Download paper

  259. Price Common Volatility or Volume Common Volatility? Evidence from Taiwans Exchange Rate and Stock Markets. (2004). Chen, Shyh-Wei ; Shen, Chung-Hua.
    In: Asian Economic Journal.
    RePEc:bla:asiaec:v:18:y:2004:i:2:p:185-211.

    Full description at Econpapers || Download paper

  260. Asset Pricing, Volatility and Market Behaviour: A Market Fraction Approach. (2003). He, Xuezhong.
    In: Research Paper Series.
    RePEc:uts:rpaper:95.

    Full description at Econpapers || Download paper

  261. Estimation of an Adaptive Stock Market Model with Heterogeneous Agents. (2003). Amilon, Henrik.
    In: Research Paper Series.
    RePEc:uts:rpaper:107.

    Full description at Econpapers || Download paper

  262. Volatility and Volume in Chinese Stock Markets. (2003). Copeland, Laurence ; Zhang, Biqiong.
    In: Journal of Chinese Economic and Business Studies.
    RePEc:taf:jocebs:v:1:y:2003:i:3:p:287-300.

    Full description at Econpapers || Download paper

  263. An investigation of the unconditional distribution of South African stock index returns. (2003). Beelders, O..
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:13:y:2003:i:9:p:623-633.

    Full description at Econpapers || Download paper

  264. Signal Extraction can Generate Volatility Clusters. (2003). McCulloch, J. Huston ; Bidarkota, Prasad.
    In: Computing in Economics and Finance 2003.
    RePEc:sce:scecf3:59.

    Full description at Econpapers || Download paper

  265. A simple framework for analysing bull and bear markets. (2003). Sossounov, Kirill ; pagan, adrian.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:18:y:2003:i:1:p:23-46.

    Full description at Econpapers || Download paper

  266. LARCH, leverage and long memory. (2003). Surgailis, Donatas ; Leipus, Remigijus ; Robinson, Peter M. ; Giraitis, Liudas.
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:2020.

    Full description at Econpapers || Download paper

  267. Time variation in the credit spreads on Australian Eurobonds. (2003). Hogan, Warren ; Batten, Jonathan.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:11:y:2003:i:1:p:81-99.

    Full description at Econpapers || Download paper

  268. Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [. (2003). Lebaron, Blake.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:19:y:2003:i:4:p:751-752.

    Full description at Econpapers || Download paper

  269. Modelling the implied probability of stock market movements. (2003). Scheicher, Martin ; Glatzer, Ernst .
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2003212.

    Full description at Econpapers || Download paper

  270. LARCH, Leverage and Long Memory. (2003). Giraitis, Liudas ; Surgailis, Donatas ; Robinson, Peter M ; Leipus, Remigijus.
    In: STICERD - Econometrics Paper Series.
    RePEc:cep:stiecm:460.

    Full description at Econpapers || Download paper

  271. Empirical Distributions of Log-Returns: between the Stretched Exponential and the Power Law?. (2003). Malevergne, Yannick ; Sornette, D. ; Pisarenko, V. F..
    In: Papers.
    RePEc:arx:papers:physics/0305089.

    Full description at Econpapers || Download paper

  272. Speculative bubbles and fat tail phenomena in a heterogeneous agent model. (2003). Kaizoji, Taisei.
    In: Papers.
    RePEc:arx:papers:nlin/0312040.

    Full description at Econpapers || Download paper

  273. From Efficient Markets Theory to Behavioral Finance. (2003). Shiller, Robert.
    In: Journal of Economic Perspectives.
    RePEc:aea:jecper:v:17:y:2003:i:1:p:83-104.

    Full description at Econpapers || Download paper

  274. Asset Pricing with Observable Stochastic Discount Factors.. (2002). Wickens, Michael ; Smith, Peter.
    In: Discussion Papers.
    RePEc:yor:yorken:02/03.

    Full description at Econpapers || Download paper

  275. Learning About Models and Their Fit to Data. (2002). pagan, adrian.
    In: International Economic Journal.
    RePEc:taf:intecj:v:16:y:2002:i:2:p:1-18.

    Full description at Econpapers || Download paper

  276. Time varying country risk: an assessment of alternative modelling techniques. (2002). faff, robert ; McKenzie, M. ; Brooks, R. D..
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:8:y:2002:i:3:p:249-274.

    Full description at Econpapers || Download paper

  277. A non-linear time series approach to modelling asymmetry in stock market indexes. (2002). Storti, Giuseppe ; Amendola, Alessandra.
    In: Statistical Methods & Applications.
    RePEc:spr:stmapp:v:11:y:2002:i:2:d:10.1007_bf02511487.

    Full description at Econpapers || Download paper

  278. Short-run lats rate movements: impact of foreign currency shocks via trade and financial markets. (2002). Qin, Duo ; Kazaks, Martins .
    In: UCL SSEES Economics and Business working paper series.
    RePEc:see:wpaper:26.

    Full description at Econpapers || Download paper

  279. Short-run Lats Rate Movements: Impact of Foreign Currency Shocks via Trade and Financial Markets. (2002). Qin, Duo ; Kazaks, Martin.
    In: Working Papers.
    RePEc:qmw:qmwecw:457.

    Full description at Econpapers || Download paper

  280. Signal Extraction Can Generate Volatility Clusters From IID Shocks. (2002). McCulloch, J. Huston ; Bidarkota, Prasad.
    In: Working Papers.
    RePEc:osu:osuewp:02-04.

    Full description at Econpapers || Download paper

  281. Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos. (2002). Sornette, Didier ; Malevergne, Yannick ; Malaspinas, A ; Eckmann, Jean-Pierre ; Corcos, Anne.
    In: Post-Print.
    RePEc:hal:journl:hal-03833822.

    Full description at Econpapers || Download paper

  282. “Slimming” of power-law tails by increasing market returns. (2002). Sornette, D..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:309:y:2002:i:3:p:403-418.

    Full description at Econpapers || Download paper

  283. Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations. (2002). Beine, Michel ; Benassy-Quere, Agnès ; Lecourt, Christelle.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:21:y:2002:i:1:p:115-144.

    Full description at Econpapers || Download paper

  284. Volatility clustering and nontrading days in Chinese stock markets. (2002). Friedmann, Ralph ; Sanddorf-Kohle, Walter G..
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:54:y:2002:i:2:p:193-217.

    Full description at Econpapers || Download paper

  285. A microsimulation of traders activity in the stock market: the role of heterogeneity, agents interactions and trade frictions. (2002). Iori, Giulia.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:49:y:2002:i:2:p:269-285.

    Full description at Econpapers || Download paper

  286. Journal of economic behavior and organization: special issue on heterogeneous interacting agents in financial markets. (2002). Marchesi, Michele ; Lux, Thomas.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:49:y:2002:i:2:p:143-147.

    Full description at Econpapers || Download paper

  287. Bayesian option pricing using asymmetric GARCH models. (2002). Lubrano, Michel ; Bauwens, Luc.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:9:y:2002:i:3:p:321-342.

    Full description at Econpapers || Download paper

  288. Stationarity of stable power-GARCH processes. (2002). Mittnik, Stefan ; Paolella, Marc S. ; Rachev, Svetlozar T..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:106:y:2002:i:1:p:97-107.

    Full description at Econpapers || Download paper

  289. From Efficient Market Theory to Behavioral Finance. (2002). Shiller, Robert.
    In: Cowles Foundation Discussion Papers.
    RePEc:cwl:cwldpp:1385.

    Full description at Econpapers || Download paper

  290. Measures of Fit for Rational Expectations Models.. (2002). Engsted, Tom.
    In: Journal of Economic Surveys.
    RePEc:bla:jecsur:v:16:y:2002:i:3:p:301-55.

    Full description at Econpapers || Download paper

  291. Tail Dependence of Factor Models. (2002). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/0202356.

    Full description at Econpapers || Download paper

  292. Examining Competition in Land Market: An Application of Event Study to Land Auctions in Hong Kong. (2001). Fu, Yuming ; Ching, Stephen .
    In: Wisconsin-Madison CULER working papers.
    RePEc:wop:wisule:01-01.

    Full description at Econpapers || Download paper

  293. Application of statistical physics methods and conceptsto the study of science & technology systems. (2001). , Luis ; Luis , ; Stanley, H E ; Plerou, Vasiliki ; Matia, Kaushik ; Gopikrishnan, P.
    In: Scientometrics.
    RePEc:spr:scient:v:51:y:2001:i:1:d:10.1023_a:1010556426328.

    Full description at Econpapers || Download paper

  294. Margin Exceedences for European Stock Index Futures using Extreme Value Theory. (2001). cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3534.

    Full description at Econpapers || Download paper

  295. THE RANDOM WALK OF STOCK PRICES: IMPLICATIONS OF RECENT NONPARA-METRIC TESTS. (2001). Dahl, Christian ; Nielsen, Steen .
    In: Working Papers.
    RePEc:hhs:cbsnow:2001_007.

    Full description at Econpapers || Download paper

  296. Correlations and multi-affinity in high frequency financial datasets. (2001). Vulpiani, Angelo ; Baviera, Roberto ; Pasquini, Michele ; Serva, Maurizio ; Vergni, Davide.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:300:y:2001:i:3:p:551-557.

    Full description at Econpapers || Download paper

  297. Price fluctuations and market activity. (2001). Gabaix, Xavier ; Amaral, L. A. N., ; Plerou, V. ; Gopikrishnan, P. ; Stanley, H. E..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:299:y:2001:i:1:p:137-143.

    Full description at Econpapers || Download paper

  298. A model for the growth dynamics of economic organizations. (2001). Amaral, L. A. N., ; Plerou, V. ; Gopikrishnan, P. ; Stanley, H. E..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:299:y:2001:i:1:p:127-136.

    Full description at Econpapers || Download paper

  299. Testing for non-linear structure in an artificial financial market. (2001). Marchesi, Michele ; Lux, Thomas ; Chen, Shu-Heng.
    In: Journal of Economic Behavior & Organization.
    RePEc:eee:jeborg:v:46:y:2001:i:3:p:327-342.

