Results 111 to 120 of about 2,230,299 (390)
Asset price volatility and price extrema
Discrete & Continuous Dynamical Systems - B, 2020 The relationship between price volatilty and a market extremum is examined using a fundamental economics model of supply and demand. By examining randomness through a microeconomic setting, we obtain the implications of randomness in the supply and demand, rather than assuming that price has randomness on an empirical basis.
Caginalp, Carey, Caginalp, Gunduz
openaire +4 more sources
Applied Economic Perspectives and Policy, EarlyView.Abstract This paper employs machine learning to determine which preferential trade agreement (PTA) provisions are relevant to agricultural trade patterns and the factors that may influence their adoption. Utilizing the three‐way gravity model, we apply plug‐in Lasso regularized regression to pinpoint predictive PTA provisions for agricultural trade ...
Stepan Gordeev +3 more
wiley +1 more source
Developing "Multifactor Asset Pricing Models" Using Threshold Regression Approach and Credit Risk Factor [PDF]
تحقیقات مالیObjective This study aims to develop threshold asset pricing models to enhance the performance of common multi-factor models. Over the past thirty years, asset pricing models have evolved by incorporating pricing anomalies as new factors that previous ...
Hadi Gharehbaghii, Mahmoud Botshekan
doaj +1 more source
Fear Universality and Doubt in Asset price movements [PDF]
arXiv, 2018 We take a look the changes of different asset prices over variable periods, using both traditional and spectral methods, and discover universality phenomena which hold (in some cases) across asset classes.
arxiv
A survey on risk-return analysis [PDF]
This paper provides a review of the main features of asset pricing models. The review includes single-factor and multifactor models, extended forms of the Capital Asset Pricing Model with higher order co- moments, and asset pricing models conditional on ...
Don U.A. Galagedera
core
Rational asset pricing bubbles [PDF]
, 1995 This paper provides a fairly systematic study of general economic conditions under which rational asset pricing bubbles may arise in an intertemporal competitive equilibrium framework.
Santos, Manuel S., Woodford, Michael
core +1 more source
A Demand System Approach to Asset Pricing
Journal of Political Economy, 2015 We develop an asset pricing model with flexible heterogeneity in asset demand across investors, designed to match institutional and household holdings. A portfolio choice model implies characteristics-based demand when returns have a factor structure and
R. Koijen, Motohiro Yogo
semanticscholar +1 more source
Advanced Energy and Sustainability Research, EarlyView.This study investigates the impact and cost‐competitiveness of rooftop solar power in a highly hydropower‐driven northern energy system toward 2050. The role of rooftop photovoltaics (PV) is assessed under different energy transition pathways and through a sensitivity analysis aiming to disclose important barriers to PV investments in the energy system.
Stine Fleischer Myhre, Eva Rosenberg
wiley +1 more source
Advanced Energy and Sustainability Research, EarlyView.It is very difficult to predict spot prices in Japan, where solar power generation has entered the market. Herein, It is attempted to predict the timing of sudden price changes by using price sensitivity, which will begin to be made public in 2021. The impact of price sensitivity on forecasting will be examined by making other variables general.
Shinji Hirota +4 more
wiley +1 more source
Why Are Asset Returns Predictable? [PDF]
Starting from an information process governed by a geometric Brownian motion we show that asset returns are predictable if the elasticity of the pricing kernel is not constant.
Lüders, Erik
core