• Nenhum resultado encontrado

[PDF] Top 20 Excess volatility of stock prices and knightian uncertainty

Has 10000 "Excess volatility of stock prices and knightian uncertainty" found on our website. Below are the top 20 most common "Excess volatility of stock prices and knightian uncertainty".

Excess volatility of stock prices and knightian uncertainty

Excess volatility of stock prices and knightian uncertainty

... we suggest this type of behaviour under uncertainty as a possible explanation of the high volatility of stock market prices.!. Since variances art: non- nega tive and th[r] ... See full document

16

Asymmetric conditional volatility in international stock markets

Asymmetric conditional volatility in international stock markets

... short-term stock returns usually exhibit volatility ...information and volatility of financial assets are of course also central to finan- cial ...that volatility could be ... See full document

13

Entropy: a new measure of stock market volatility?

Entropy: a new measure of stock market volatility?

... When uncertainty dominates understanding stock market volatility is ...number of reasons for that. On one hand, substantial changes in volatility of financial market returns are ... See full document

7

Asymmetry Effect of Inflation on Inflation Uncertainty in Iran: Using from EGARCH Model, 1959-2009

Asymmetry Effect of Inflation on Inflation Uncertainty in Iran: Using from EGARCH Model, 1959-2009

... measures uncertainty as the SD of individual forecasts within a calendar year and as the average next-year forecast ...inflation and current uncertainty similar to Friedman-Ball ... See full document

5

Pricing of Volatility Derivatives using 3/2-Stochastic Models

Pricing of Volatility Derivatives using 3/2-Stochastic Models

... nature of variance, they may not necessarily capture the actual be- haviour of instantaneous variance for particular stock ...models of the form (2). Using the estimation technique of ... See full document

6

Bid-Ask Spreads, Trading Volume and Return Volatility: Intraday Evidence from Indian Stock Market

Bid-Ask Spreads, Trading Volume and Return Volatility: Intraday Evidence from Indian Stock Market

... (1976) and discussed further in Jennings et ...ahead of the market and trade on it, thereby creating volume and ...volume and volatility move in same ...between volatility ... See full document

17

Implications of ernbodied technological change for development economics

Implications of ernbodied technological change for development economics

... Figure 8 depicts the effective depreciation rate, or the fiow-stock ratio, when both, the investment and the capital stock are evaluated at market prices.48 For the CD [r] ... See full document

75

RADING PERFORMANCE AND IMPLICATIONS APPLIED TO THE

RADING PERFORMANCE AND IMPLICATIONS APPLIED TO THE

... methods of pairs ...works of Gatev et al.(1998,2006) and Do and Faff (2003) among ...researches of Vidyamurthy (2004) and Alexander and Dimitriu (2002) inter ...included ... See full document

50

How earnings announcement impact Faang stock prices?

How earnings announcement impact Faang stock prices?

... trading of the firm's stock may lead to problems in deriving the estimation parameters 𝛼 and 𝛽 of the ...validity of the stock ...periods and potentially biased ... See full document

92

Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?

Can model-based forecasts predict stock market volatility using range-based and implied volatility as proxies?

... lot of intraday information could be lost using historical closing prices (Andersen & Belzoni, ...(Andersen and Bollerslev, ...sum of the squared intraday returns sampled at equal time ... See full document

55

The effects of government deficit on equilibrium real exchange rates and stock prices

The effects of government deficit on equilibrium real exchange rates and stock prices

... However, the opposite result can be obtained as well, everything depending crucially on the private agent’s demand for government bonds. For instance, if the government cannot credibly guarantee higher surpluses in the ... See full document

63

Investigating the influence of risk management on earnings volatility of the listed companies in Tehran stock exchange

Investigating the influence of risk management on earnings volatility of the listed companies in Tehran stock exchange

... staffs and management implement business processes, operational risks start to ...inefficieny and problems during the operation, and possible undesirable effects may also seen in the organization ... See full document

7

A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR

A comparison about the predictive ability of FCGARCH, facing EGARCH and GJR

... researches and studies using FCGARCH which have already been made, such as the one made by Hillebrand and Medeiros (2008), which studied the statistical consequences of neglecting structural breaks ... See full document

41

Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries

Calendar Effects in Stock Markets: Critique of Previous Methodologies and Recent Evidence in European Countries

... day of the month effects, which we do not report, signal that this may be the type of calendar effect more relevant in European countries, justifying specific ...use of data on firms instead ... See full document

32

Exploring the Predictive Power of Google Searches over the US Stock Market

Exploring the Predictive Power of Google Searches over the US Stock Market

... first of all it is worth emphasising that the fact that the dynamic relationship between abnormal retail investor attention and abnormal stock returns, does not hold for all the abnormal SVI measures ... See full document

62

ARTIFICIAL NEURAL NETWORKS - AN APPLICATION TO STOCK MARKET VOLATILITY

ARTIFICIAL NEURAL NETWORKS - AN APPLICATION TO STOCK MARKET VOLATILITY

... assumption of symmetric treatment of positive and negative ...observed and reported that volatility in a rising market is less than the volatility in a falling ...value of ... See full document

10

Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003

Nonlinear dynamics within macroeconomic factors and stock market in Portugal 1993-2003

... t and inovPIM t − 3 are those that prove to be more deeply related with ER ...values of the global correlation coefficient (λ) and the corresponding linear correlation coefficient may be caused by ... See full document

15

Commodities and portfolio diversification : myth of fact?

Commodities and portfolio diversification : myth of fact?

... (1980) and Fortenbery & Hauser (1990) found evidence that blending individual commodity futures with stock and equity index portfolios can effectively reduce risk without sacrificing returns, ... See full document

58

Analyzing the Long Term Cohesive Effect of Sector Specific Driving Forces.

Analyzing the Long Term Cohesive Effect of Sector Specific Driving Forces.

... sector stock prices and a driving force for the sector stock price ...force and the stock prices—we were also able to artificially reproduce the actual stock ... See full document

16

Nash equilibrium under knightian uncertainty: breaking down backward induction (extensively revised version)

Nash equilibrium under knightian uncertainty: breaking down backward induction (extensively revised version)

... The standard definition of Nash equilibrium, like other models of knowledge used in Economics, incorporates the property of logical omniscience: if an agent knows a fact, he im[r] ... See full document

37

Show all 10000 documents...