    Full description at Econpapers || Download paper

  300. Margin exceedences for European stock index futures using extreme value theory. (2001). cotter, john.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:25:y:2001:i:8:p:1475-1502.

    Full description at Econpapers || Download paper

  301. Financial econometrics: Past developments and future challenges. (2001). Bollerslev, Tim.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:100:y:2001:i:1:p:41-51.

    Full description at Econpapers || Download paper

  302. Evolving traders and the business school with genetic programming: A new architecture of the agent-based artificial stock market. (2001). Chen, Shu-Heng ; Yeh, Chia-Hsuan .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:25:y:2001:i:3-4:p:363-393.

    Full description at Econpapers || Download paper

  303. Outliers and conditional autoregressive heteroscedasticity in time series. (2001). Ruiz, Esther ; Carnero, M. Angeles ; Pea, Daniel.
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws010704.

    Full description at Econpapers || Download paper

  304. Mean Reversion of Interest Rates in the Eurocurrency Market.. (2001). Wu, Jyh-lin ; Chen, Show-Lin .
    In: Oxford Bulletin of Economics and Statistics.
    RePEc:bla:obuest:v:63:y:2001:i:4:p:459-73.

    Full description at Econpapers || Download paper

  305. Testing the Gaussian Copula Hypothesis for Financial Assets Dependences. (2001). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/0111310.

    Full description at Econpapers || Download paper

  306. Microscopic Models of Financial Markets. (2001). Lux, Thomas ; Stauffer, D. ; Zschischang, E. ; Samanidou, E..
    In: Papers.
    RePEc:arx:papers:cond-mat/0110354.

    Full description at Econpapers || Download paper

  307. Imitation and contrarian behavior: hyperbolic bubbles, crashes and chaos. (2001). Malevergne, Yannick ; Corcos, A. ; J. -P. Eckmann, ; Sornette, D. ; Malaspinas, A..
    In: Papers.
    RePEc:arx:papers:cond-mat/0109410.

    Full description at Econpapers || Download paper

  308. Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation. (2001). Malevergne, Yannick ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/0101371.

    Full description at Econpapers || Download paper

  309. Slimming of power law tails by increasing market returns. (2001). Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/0010112.

    Full description at Econpapers || Download paper

  310. Adaptive Beliefs and the volatility of asset prices. (2001). Wagener, Florian ; Hommes, Cars ; Gaunersdorfer, Andrea.
    In: CeNDEF Workshop Papers, January 2001.
    RePEc:ams:cdws01:5a.1.

    Full description at Econpapers || Download paper

  311. Some Exact Formulae for the Constant Correlation and Diagonal M - Garch Models. (2000). Karanasos, Menelaos.
    In: Discussion Papers.
    RePEc:yor:yorken:00/14.

    Full description at Econpapers || Download paper

  312. The Covariance Structure of Mixed ARMA Models. (2000). Karanasos, Menelaos.
    In: Discussion Papers.
    RePEc:yor:yorken:00/11.

    Full description at Econpapers || Download paper

  313. Learning in a Generalized Dornbusch Model of Exchange Rate Dynamics. (2000). Chiarella, Carl ; Khomin, Alexander.
    In: Working Paper Series.
    RePEc:uts:wpaper:102.

    Full description at Econpapers || Download paper

  314. Asymmetries in Conditional Mean and Variance: Modelling Stock Returns by asMA-asQGARCH. (2000). Brännäs, Kurt ; De Gooijer, Jan G. ; Brannas, Kurt .
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20000049.

    Full description at Econpapers || Download paper

  315. Further insights on the puzzle of technical analysis profitability. (2000). Maillet, Bertrand ; Bertrand Maillet, Thierry Michel, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:2:p:196-224.

    Full description at Econpapers || Download paper

  316. Time-varying risk in the German stock market. (2000). Scheicher, Martin.
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:6:y:2000:i:1:p:70-91.

    Full description at Econpapers || Download paper

  317. Dépendance de court et de long terme des rendements de taux de change. (2000). Lecourt, Christelle.
    In: Économie et Prévision.
    RePEc:prs:ecoprv:ecop_0249-4744_2000_num_146_5_6132.

    Full description at Econpapers || Download paper

  318. Exploring the economic rationale of extremes in GARCH generated betas The case of U.S. banks. (2000). faff, robert ; Brooks, Robert ; McKenzie, Michael D. ; Ho, Yew Kee.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:40:y:2000:i:1:p:85-106.

    Full description at Econpapers || Download paper

  319. Quantifying fluctuations in economic systems by adapting methods of statistical physics. (2000). Amaral, L. A. N., ; Plerou, V. ; Gopikrishnan, P. ; Stanley, H. E..
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:287:y:2000:i:3:p:339-361.

    Full description at Econpapers || Download paper

  320. Markovian approximation in foreign exchange markets. (2000). Vulpiani, Angelo ; Baviera, Roberto ; Vergni, Davide.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:280:y:2000:i:3:p:566-581.

    Full description at Econpapers || Download paper

  321. Indeterminacy in foreign exchange markets. (2000). Serva, Maurizio ; Pasquini, Michele .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:277:y:2000:i:1:p:228-238.

    Full description at Econpapers || Download paper

  322. Diagnosing and treating the fat tails in financial returns data. (2000). Mittnik, Stefan ; Paolella, Marc S. ; Rachev, Svetlozar T..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:7:y:2000:i:3-4:p:389-416.

    Full description at Econpapers || Download paper

  323. Volatility dynamics under duration-dependent mixing. (2000). McCurdy, Tom ; Maheu, John.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:7:y:2000:i:3-4:p:345-372.

    Full description at Econpapers || Download paper

  324. Estimation of tail-related risk measures for heteroscedastic financial time series: an extreme value approach. (2000). McNeil, Alexander J. ; Frey, Rudiger.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:7:y:2000:i:3-4:p:271-300.

    Full description at Econpapers || Download paper

  325. Density Forecasting: A Survey. (2000). Wallis, Kenneth ; Tay, Anthony S.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0370.

    Full description at Econpapers || Download paper

  326. Non-Linear Time Series Models in Empirical Finance. (2000). Franses, Philip Hans ; van Dijk, Dick.
    In: Cambridge Books.
    RePEc:cup:cbooks:9780521779654.

    Full description at Econpapers || Download paper

  327. The Nasdaq crash of April 2000: Yet another example of log-periodicity in a speculative bubble ending in a crash. (2000). Johansen, Anders ; Sornette, Didier.
    In: Papers.
    RePEc:arx:papers:cond-mat/0004263.

    Full description at Econpapers || Download paper

  328. Peaks or tails: What distinguishes financial data?. (1999). Krämer, Walter ; Runde, Ralf ; Kramer, Walter.
    In: Technical Reports.
    RePEc:zbw:sfb475:199908.

    Full description at Econpapers || Download paper

  329. Modelling exchange rates volatility with multivariate long-memory ARCH processes. (1999). TEYSSIeRE, Gilles .
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:19995.

    Full description at Econpapers || Download paper

  330. Komplexe Aktien- und Wechselkursdynamik in einem makroökonomischen Modell mit heterogener Erwartungsbildung. (1999). Pierdzioch, Christian ; Stadtmann, Georg.
    In: Kiel Working Papers.
    RePEc:zbw:ifwkwp:911.

    Full description at Econpapers || Download paper

  331. Evolving Traders and the Faculty of the Business School: A New Architecture of the Artificial Stock Market. (1999). Chen, Shu-Heng ; Yeh, Chia-Hsuan .
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:613.

    Full description at Econpapers || Download paper

  332. Heterogeneous Beliefs, Intelligent Agents, and Allocative Efficiency in an Artificial Stock Market. (1999). Yang, Jing.
    In: Computing in Economics and Finance 1999.
    RePEc:sce:scecf9:612.

    Full description at Econpapers || Download paper

  333. Jumps in the Volatility of Financial Markets.. (1999). Perron, Benoit.
    In: Cahiers de recherche.
    RePEc:mtl:montde:9912.

    Full description at Econpapers || Download paper

  334. Size and book-to-market factors in a multivariate GARCH-in-mean asset pricing application. (1999). Dunne, Peter.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:8:y:1999:i:1:p:35-52.

    Full description at Econpapers || Download paper

  335. Multiscale behaviour of volatility autocorrelations in a financial market. (1999). Serva, Maurizio ; Pasquini, Michele .
    In: Economics Letters.
    RePEc:eee:ecolet:v:65:y:1999:i:3:p:275-279.

    Full description at Econpapers || Download paper

  336. The Impact of Foreign Exchange Interventions: New Evidence from FIGARCH Estimations. (1999). Beine, Michel ; Benassy-Quere, Agnès ; Christine Lecourt Keywords : Exchange rates; offic, .
    In: Working Papers.
    RePEc:cii:cepidt:1999-14.

    Full description at Econpapers || Download paper

  337. The Getting of Macroeconomic Wisdom. (1999). pagan, adrian.
    In: CEPR Discussion Papers.
    RePEc:auu:dpaper:412.

    Full description at Econpapers || Download paper

  338. On Rational Bubbles and Fat Tails. (1999). Lux, Thomas ; Sornette, D..
    In: Papers.
    RePEc:arx:papers:cond-mat/9910141.

    Full description at Econpapers || Download paper

  339. Indeterminacy in foreign exchange market. (1999). Serva, Maurizio ; Pasquini, Michele .
    In: Papers.
    RePEc:arx:papers:cond-mat/9906343.

    Full description at Econpapers || Download paper

  340. Testing backtesting : an evaluation of the Basle guidelines for backtesting internal risk management models of banks. (1998). Lucas, Andre.
    In: Serie Research Memoranda.
    RePEc:vua:wpaper:1998-1.

    Full description at Econpapers || Download paper

  341. New Insights into Smile, Mispricing, and Value at Risk: The Hyperbolic Model.. (1998). Eberlein, Ernst ; Keller, Ulrich ; Prause, Karsten.
    In: The Journal of Business.
    RePEc:ucp:jnlbus:v:71:y:1998:i:3:p:371-405.

