Results 101 to 110 of about 53,498 (290)
Economic Inquiry, Volume 63, Issue 2, Page 403-423, April 2025.Abstract This paper replicates the study “A Model of Secular Stagnation: Theory and Quantitative Evaluation” by Eggertsson et al. using the Dynare toolkit. Replication is important as it confirms the results of the original article, provides a user‐friendly version using Dynare, and shows how to deal with large‐scale models with occasionally binding ...
Alex Crescentini, Federico Giri
wiley +1 more source
Arbitrage Pricing Theory and its relevance in modelling market
, 2022 Anuradha Yadav, Pooja Srikanth Hegde
openalex +2 more sources
Jurnal Keuangan dan Perbankan, 2017 Investing in the stock market is one option for investors. Investment in ordinary shares was classified as longterminvestments to be able to provide added value and the risk for fixed income.
Mathius Tandiontong, Rusdin Rusdin
doaj
Pricing of Shanghai stock exchange 50 ETF options based on different volatility models. [PDF]
PLoS One, 2023 Wu Q, Kuang X, Wu B, Xu X.
europepmc +1 more source
Arbitrage and Control Problems in Finance. Presentation. [PDF]
The theory of asset pricing takes its roots in the Arrow-Debreu model (see,for instance, Debreu 1959, Chap. 7), the Black and Scholes (1973) formula,and the Cox and Ross (1976) linear pricing model.
Elyès Jouini
core
Martingales and arbitrage: a new look [PDF]
, 2003 This paper addresses the equivalence between the absence of arbitrage and the existence of equivalent martingale measures. The equivalence will be established under quite weak assumptions since there are no conditions on the set of trading dates (it may ...
Balbás, Alejandro
core +1 more source
Economic Inquiry, EarlyView.Abstract This study replicates and extends Baker and Wurgler's (2006) analysis on investor sentiment's impact on stock returns. We confirm their findings by demonstrating the significant cross‐sectional effect of sentiment in both their original sample (1963–2002) and a new sample (2002–2023).
Kaiwen Leong +4 more
wiley +1 more source
Formation of Prices of Options on the WIG 20 Index in Light of the Arbitrage Pricing Theory [PDF]
, 2016 Ryszard Węgrzyn
openalex +1 more source
Penerapan Model CAPM dan Arbitrage Pricing Theory dalam Menghitung Return Indeks Saham IDX30
, 2023 Suciana Fratama, Eti Kurniati
openalex +2 more sources
Macroeconomic identification of the priced APT factors on the Johannesburg Stock Exchange
South African Journal of Business Management, 1996 Employing prespecified macroeconomic variables as potential priced factors, the Arbitrage Pricing Theory (APT) may be modelled as a non-linear seemingly unrelated regression with across equation restrictions.
Paul Van Rensburg
doaj +1 more source