    Full description at Econpapers || Download paper

  342. A Hybrid Joint Moment Ratio Test for Financial Time Series. (1998). Lucas, Andre ; Groenendijk, Patrick A. ; de Vries, Casper G..
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:19980104.

    Full description at Econpapers || Download paper

  343. An investigation of the maximal moments of exchange rates. (1998). Omran, M. F..
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:5:y:1998:i:10:p:603-606.

    Full description at Econpapers || Download paper

  344. LAPM: A Liquidity-based Asset Pricing Model. (1998). Tirole, Jean ; Holmstrom, Bengt.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:6673.

    Full description at Econpapers || Download paper

  345. Common Stochastic Trends among Asian Currencies: Evidence for Japan, ASEANs, and the Asian Tigers.. (1998). MOUGOUE, Mbodja ; Aggarwal, Raj.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:10:y:1998:i:2:p:193-206.

    Full description at Econpapers || Download paper

  346. Modelling Stock Market Excess Returns by Markov Modulated Gaussian Noise. (1998). Muscatelli, Vito ; Hurn, Stan.
    In: Working Papers.
    RePEc:gla:glaewp:9806.

    Full description at Econpapers || Download paper

  347. Banks demand for reserves when future monetary policy is uncertain. (1998). Nautz, Dieter.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:42:y:1998:i:1:p:161-183.

    Full description at Econpapers || Download paper

  348. Real interest rates and shifts in macroeconomic volatility. (1998). Kool, Clemens ; Koedijk, Kees ; Nissen, Francois.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:5:y:1998:i:3:p:241-261.

    Full description at Econpapers || Download paper

  349. Smooth transition GARCH models: a Bayesian perspective. (1998). Lubrano, Michel.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:1998066.

    Full description at Econpapers || Download paper

  350. Herd behavior and aggregate fluctuations in financial markets. (1998). Bouchaud, Jean-Philippe ; Cont, Rama.
    In: Papers.
    RePEc:arx:papers:cond-mat/9712318.

    Full description at Econpapers || Download paper

  351. Herd behavior and aggregate fluctuations in financial markets. (1997). Bouchaud, Jean-Philippe ; Cont, Rama.
    In: Finance.
    RePEc:wpa:wuwpfi:9712008.

    Full description at Econpapers || Download paper

  352. Moment condition failure in stock returns: UK evidence. (1997). Omran, M. F..
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:4:y:1997:i:4:p:201-206.

    Full description at Econpapers || Download paper

  353. Herd behavior and aggregate fluctuations in financial markets. (1997). Bouchaud, Jean-Philippe ; Cont, Rama.
    In: Science & Finance (CFM) working paper archive.
    RePEc:sfi:sfiwpa:500028.

    Full description at Econpapers || Download paper

  354. Scaling and correlation in financial data. (1997). Cont, Rama.
    In: Papers.
    RePEc:arx:papers:cond-mat/9705075.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Abel, A.B. ; Mishkin, F.S. An integrated view of tests of rationality, market efficiency and short-run neutrality of monetary policy. 1983 Journal of Monetary Economics. 11 3-24

  2. Albert, J. ; Chib, S. Bayesian analysis via Gibbs sampling of autoregressive time series subject to mean and variance Markov shifts. 1993 Journal of Business and Economic Statistics. 11 1-15

  3. Andersen, T. ; Sørensen, B.E. GMM estimation of a stochastic volatility model: A monte Carlo study. 1994 En : . Brown University,:

  4. Andersen, T.G. Volatility. 1992 En : . Kellogg Graduate School of Business, Northwestern University,:
    Paper not yet in RePEc: Add citation now
  5. Anderson, T.G. ; Sørensen, B.E. A note on Ruiz (1994): Quasi-maximum likelihood estimation of stochastic volatility models. 1994 En : . Kellogg Graduate School of Management,:
    Paper not yet in RePEc: Add citation now

  6. Baillie, R. ; Bollerslev, T. Common stochastic trends in a system of exchange rates. 1989 Journal of Finance. 44 167-182

  7. Baillie, R. ; Bollerslev, T. The long memory of the forward premium. 1994 Journal of International Money and Finance. 13 565-572

  8. Baillie, R.T. Long memory processes and fractional integration in economics and finance. 1996 Journal of Econometrics. -

  9. Baillie, R.T. Tests of rational expectations and market efficiency. 1989 Econometric Reviews. 8 151-186
    Paper not yet in RePEc: Add citation now

  10. Baillie, R.T. ; Bollerslev, T. ; Mikkelson, H.O. Fractionally integrated autoregressive conditional heteroskedasticity. 1996 Journal of Econometrics. -

  11. Baillie, R.T. ; Myers, R.J. Bivariate GARCH estimation of the optimal commodity futures hedge. 1991 Journal of Applied Econometrics. 6 109-124

  12. Ball, C.A. ; Roma, A. Target zone modelling and estimation for European monetary system exchange rates. 1994 Journal of Empirical Finance. 1 385-420

  13. Bansal, R. ; Gallant, A.R. ; Hussey, R. ; Tauchen, G. Nonparametric estimation of structural models for high frequency market data. 1994 Journal of Econometrics. -
    Paper not yet in RePEc: Add citation now

  14. Bekaert, G. ; Hodrick, R.J. Characterizing predictable components in excess returns on equity and foreign exchange markets. 1992 Journal of Finance. 47 467-509

  15. Beveridge, S. ; Nelson, C.R. A new approach to the decomposition of economic time series into permanent and transitory components with particular attention to measurement of the business cycle. 1981 Journal of Monetary Economics. 7 151-174

  16. Black, F. Studies in stock volatility changes. 1976 En : Proceedings of the 1976 Meetings of the Business and Economics Statistics Section. American Statistical Association,:
    Paper not yet in RePEc: Add citation now

  17. Bollerslev, T. Generalized autoregressive conditional heteroskedasticity. 1986 Journal of Econometrics. 31 307-327

  18. Bollerslev, T. Modelling the coherence in short-run nominal exchange rates: A generalized ARCH model. 1990 Review of Economic Statistics. 72 498-505

  19. Bollerslev, T. ; Chou, R.Y. ; Kroner, K.F. ARCH modeling in finance: A review of the theory and empirical evidence. 1992 Journal of Econometrics. 52 5-59

  20. Bollerslev, T. ; Engle, R.F. Common persistence in conditional variances: Definition and representation. 1993 Econometrica. 61 167-186

  21. Bollerslev, T. ; Engle, R.F. ; Nelson, D.B. ARCH models. 1994 En : . North-Holland,:

  22. Bollerslev, T. ; Hodrick, R.J. Financial market efficiency tests. 1992 En : . Kellogg Graduate School of Management, Northwestern University,:

  23. Bollerslev, T.R. ; Engle, F. ; Wooldridge, J. A capital asset pricing model with time varying covariances. 1988 Journal of Political Economy. 96 116-131

  24. Bossaerts, P. ; Hillion, P. Local parametric analysis of hedging in discrete time. 1994 Tilburg University,:

  25. Bougerol, P. ; Picard, N. Stationarity of GARCH processes and of some nondashnegative time series. 1992 Journal of Econometrics. 52 115-127

  26. Braun, P.A. ; Nelson, D.B. ; Sunier, A.M. Good news, bad news, volatility and betas. 1992 University of Chicago,:
    Paper not yet in RePEc: Add citation now

  27. Breeden, D.T. An intertemporal asset pricing model with stochastic consumption and investment opportunities. 1979 Journal of Financial Economics. 7 265-296

  28. Brenner, R.J. ; Harjes, R.H. ; Kroner, K. Another look at alternative models of the short-term interest rate. 1994 University of Arizona,:
    Paper not yet in RePEc: Add citation now
  29. Brock, W. ; Dechert, W.D. ; Scheinkman, J.A. A test for independence based on the correlation dimension. 1987 University of Wisconsin,: Madison
    Paper not yet in RePEc: Add citation now
  30. Brockwell, P.J. ; Davis, R.A. Time series: Theory and methods. 1991 Springer-Verlag,: New York
    Paper not yet in RePEc: Add citation now
  31. Broze, L. ; Scaillet, O. ; Zakoian, J.M. Testing for continuous time models of the short-term interest rates. 1993 En : . CORE,:
    Paper not yet in RePEc: Add citation now

  32. Burnside, C. HansendashJagannathan bounds as classical tests of asset pricing models. 1994 Journal of Business and Economic Statistics. 12 57-79

  33. Cai, J. A Markov model of unconditional variance in ARCH. 1994 Journal of Business and Economic Statistics. 12 309-316
    Paper not yet in RePEc: Add citation now

  34. Cameron, A.C. ; Trivedi, P.K. Tests of independence in parametric models with applications and illustrations. 1993 Journal of Business and Economic Statistics. 11 29-43

  35. Campbell, J. ; Shiller, R.J. Cointegration and tests of present value models. 1987 Journal of Political Economy. 95 1062-1088

  36. Campbell, J.Y. Intertemporal asset pricing without consumption data. 1992 Princeton University,:

  37. Cecchetti, S.G. ; Lam, P-S ; Mark, N.C. Testing volatility restrictions on intertemporal marginal rates of substitution implied by Euler equations and asset returns. 1994 Journal of Finance. XLIX 123-152

  38. Chan, K.C. ; Karolyi, G.A. ; Longstaff, F.A. ; Sanders, A.B. An empirical comparison of alternative models of the short-term interest rate. 1992 Journal of Finance. XLVII 1209-1227

  39. Chen, R.R. ; Scott, L. Maximum likelihood estimation for a multifactor equilibrium model of the term structure of interest rates. 1993 Journal of Fixed Income. 3 14-31
    Paper not yet in RePEc: Add citation now

  40. Chesney, M. ; Scott, L.O. Pricing European currency options: A comparison of the modified Black-Scholes model and a random variance model. 1989 Journal of Financial and Quantitative Analysis. 24 267-284

  41. Chib, S. ; Greenberg, E. Markov chain Monte Carlo simulation methods in econometrics. 1994 Washington University,:

  42. Chib, S. ; Greenberg, E. Understanding the Metropolis-Hastings algorithm. 1994 Washington University,:
    Paper not yet in RePEc: Add citation now

  43. Christiano, L.J. ; Eichenbaum, M. Unit roots in GNP: Do we know and do we care?. 1990 Carnegie-Rochester series on public policy. 32 7-61

  44. Christie, A.A. The stochastic behaviour of common stock variances: Value, leverage and interest rate effects. 1982 Journal of Financial Economics. 10 407-432

  45. Chu, C-S.J. Detecting parameter shift in GARCH models. 1995 Econometric Reviews. 14 241-266
    Paper not yet in RePEc: Add citation now

  46. Clark, P.K. A subordinated stochastic process model with finite variance for speculative prices. 1973 Econometrica. 41 135-155

  47. Cochrane, J.H. How big is the random walk in GNP. 1988 Journal of Political Economy. 96 893-920

  48. Constantinides, G.M. Habit formation: A resolution of the equity premium puzzle. 1990 Journal of Political Economy. 98 519-543

  49. Cox, J. ; Ingersoll, J. ; Ross, S. A theory of the term structure of interest rates. 1985 Econometrica. 53 385-407

  50. Crowder, W.J. Foreign exchange market efficiency and common stochastic trends. 1994 Journal of International Money and Finance. 13 551-564

  51. Danielsson, J. Multivariate stochastic volatility. 1993 University of Iceland,:
    Paper not yet in RePEc: Add citation now

  52. Danielsson, J. Stochastic volatility in asset prices: Estimation with simulated maximum likelihood. 1994 Journal of Econometrics. 64 375-400

  53. Danielsson, J. ; Richard, J.F. Accelerated Gaussian importance sampler with application to dynamic latent variable models. 1993 Journal of Applied Econometrics. 8 S153-S174

  54. Das, S.R. Jump-hunting interest rates. 1993 New York University,:
    Paper not yet in RePEc: Add citation now
  55. De Lima, P. ; Breidt, F.J. ; Crato, N. Modelling long-memory stochastic volatility. 1994 Johns Hopkins University,:
    Paper not yet in RePEc: Add citation now

  56. De Lima, P. ; Crato, N. Long range dependence in the conditional variance of stock returns. 1994 Economic Letters. 45 281-285

  57. De, Jong ; Shephard, N. Efficient sampling from the smoothing density in time series models. 1993 Nuffield College,:
    Paper not yet in RePEc: Add citation now
  58. Den Haan, W.J. ; Levin, A. Inferences from parametric and nondashparametric covariance matrix estimation procedures. 1994 University of California,: San Diego
    Paper not yet in RePEc: Add citation now
  59. Den Haan, W.J. ; Spear, S. Credit conditions, cross-sectional dispersion and ARCH effects in a dynamic equilibrium model. 1994 University of California,: San Diego
    Paper not yet in RePEc: Add citation now
  60. Diebold, F.X. Empirical modeling of exchange rate dynamics. 1988 Springer-Verlag,: New York
    Paper not yet in RePEc: Add citation now
  61. Diebold, F.X. Modeling the persistence of conditional variances: A comment. 1986 Econometric Reviews. 5 51-56
    Paper not yet in RePEc: Add citation now
  62. Diebold, F.X. ; Lopez, J.A. ARCH models. 1995 En : Hoover, K. Macroeconometrics: Developments, tensions and prospects. Kluwer Publishing Co,:
    Paper not yet in RePEc: Add citation now

  63. Diebold, F.X. ; Nason, J. Nonparametric exchange rate prediction. 1990 Journal of International Economics. 28 315-322

  64. Diebold, F.X. ; Nerlove, M. The dynamics of exchange rate volatility: A multivariate latent-factor ARCH model. 1989 Journal of Applied Econometrics. 4 1-22

  65. Diebold, F.X. ; Rudebusch, G.D. Long memory and persistence in aggregate output. 1989 Journal of Monetary Economics. 24 189-209

  66. Diebold, F.X. ; Schuermann, T. Exact maximum likelihood estimation of observationdashdriven econometric models. 1996 En : Mariano, R.S. ; Weeks, M. ; Schuermann, T. Simulationdashbased inference in econometrics: Methods and applications. Cambridge University Press,: Cambridge

  67. Ding, Z. ; Granger, C.W.J. ; Engle, R.F. A long memory property of stock market returns and a new model. 1993 Journal of Empirical Finance. 1 83-105

  68. Drost, F.C. ; Klassen, C.A.J. Adaptivity in semiparametric GARCH models. 1994 University of Tilburg,:
    Paper not yet in RePEc: Add citation now

  69. Drost, F.C. ; Nijman, T.E. Temporal aggregation of GARCH processes. 1993 Econometrica. 61 909-927

  70. Duffie, D. ; Kap, R. A yield-factor model of interest rates. 1993 Graduate School of Business, Stanford University,:
    Paper not yet in RePEc: Add citation now

  71. Duffie, P. ; Singleton, K.J. Simulated moments estimation of Markov models of asset prices. 1993 Econometrica. 61 929-952

  72. Dufour, J.M. ; King, M.L. Optimal invariant tests for the autocorrelation coefficient in linear regressions with stationary or nondashstationary AR(1) errors. 1991 Journal of Econometrics. 47 115-143

  73. Durbin, J. Efficient estimation of parameters in moving-average models. 1959 Biometrika. 46 306-316
    Paper not yet in RePEc: Add citation now
  74. Durlauf, S.N. ; Hall, R.E. A signal extraction approach to recovering noise in expectations based models. 1989 Stanford University,:
    Paper not yet in RePEc: Add citation now
  75. Dybvig, P.H. Bonds and bond option pricing based on the current term structure. 1989 Washington University,: St. Louis
    Paper not yet in RePEc: Add citation now

  76. Elliott, G. ; Rothenberg, T.J. ; Stock, J.H. Efficient tests for an autoregressive unit root. 1992 Harvard University,:

  77. Engel, C. ; Hamilton, J.D. Long swings in the exchange rate: Are they in the data and do markets know it. 1990 American Economic Review. 80 689-713

  78. Engle, R.F. Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. 1982 Econometrica. 50 987-1008
    Paper not yet in RePEc: Add citation now
  79. Engle, R.F. ; Bollerslev, T. Modelling the persistence of conditional variances. 1986 Econometric Reviews. 5 1-50
    Paper not yet in RePEc: Add citation now

  80. Engle, R.F. ; Gonzalez-Rivera, G. Semiparametric ARCH models. 1991 Journal of Business and Economic Statistics. 9 345-360

  81. Engle, R.F. ; Ito, T. ; Lin, W.L. Meteor showers or heat waves? Heteroskedastic intra-daily volatility in the foreign exchange market. 1990 Econometrica. 58 525-542

  82. Engle, R.F. ; Kroner, K.F. Multivariate simultaneous generalized GARCH. 1995 Econometric Theory. 11 122-150

  83. Engle, R.F. ; Lee, G.G.J. A permanent and transitory component model of stock return volatility. 1992 University of California at San Diego,:
    Paper not yet in RePEc: Add citation now
  84. Engle, R.F. ; Lee, G.G.J. Estimating diffusion models of stochastic volatility. 1994 University of California at San Diego,:
    Paper not yet in RePEc: Add citation now

  85. Engle, R.F. ; Lillien, D.M. ; Robins, R.P. Estimating time varying risk premia in the term structure. 1987 Econometrica. 55 391-407

  86. Engle, R.F. ; Ng, V.K. Measuring and testing the impact of news on volatility. 1993 Journal of Finance. 48 1749-1778

  87. Engle, R.F. ; Ng, V.K. ; Rothchild, M. Asset pricing with a factor-ARCH covariance structure: Empirical estimates for treasury bills. 1990 Journal of Econometrics. 45 213-237

  88. Evans, M.D.D. ; Lewis, K.L. Do stationary risk premia explain it all? Evidence from the term structure. 1994 Journal of Monetary Economics. 33 285-318

  89. Fama, E.F. Foundations of Finance. 1976 Basic Books,: New York
    Paper not yet in RePEc: Add citation now

  90. Fama, E.F. ; French, K.R. Dividend yields and expected stock returns. 1988 Journal of Political Economy. 96 246-273

  91. Fama, E.F. ; French, K.R. Permanent and temporary components of stock prices. 1988 Journal of Political Economy. 96 246-273

  92. Fan, J. ; Heckman, N.E. ; Wand, M.P. Local polynomial kernel regression for generalized linear models and quasi-likelihood functions. 1994 Annals of Statistics. 22 1346-1370
    Paper not yet in RePEc: Add citation now

  93. Feinstone, L.J. Minute by minute: Efficiency, normality and randomness in intra-daily asset prices. 1987 Journal of Applied Econometrics. 2 193-214

  94. Fisher, M. ; Nychka, D. ; Zervos, D. Fitting the term structure of interest rates with smoothing splines. 1994 Board of Governors of the Federal Reserve System,:
    Paper not yet in RePEc: Add citation now

  95. Flavin, M. Excess volatility in the financial markets: A reassessment of the empirical evidence. 1983 Journal of Political Economy. 91 89-111

  96. French, K.R. ; Schwert, G.W. ; Stambaugh, R. Expected stock returns and volatility. 1987 Journal of Financial Economics. 19 3-30

  97. Friedman, B.M. ; Laibson, D.I. Economic implications of extraordinary movements in stock prices. 1989 Brookings Papers on Economic Activity. 2/89 137-189

  98. Fuhrer, J.G.Moore ; Schuh, S. Maximum likelihood versus generalized method of moments estimation of the linear-quadratic inventory model. 1995 Journal of Monetary Economics. 35 115-157

  99. Gallant, A.R. ; Hansen, L.P. ; Tauchen, G. Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution. 1990 Journal of Econometrics. 45 141-179

  100. Gallant, A.R. ; Hsieh, D. ; Tauchen, G. Estimation of stochastic volatility models with diagnostics. 1994 Duke University,:
    Paper not yet in RePEc: Add citation now

  101. Gallant, A.R. ; Hsieh, D.A. ; Tauchen, G. On fitting a recalcitrant series: The pound/dollar exchange rate, 1974–1983. 1991 En : Barnett, W.A. ; Powell, J. ; Tauchen, G.E. Nonparametric and semiparametric methods in econometrics and statistics. Cambridge University Press,: Cambridge

  102. Gallant, A.R. ; Rossi, J. ; Tauchen, G. Stock prices and volumes. 1992 Review of Financial Studies. 5 199-242
    Paper not yet in RePEc: Add citation now
  103. Gallant, A.R. ; Tauchen, G. A nonparametric approach to nonlinear time series analysis: Estimation and simulation. 1990 En : . Springer-Verlag,:
    Paper not yet in RePEc: Add citation now
  104. Gallant, A.R. ; Tauchen, G. Which moments to match?. 1992 Duke University,:
    Paper not yet in RePEc: Add citation now

  105. Gallant, R. On the bias in flexible functional forms and an essentially unbiased form: The Fourier flexible form. 1981 Journal of Econometrics. 15 211-244

  106. Gennotte, G. ; Marsh, T.A. Variations in economic uncertainty and risk premiums on capital markets. 1992 University of California at Berkeley,:
    Paper not yet in RePEc: Add citation now

  107. Geweke, J. Bayesian comparison of econometric models. 1994 University of Minnesota,:

  108. Ghose, D. ; Kroner, K.F. The relationship between GARCH and symmetric stable processes: Finding the source of fat tails in financial data. 1994 Journal of Empirical Finance. -
    Paper not yet in RePEc: Add citation now

  109. Glosten, L.R. ; Jagannathan, R. ; Runkle, D. On the relation between the expected value and the volatility of the nominal excess return on stocks. 1993 Journal of Finance. 48 1779-1802

  110. Gouriéroux, C. ; Monfort, A. Qualitative threshold ARCH models. 1992 Journal of Econometrics. 52 159-199

  111. Gouriéroux, C. ; Monfort, A. ; Renault, E. Indirect inference. 1993 Journal of Applied Econometrics. 8 S85-S118

  112. Gouriéroux, C. ; Scaillet, O. Estimation of the term structure from bond data. 1994 En : . CEPREMAP,:

  113. Gregory, A. ; Veall, M. Formulating tests of nondashlinear restrictions. 1985 Econometrica. 53 1465-1468
    Paper not yet in RePEc: Add citation now
  114. Härdle, W. Applied nondashparametric regression. 1990 Cambridge University Press,: Cambridge
    Paper not yet in RePEc: Add citation now

  115. Hamilton, J.D. A new approach to the economic analysis of nonstationary time series and the business cycle. 1989 Econometrica. 57 357-384

  116. Hamilton, J.D. Analysis of time series subject to changes in regime. 1990 Journal of Econometrics. 45 39-70

  117. Hamilton, J.D. Rational-expectations econometric analysis of changes in regime: An investigation of the term structure of interest rates. 1988 Journal of Economic Dynamics and Control. 12 385-423

  118. Hamilton, J.D. ; Susmel, R. Autoregressive conditional heteroskedasticity and changes in regime. 1994 Journal of Econometrics. 64 307-333

  119. Hamilton, J.D. ; Whiteman, C.H. The observable implications of self-fulfilling expectations. 1985 Journal of Monetary Economics. 16 353-373

  120. Hansen, B.E. Autoregressive conditional density estimation. 1994 International Economic Review. 35 705-730

  121. Hansen, B.E. Lagrange multiplier tests for parameter instability in nondashlinear models. 1990 University of Rochester,:
    Paper not yet in RePEc: Add citation now

  122. Hansen, L.P. Large sample properties of generalized method of moments estimators. 1982 Econometrica. 50 1029-1054

  123. Hansen, L.P. ; Hodrick, R.J. Forward exchange rates as optimal predictors of future spot rates: An econometric investigation. 1980 Journal of Political Economy. 88 829-853

  124. Hansen, L.P. ; Jagannathan, R. Implications of security market data for models of dynamic economies. 1991 Journal of Political Economy. 99 225-262

  125. Hansen, L.P. ; Singleton, K.J. Efficient estimation of linear asset pricing models with moving-average errors. 1990 NBER Technical paper No. 86. -
    Paper not yet in RePEc: Add citation now

  126. Hansen, L.P. ; Singleton, K.J. Generalized instrumental variables estimation of nondashlinear rational expectations models. 1982 Econometrica. 50 1269-1285

  127. Harrison, P. Are all financial time-series alike. 1994 Duke University,:
    Paper not yet in RePEc: Add citation now

  128. Harvey, A. ; Ruiz, E. ; Sentana, E. Unobserved component time series models with ARCH disturbances. 1992 Journal of Econometrics. 52 129-157

  129. Harvey, A. ; Ruiz, E. ; Shephard, N. Multivariate stochastic variance models. 1994 Review of Economic Studies. 61 247-264

  130. Harvey, A.C. ; Shephard, N. The econometrics of stochastic volatility. 1993 London School of Economics,:
    Paper not yet in RePEc: Add citation now

  131. Harvey, C. The world price of covariance risk. 1991 Journal of Finance. 46 111-157

  132. Hejazi, W. Are term premia stationary?. 1994 University of Toronto,:
    Paper not yet in RePEc: Add citation now
  133. Hentschel, L. All in the family: Nesting asymmetric GARCH models. 1994 En : paper given to the Econometric Society Winter Meeting. :
    Paper not yet in RePEc: Add citation now
  134. Hentschel, L. The absolute value GARCH model and the volatility of U.S. stock returns. 1991 Princeton University,:
    Paper not yet in RePEc: Add citation now

  135. Higgins, M.L. ; Bera, A.K. A class of nonlinear ARCH models: Properties, testing and applications. 1992 International Economic Review. 33 137-158

  136. Hill, B.M. A simple general approach to inference about the tail of a distribution. 1975 Annals of Statistics. 3 1163-1174
    Paper not yet in RePEc: Add citation now

  137. Hodrick, R.J. Dividend yields and expected stock returns: Alternative procedures for inference and measurement. 1991 En : . Northwestern University,:

  138. Hols, M.C.A.B. ; de Vries, C. The limiting distribution of extremal exchange rate changes. 1991 Journal of Applied Econometrics. 6 287-302
    Paper not yet in RePEc: Add citation now

  139. Hsieh, D.A. Modeling heteroskedasticity in daily foreign exchange rates. 1989 Journal of Business and Economic Statistics. 7 307-317

  140. Hsieh, D.A. Testing for nonlinear dependence in daily foreign exchange rates. 1989 Journal of Business. 62 339-368

  141. Huang, R.D. ; Lin, C.S.Y. An analysis of nonlinearities in term premiums and forward rates. 1990 Vanderbilt University,:
    Paper not yet in RePEc: Add citation now

  142. Hutchinson, J.M. ; Lo, A.W. ; Poggio, T. A nonparametric approach to pricing and hedging derivative securities via learning networks. 1994 Journal of Finance. XLIX 851-889

  143. Jacquier, E. ; Polson, N.G. ; Rossi, P.E. Bayesian analysis of stochastic volatility models. 1994 Journal of Business and Economic Statistics. 12 57-80

  144. Johansen, S. Statistical analysis of cointegration vectors. 1988 Journal of Economic Dynamics and Control. 12 231-254

  145. Jorion, P. On jump processes in the foreign exchange and stock markets. 1988 Review of Financial Studies. 1 427-445

  146. Kasa, K. Common stochastic trends in international stock markets. 1992 Journal of Monetary Economics. 29 95-124

  147. Kearns, P. Nondashlinearities in the term structure. 1990 University of Rochester,:
    Paper not yet in RePEc: Add citation now
  148. Kearns, P. Pricing interest rate derivative securities when volatility is stochastic. 1992 University of Rochester,:
    Paper not yet in RePEc: Add citation now
  149. Kearns, P. Testing speculative bubbles in interest rates with the present value model. 1990 University of Rochester,:
    Paper not yet in RePEc: Add citation now

  150. Kearns, P. Volatility and the pricing of interest rate derivative claims. 1993 University of Rochester,:

  151. Kearns, P. ; Pagan, A.R. Australian stock market volatility: 1875–1987. 1993 Economic Record. 69 163-178

  152. Kearns, P. ; Pagan, A.R. Estimating the density tail index for financial series. 1992 Australian National University,:
    Paper not yet in RePEc: Add citation now

  153. Kim, S. ; Shephard, N. Stochastic volatility: Likelihood inference and comparison with ARCH models. 1994 Nuffield College,: Oxford

  154. King, M.L. A point optimal test for autoregressive disturbances. 1985 Journal of Econometrics. 27 21-37

  155. Kleidon, A.W. Variance bounds tests and stock price valuation models. 1986 Journal of Political Economy. 96 953-1001

  156. Kloeden, P. ; Platten, E. The numerical solution of stochastic differential equations. 1992 Springer-Verlag,:
    Paper not yet in RePEc: Add citation now
  157. Knez, P. ; Litterman, R. ; Scheinkman, J. Explorations into factors explaining money market returns. 1989 En : . Goldman Sachs and Co.,:
    Paper not yet in RePEc: Add citation now

  158. Kocherlakota, N. On tests of representative consumer asset pricing models. 1990 Journal of Monetary Economics. 26 285-304

  159. Koedijk, K.G. ; Nissen, F.G.J.A. ; Schotman, P.C. ; Wolff, C.P. The dynamics of short-term interest rate volatility reconsidered. 1993 Limburg Institute of Financial Economics,:
    Paper not yet in RePEc: Add citation now

  160. Koop, G. An objective Bayesian analysis of common stochastic trends in international stock prices and exchange rates. 1994 Journal of Empirical Finance. 1 343-364

  161. Kwiatowski, D. ; Phillips, P.C.B. ; Schmidt, P. ; Shin, Y. Testing the null hypothesis of stationarity against the alternative of a unit root. 1992 Journal of Econometrics. 54 159-178

  162. Lamoureux, C.G. ; Lastrapes, W.D. Persistence in variance, structural change and the GARCH model. 1990 Journal of Business and Economic Statistics. 8 225-234

  163. Lee, J. ; King, M.L. A locally most mean powerful based score test for ARCH and GARCH regression disturbances. 1993 Journal of Business and Economic Statistics. 11 17-27

  164. Lee, S.W. Asymptotic properties of the maximum likelihood estimator of the GARCH-M and IGARCH-M models. 1992 University of Rochester,:
    Paper not yet in RePEc: Add citation now
  165. Lee, S.W. ; Hansen, B.E. Asymptotic properties of the maximum likelihood estimator and test of the stability of parameters of the GARCH and IGARCH models. 1991 University of Rochester,:
    Paper not yet in RePEc: Add citation now

  166. Lee, S.W. ; Hansen, B.E. Asymptotic theory for the GARCH (1,1) quasi maximum likelihood estimator. 1994 Econometric Theory. 10 29-52

  167. LeRoy, S. ; Parke, W.R. Stock price volatility: A test based on the geometric random walk. 1987 University of California at Santa Barbara,:
    Paper not yet in RePEc: Add citation now

  168. Lin, W.L. Alternative estimators for factor GARCH models — A Monte Carlo comparison. 1992 Journal of Applied Econometrics. 7 259-279

  169. Linton, O. Adaptive estimation in ARCH models. 1993 Econometric Theory. 9 539-569

  170. Linton, O. The shape of the risk premium: Evidence from a semi-parametric, meandashexponential GARCH Model. 1992 Nuffield College,: Oxford
    Paper not yet in RePEc: Add citation now

  171. Lo, A.W. Long-term memory in stock market prices. 1991 Econometrica. 59 1279-1313

  172. Lo, A.W. ; MacKinlay, A.C. The size and power of the variance ratio test in finite samples: A Monte Carlo investigation. 1989 Journal of Econometrics. 40 203-238

  173. Loretan, M. ; Phillips, P.C.B. Testing the covariance stationarity of heavy-tailed time series: An overview of the theory with applications to several financial data sets. 1994 Journal of Empirical Finance. 1 211-248

  174. Lumsdaine, R.L. Asymptotic properties of the maximum likelihood estimator in GARCH (1,1) and IGARCH (1,1) models. 1991 Princeton University,:
    Paper not yet in RePEc: Add citation now
  175. Lye, J.N. ; Martin, V.L. Modelling and testing stationary exchange rate distributions: The case of the generalized Student's t distribution. 1991 University of Melbourne,:
    Paper not yet in RePEc: Add citation now

  176. Mahieu, R. ; Schotman, P. Neglected common factors in exchange rate volatility. 1994 Journal of Empirical Finance. 1 279-311

  177. Mahieu, R. ; Schotman, P. Stochastic volatility and the distribution of exchange rate news. 1994 University of Limburg,: Maastricht

  178. Mandlebrot, B. The variation of certain speculative prices. 1963 Journal of Business. 36 394-419
    Paper not yet in RePEc: Add citation now
  179. Mankiw, N.G. ; Romer, D. ; Shapiro, M.D. An unbiased re-examination of stock market volatility. 1985 Journal of Finance. 40 677-687
    Paper not yet in RePEc: Add citation now

  180. Mao, C.S. Hypothesis testing and finite sample properties of generalized method of moments estimators: A Monte Carlo study. 1990 Federal Reserve Bank of Richmond,:

  181. McCulloch, J.H. Measuring the term structure of interest rates. 1971 Journal of Business. 44 19-31

  182. McCulloch, J.H. U.S. term structure data, 1946–1987. 1989 Handbook of monetary economics. 672-715
    Paper not yet in RePEc: Add citation now

  183. McDonald, J. ; Darroch, J. Consistent estimation of equations with composite moving average disturbance terms. 1983 Journal of Econometrics. 23 253-267

  184. Melino, A. ; Turnbull, S. Pricing foreign currency options with stochastic volatility. 1990 Journal of Econometrics. 45 239-265

  185. Merton, R. An intertemporal capital asset pricing model. 1973 Econometrica. 41 867-888

  186. Mihlstein, G.N. Approximate integration of stochastic differential equations. 1974 Theory of Probability and its Applications. 19 557-562
    Paper not yet in RePEc: Add citation now

  187. Nelson, C.R. ; Kim, M.J. Predictable stock returns: The role of small sample bias. 1993 Journal of Finance. 48 641-661

  188. Nelson, C.R. ; Startz, R. The distribution of the instrumental variables estimator and its t-ratio when the instrument is a poor one. 1990 Journal of Business. 63 S125-S140

  189. Nelson, D.B. A note on the normalized residuals from ARCH and stochastic volatility models. 1990 University of Chicago,:
    Paper not yet in RePEc: Add citation now

  190. Nelson, D.B. ARCH models as diffusion approximations. 1990 Journal of Econometrics. 45 7-38

  191. Nelson, D.B. Conditional heteroskedasticity in asset returns: A new approach. 1991 Econometrica. 59 347-370

  192. Nelson, D.B. Modeling stock market volatility changes. 1989 En : Proceedings of the American Statistical Association. Business and Economic Statistics Section,:
    Paper not yet in RePEc: Add citation now

  193. Nelson, D.B. Stationarity and persistence in the GARCH (1,1) model. 1990 Econometric Theory. 6 318-334

  194. Nelson, D.B. The time series behaviour of stock market volatility and returns. 1988 M.I.T.,:
    Paper not yet in RePEc: Add citation now

  195. Nelson, D.B. ; Foster, D.P. Filtering and forecasting with misspecified ARCH models II: Making the right forecast with the wrong model. 1992 Graduate School of Business, University of Chicago,:

  196. Newey, W.K. Maximum likelihood specification testing and conditional moment tests. 1985 Econometrica. 53 1047-1070

  197. Newey, W.K. ; Steigerwald, D.G. Consistency of the quasi-MLE for models with conditional heteroskedasticity. 1996 Econometric Theory. -
    Paper not yet in RePEc: Add citation now

  198. Newey, W.K. ; West, K.D. A simple positive semi-definite heteroskedasticity and autocorrelation consistent covariance matrix. 1987 Econometrica. 55 703-708

  199. Nieuwland, F.G.M.C. ; Verschoor, W.F.C. ; Wolff, C.C.P. Stochastic trends and jumps in EMS exchange rates. 1994 Journal of International Money and Finance. 13 699-727

  200. Nyblom, J. Testing the constancy of parameters over time. 1989 Journal of the American Statistical Association. 84 223-230
    Paper not yet in RePEc: Add citation now

  201. Pagan, A.R. A note on the extraction of components from time series. 1975 Econometrica. 43 163-168

  202. Pagan, A.R. ; Hong, Y.S. Nondashparametric estimation and the risk premium. 1991 En : Barnett, W. ; Powell, J. ; Tauchen, G. Semiparametric and nonparametric methods in econometrics and statistics. Cambridge University Press,: Cambridge
    Paper not yet in RePEc: Add citation now
  203. Pagan, A.R. ; Jung, Y. Understanding the failure of some instrumental variables estimators. 1993 Australian National University,:
    Paper not yet in RePEc: Add citation now

  204. Pagan, A.R. ; Martin, V. ; Hall, A.D. Modelling the term structure. 1995 En : . Australian National University,:

  205. Pagan, A.R. ; Sabau, H. Consistency tests for heteroskedasticity and risk models. 1992 Estudios Económicos. 7 3-30

  206. Pagan, A.R. ; Schwert, G.W. Alternative models for conditional stock volatility. 1990 Journal of Econometrics. 45 267-290

  207. Pagan, A.R. ; Schwert, G.W. Testing for covariance stationarity in stock market data. 1990 Economics Letters. 3 165-170

  208. Pagan, A.R. ; Ullah, A. Nondashparametric econometrics. 1995 Australian National University,:
    Paper not yet in RePEc: Add citation now

  209. Pagan, A.R. ; Ullah, A. The econometric analysis of models with risk terms. 1988 Journal of Applied Econometrics. 3 87-105

  210. Pagan, A.R. ; Vella, F.X. Diagnostic tests for models based on individual data. 1989 Journal of Applied Econometrics. 45 429-452

  211. Pearson, N.D. ; Sun, T.-S. Exploiting the conditional density in estimating the term structure: An application to the Cox, Ingersoll and Ross model. 1994 Journal of Finance. XLIX 1279-1304

  212. Pesaran, M.H. ; Pesaran, B. A simulation approach to the problem of computing Cox's statistic for testing nondashnested models. 1993 Journal of Econometrics. 57 377-392

  213. Phillips, P.C.B. ; Park, J.Y. On the formulation of Wald tests of nonlinear restrictions. 1988 Econometrica. 56 1065-1083

  214. Pindyck, R.S. Risk, inflation and the stock market. 1984 American Economic Review. 74 335-351

  215. Rich, R. ; Raymond, J. ; Butler, J.S. Generalized instrumental variables estimation of autoregressive conditional heteroskedastic models. 1991 Economics Letters. 35 179-185

  216. Richardson, M. ; Stock, J.H. Drawing inferences from statistics based on multiyear asset returns. 1989 Journal of Financial Economics. 25 323-348

  217. Rosenberg, B. Prediction of common stock betas. 1985 Journal of Portfolio Management. 11 5-14
    Paper not yet in RePEc: Add citation now

  218. Ross, S.A. The arbitrage theory of capital asset pricing. 1976 Journal of Economic Theory. 13 341-360

  219. Ruiz, E. Quasi-maximum likelihood estimation of stochastic volatility models. 1994 Journal of Econometrics. 63 289-306

  220. Scheinkman, J. ; LeBaron, B. Nonlinear dynamics and stock returns. 1989 Journal of Business. 62 311-337

  221. Schotman, P. ; van Dijk, H.K. A Bayesian analysis of the unit root in real exchange rates. 1991 Journal of Econometrics. 49 195-238

  222. Schwarz, G. Estimating the dimension of a model. 1978 Annals of Statistics. 6 461-464
    Paper not yet in RePEc: Add citation now
  223. Schwert, G.W. Indexes of stock prices from 1802 to 1897. 1990 Journal of Business. 63 399-426
    Paper not yet in RePEc: Add citation now

  224. Schwert, G.W. ; Seguin, P.J. Heteroskedasticity in stock returns. 1990 Journal of Finance. 45 1129-1155

  225. Sentana, E. Quadratic ARCH models: A potential re-interpretation of ARCH models. 1991 London School of Economics,:
    Paper not yet in RePEc: Add citation now

  226. Shea, G.S. Benchmarking the expectations hypothesis of the interest rate term structure: An analysis of cointegration vectors. 1992 Journal of Business and Economic Statistics. 10 347-366

  227. Shea, G.S. Testing stock market efficiency with volatility statistics: Some exact finite sample results. 1989 Pennsylvania State University,:
    Paper not yet in RePEc: Add citation now
  228. Shephard, H. Partial nondashGaussian state space. 1994 Biometrika. 81 115-131
    Paper not yet in RePEc: Add citation now

  229. Shiller, R.J. Do stock prices move too much to be justified by subsequent changes in dividends?. 1981 American Economic Review. 71 421-436

  230. Shiller, R.J. The volatility of long-term interest rates and expectations models of the term structure. 1979 Journal of Political Economy. 87 1190-1219

  231. Silverman, B.W. Density estimation for statistics and data analysis. 1986 Chapman Hall,: New York
    Paper not yet in RePEc: Add citation now
  232. Sola, M. ; Timmermann, A. Fitting the moments: A comparison of ARCH and regime switching models for daily stock returns. 1994 Birkbeck College,:
    Paper not yet in RePEc: Add citation now

  233. Sowell, F. Maximum likelihood estimation of stationary univariate fractionally integrated time series models. 1992 Journal of Econometrics. 53 165-188

  234. Spanos, A. Statistical foundations of econometric modelling. 1986 Cambridge University Press,: Cambridge

  235. Staiger, D. ; Stock, J.H. Instrumental variables regression with weak instruments. 1993 NBER Technical working paper No. 151. -
    Paper not yet in RePEc: Add citation now
  236. Steigerwald, D.G. Semi-parametric estimation in financial models with time varying variances. 1992 University of California,: Santa-Barbara
    Paper not yet in RePEc: Add citation now
  237. Stock, J.H. ; Watson, M.W. Testing for common trends. 1988 Journal of the American Statistical Association. 83 1097-1107
    Paper not yet in RePEc: Add citation now

  238. Summers, L.H. Does the stock market rationally reflect fundamental values?. 1986 Journal of Finance. 41 591-601

  239. Tanaka, K. Testing for a moving average unit root. 1990 Econometric Theory. 6 445-458

  240. Tauchen, G. Diagnostic testing and evaluation of maximum likelihood models. 1985 Journal of Econometrics. 30 415-443

  241. Tauchen, G. Statistical properties of generalized method-of-moments estimators of structural parameters obtained from financial market data. 1986 Journal of Business and Economic Statistics. 4 397-425

  242. Tauchen, G. ; Pitts, M. The price variability-volume relationship on speculative markets. 1983 Econometrica. 51 485-505

  243. Taylor, S.J. Modelling financial time series. 1986 John Wiley,: Chichester
    Paper not yet in RePEc: Add citation now
  244. Taylor, S.J. Modelling stochastic volatility. 1990 University of Lancaster,:
    Paper not yet in RePEc: Add citation now

  245. Timmermann, A. Cointegration tests of present value models with a time-varying discount factor. 1995 Journal of Applied Econometrics. 10 -

  246. Tsay, R. Nonlinearity tests for time series. 1986 Biometrika. 73 461-466
    Paper not yet in RePEc: Add citation now

  247. Vahid, F. ; Engle, R. Common trends and common cycles. 1993 Journal of Applied Econometrics. 8 341-360

  248. Vasicek, O. An equilibrium characterization of the term structure. 1977 Journal of Financial Economics. 5 177-188

  249. Watson, G.S. Smooth regression analysis. 1964 Sankhya, Series A. 26 359-372
    Paper not yet in RePEc: Add citation now

  250. West, K.D. Dividend innovations and stock price volatility. 1988 Econometrica. 56 37-61

  251. West, K.D. ; Edison, H.J. ; Cho, D. A utility-based comparison of some models of exchange rate volatility. 1993 Journal of International Economics. 35 23-45

  252. White, H. A heteroskedasticity-consistent covariance matrix estimator and a direct test for heteroskedasticity. 1980 Econometrica. 48 817-838

  253. Wu, P. Testing fractionally integrated time series. 1992 Victoria University of Wellington,:
    Paper not yet in RePEc: Add citation now

  254. Zakoian, J.M. Threshold heteroskedastic models. 1994 Journal of Economic Dynamics and Control. 18 931-955

Cocites

Documents in RePEc which have cited the same bibliography

  1. Macroeconomic Regimes and Regime Shifts. (2016). Hamilton, James.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:21863.

    Full description at Econpapers || Download paper

  2. .

    Full description at Econpapers || Download paper

  3. Accounting anomalies and fundamental analysis: An alternative view. (2010). Lewellen, Jonathan .
    In: Journal of Accounting and Economics.
    RePEc:eee:jaecon:v:50:y:2010:i:2-3:p:455-466.

    Full description at Econpapers || Download paper

  4. AGGREGATE SHOCKS DECOMPOSITION FOR EIGHT EAST ASIAN COUNTRIES. (2009). Lee, Grace ; Grace H. Y. Lee, .
    In: Monash Economics Working Papers.
    RePEc:mos:moswps:2009-17.

    Full description at Econpapers || Download paper

  5. Comparing smooth transition and Markov switching autoregressive models of US unemployment. (2008). Deschamps, Philippe.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:4:p:435-462.

    Full description at Econpapers || Download paper

  6. Comparing smooth transition and Markov switching autoregressive models of US Unemployment. (2008). Deschamps, Philippe.
    In: DQE Working Papers.
    RePEc:fri:dqewps:wp0007.

    Full description at Econpapers || Download paper

  7. The economic performance of cities: a Markov-switching approach. (2007). Wheeler, Christopher ; Wall, Howard ; Piger, Jeremy ; Owyang, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-056.

    Full description at Econpapers || Download paper

  8. Bayesian inference of a smooth transition dynamic almost ideal model of food demand in the US. (2006). Bailey, Alastair ; Balcombe, Kelvin.
    In: MPRA Paper.
    RePEc:pra:mprapa:17305.

    Full description at Econpapers || Download paper

  9. Expected Money Growth, Markov Trends and the Instability of Money Demand in the Euro Area. (2006). Kaufmann, Sylvia ; Kugler, Peter.
    In: Working Papers.
    RePEc:onb:oenbwp:131.

    Full description at Econpapers || Download paper

  10. Dynamic Limited Dependent Variable Modeling and U.S. Monetary Policy. (2006). Monokroussos, George.
    In: Discussion Papers.
    RePEc:nya:albaec:06-02.

    Full description at Econpapers || Download paper

  11. How do changes in monetary policy affect bank lending? An analysis of Austrian bank data. (2006). Kaufmann, Sylvia ; Fruhwirth-Schnatter, Sylvia .
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:21:y:2006:i:3:p:275-305.

    Full description at Econpapers || Download paper

  12. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods. (2006). Giglio, Stefano ; Favero, Carlo.
    In: Working Papers.
    RePEc:igi:igierp:312.

    Full description at Econpapers || Download paper

  13. Bayesian simultaneous determination of structural breaks and lag lengths. (2006). Karlsson, Sune ; Hultblad, Brigitta .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0630.

    Full description at Econpapers || Download paper

  14. Fiscal Policy and the Term Structure: Evidence from the Case of Italy in the EMS and the EMU Periods. (2006). Giglio, Stefano ; Favero, Carlo.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5793.

    Full description at Econpapers || Download paper

  15. The Decline in German Output Volatility: A Bayesian Analysis. (2005). Boysen-Hogrefe, Jens ; Aßmann, Christian ; Amann, Christian ; Liesenfeld, Roman .
    In: Economics Working Papers.
    RePEc:zbw:cauewp:4134.

    Full description at Econpapers || Download paper

  16. Classical Estimation of Multivariate Markov-Switching Models using MSVARlib. (2005). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0508017.

    Full description at Econpapers || Download paper

  17. Une lecture probabiliste du cycle d’affaires américain. (2005). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0407002.

    Full description at Econpapers || Download paper

  18. Empirical factor demands and flexible functional forms: a bayesian approach. (2005). sitzia, bruno ; Manera, Matteo.
    In: Economic Systems Research.
    RePEc:taf:ecsysr:v:17:y:2005:i:1:p:57-75.

    Full description at Econpapers || Download paper

  19. Dynamic Limited Dependent Variable Modeling and US Monetary Policy. (2005). Monokroussos, George.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:460.

    Full description at Econpapers || Download paper

  20. Dating Business Cycle Turning Points. (2005). Hamilton, James ; Chauvet, Marcelle.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11422.

    Full description at Econpapers || Download paper

  21. How well do Markov switching models describe actual business cycles? The case of synchronization. (2005). Summers, Peter ; Smith, Penelope.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:20:y:2005:i:2:p:253-274.

    Full description at Econpapers || Download paper

  22. The Brazilian currency turmoil of 2002: a nonlinear analysis. (2005). Goretti, Manuela.
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:10:y:2005:i:4:p:289-306.

    Full description at Econpapers || Download paper

  23. Detecting Turning Points with Many Predictors through Hidden Markov Models. (2004). Bellone, Benoit ; Saint-Martin, David.
    In: Econometrics.
    RePEc:wpa:wuwpem:0407001.

    Full description at Econpapers || Download paper

  24. MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models. (2004). Bellone, Benoit.
    In: Econometrics.
    RePEc:wpa:wuwpem:0406004.

    Full description at Econpapers || Download paper

  25. Entry and Exit Dynamics in Austrian Manufacturing. (2004). Hölzl, Werner ; Leopold, Sogner.
    In: Working Papers.
    RePEc:wiw:wiwgee:geewp36.

    Full description at Econpapers || Download paper

  26. How Well Do Markov Switching Models Describe Actual Business Cycles? The Case of Synchronization. (2004). Summers, Peter ; Smith, Penelope.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2004n09.

    Full description at Econpapers || Download paper

  27. Non-Markovian regime switching with endogenous states and time-varying state strengths. (2004). Dueker, Michael ; Chib, Siddhartha .
    In: Working Papers.
    RePEc:fip:fedlwp:2004-030.

    Full description at Econpapers || Download paper

  28. Business cycle phases in U.S. states. (2004). Wall, Howard ; Piger, Jeremy ; Owyang, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:2003-011.

    Full description at Econpapers || Download paper

  29. Identification and normalization in Markov switching models of business cycles. (2004). Summers, Peter ; Smith, Penelope.
    In: Research Working Paper.
    RePEc:fip:fedkrw:rwp04-09.

    Full description at Econpapers || Download paper

  30. Do Investors Overvalue Firms with Bloated Balance Sheets?. (2004). Teoh, Siew Hong ; Hou, Kewei ; Hirshleifer, David ; Zhang, Yinglei .
    In: Working Paper Series.
    RePEc:ecl:ohidic:2004-18.

    Full description at Econpapers || Download paper

  31. Hedging Sudden Stops and Precautionary Contractions. (2003). Panageas, Stavros ; Caballero, Ricardo.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:9778.

    Full description at Econpapers || Download paper

  32. LIKELIHOOD-BASED ESTIMATION OF LATENT GENERALISED ARCH STRUCTURES. (2003). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele.
    In: Working Papers. Serie AD.
    RePEc:ivi:wpasad:2003-06.

    Full description at Econpapers || Download paper

  33. Regime switching and monetary policy measurement. (2003). Ramey, Garey ; Owyang, Michael.
    In: Working Papers.
    RePEc:fip:fedlwp:2001-002.

    Full description at Econpapers || Download paper

  34. Rational expectations and fixed-event forecasts: an application to UK inflation. (2003). yates, anthony ; Kapetanios, George ; Bakhshi, Hasan.
    In: Bank of England working papers.
    RePEc:boe:boeewp:176.

    Full description at Econpapers || Download paper

  35. A NONPARAMETRIC BAYESIAN APPROACH TO DETECT THE NUMBER OF REGIMES IN MARKOV SWITCHING MODELS. (2002). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:21:y:2002:i:4:p:477-496.

    Full description at Econpapers || Download paper

  36. Likelihood-based estimation of latent generalised ARCH structures. (2002). Shephard, Neil ; Sentana, Enrique ; Fiorentini, Gabriele.
    In: Economics Papers.
    RePEc:nuf:econwp:0219.

    Full description at Econpapers || Download paper

  37. Non-linear Modelling of the Australian Business Cycle using a Leading Indicator. (2002). Forbes, Catherine ; Shami, Roland G..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2002-5.

    Full description at Econpapers || Download paper

  38. Regime Switches in GDP Growth and Volatility: Some International Evidence and Implications for Modelling Business Cycles. (2002). Summers, Peter ; Smith, Penelope.
    In: Melbourne Institute Working Paper Series.
    RePEc:iae:iaewps:wp2002n21.

    Full description at Econpapers || Download paper

  39. Identifying business cycle turning points in real time. (2002). Piger, Jeremy ; Chauvet, Marcelle.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-27.

    Full description at Econpapers || Download paper

  40. A Nonparametric Bayesian Approach to Detect the Number of Regimes in Markov Switching Models. (2001). Otranto, Edoardo ; Gallo, Giampiero.
    In: Econometrics Working Papers Archive.
    RePEc:fir:econom:wp2001_04.

    Full description at Econpapers || Download paper

  41. A Cross-Country Study on Okuns Law. (2000). Stiassny, Alfred ; Soegner, Leopold.
    In: Working Papers.
    RePEc:wiw:wiwgee:geewp13.

    Full description at Econpapers || Download paper

  42. The Equity Premium and Structural Breaks. (2000). Stambaugh, Robert ; Pastor, Lubos.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:7778.

    Full description at Econpapers || Download paper

  43. A structural Time Series Model with Markov Switching.. (2000). Forbes, Catherine ; Shami, R. G..
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2000-10.

    Full description at Econpapers || Download paper

  44. A Bayesian Inference Approach to Testing Mean Reversion in the Swedish Stock Market. (2000). Graflund, Andreas.
    In: Working Papers.
    RePEc:hhs:lunewp:2000_008.

    Full description at Econpapers || Download paper

  45. A Preference Regime Model of Bull and Bear Markets. (2000). St-Amour, Pascal ; Gordon, Stephen.
    In: American Economic Review.
    RePEc:aea:aecrev:v:90:y:2000:i:4:p:1019-1033.

    Full description at Econpapers || Download paper

  46. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models. (1999). Nelson, Charles ; Kim, Chang-Jin.
    In: Working Papers.
    RePEc:udb:wpaper:0035.

    Full description at Econpapers || Download paper

  47. Permanent and Transitory Nature of Recessions. (1999). Murray, Chris ; Kim, Chang-Jin.
    In: Discussion Papers in Economics at the University of Washington.
    RePEc:fth:washer:0041.

    Full description at Econpapers || Download paper

  48. Adaptive polar sampling with an application to a Bayes measure of value-at-risk. (1999). van Dijk, Herman ; Bos, Charles ; Bauwens, Luc.
    In: CORE Discussion Papers.
    RePEc:cor:louvco:1999057.

    Full description at Econpapers || Download paper

  49. A Bayesian Approach to Testing for Markov Switching in Univariate and Dynamic Factor Models. (1998). Nelson, Charles ; Kim, Chang-Jin.
    In: Working Papers.
    RePEc:udb:wpaper:0059.

    Full description at Econpapers || Download paper

  50. Combining Panel Data Sets with Attrition and Refreshment Samples. (1998). Ridder, Geert ; Imbens, Guido ; Hirano, Keisuke ; Rubin, Donald B..
    In: NBER Technical Working Papers.
    RePEc:nbr:nberte:0230.

    Full description at Econpapers || Download paper

  51. Filtering via simulation: auxiliary particle filters. (1997). Shephard, Neil ; Pitt, Michael K.
    In: Economics Papers.
    RePEc:nuf:econwp:9713.

    Full description at Econpapers || Download paper

  52. Returns to contrarian investment strategies: Tests of naive expectations hypotheses. (1997). Dechow Patricia M., ; Sloan Richard G., .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:43:y:1997:i:1:p:3-27.

    Full description at Econpapers || Download paper

  53. The determinants of realignment expectations under the EMS: Some empirical regularities. (1997). Giovannini, Alberto ; Chen, Zhaohui.
    In: European Economic Review.
    RePEc:eee:eecrev:v:41:y:1997:i:9:p:1687-1707.

    Full description at Econpapers || Download paper

  54. The Long-Run U.S./U.K. Real Exchange Rate. (1996). Kim, Chang-Jin ; Engel, Charles.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:5777.

    Full description at Econpapers || Download paper

  55. The econometrics of financial markets. (1996). pagan, adrian.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:3:y:1996:i:1:p:15-102.

    Full description at Econpapers || Download paper

  56. A REVIEW OF ALTERNATIVE EXPECTATIONS REGIMES IN COMMODITY MARKETS: SPECIFICATION, ESTIMATION, AND HYPOTHESIS TESTING USING STRUCTURAL MODELS. (1996). Love, H. ; Burton, Diana M..
    In: Agricultural and Resource Economics Review.
    RePEc:ags:arerjl:31417.

    Full description at Econpapers || Download paper

  57. Testing aggregate neutrality with heterogeneous sectors. (1995). Landon, Stuart.
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:17:y:1995:i:1:p:131-148.

    Full description at Econpapers || Download paper

  58. Markov Chain Monte Carlo Simulation Methods in Econometrics. (1994). Greenberg, Edward ; Chib, Siddhartha .
    In: Econometrics.
    RePEc:wpa:wuwpem:9408001.

    Full description at Econpapers || Download paper

  59. On risk, rational expectations, and efficient asset markets. (1994). Akbarian, Dara ; Guy V. G. Stevens, .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:478.

    Full description at Econpapers || Download paper

  60. A time series model with periodic stochastic regime switching. (1993). Ghysels, Eric.
    In: Discussion Paper / Institute for Empirical Macroeconomics.
    RePEc:fip:fedmem:84.

    Full description at Econpapers || Download paper

  61. Two-Step, Instrumental Variable and Maximum Likelihood Estimation of Multivariate Rational Expectations Models. (1988). Pesaran, M.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:493.

    Full description at Econpapers || Download paper

  62. U.S. Monetary Policy Regimes and U.S.-Japan Financial Relations. (1986). Roley, Vance V..
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1858.

    Full description at Econpapers || Download paper

  63. Non-Monetary Effects of the Financial Crisis in the Propagation of the Great Depression. (1983). Bernanke, Ben.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1054.

    Full description at Econpapers || Download paper

  64. Are Real Interest Rates Equal Across Countries? An Empirical Investigation of International Parity Conditions. (1982). Mishkin, Frederic.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:1048.

    Full description at Econpapers || Download paper

  65. Does Anticipated Aggregate Demand Policy Matter? Further Econometric results.. (1981). Mishkin, Frederic.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:0789.

    Full description at Econpapers || Download paper

  66. Too much cocited documents. This list is not complete

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2024-12-04 10:56:22 || 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.