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Time trends and persistence of the return difference between growth and value investment strategies. [PDF]
PLoS OneMonge M, Hurtado R, Infante J.
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Energy Derivatives Market Dynamics
SSRN Electronic Journal, 2012This chapter examines the EU Emissions Trading Scheme options and futures markets dynamics during the period 2005–2011. Observations on returns, volatilities and volumes on derivative instruments are studied. In addition, spot/future correlations, term structures and option implied volatility smiles and surfaces are examined.
Don Bredin +2 more
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Empirical Economics, 1994
This article estimates generalized ARCH (GARCH) models for German stock market indices returns, using weekly and monthly data, various GARCH specifications and (non)normal error densities, and a variety of diagnostic checks. German stock return series exhibit significant levels of second-order dependence.
Verschoor, W.F.C. +2 more
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This article estimates generalized ARCH (GARCH) models for German stock market indices returns, using weekly and monthly data, various GARCH specifications and (non)normal error densities, and a variety of diagnostic checks. German stock return series exhibit significant levels of second-order dependence.
Verschoor, W.F.C. +2 more
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Macroeconomic Dynamics, 2004
This paper explores multiasset market dynamics. We consider a limited number of markets on which two types of agents are active. Fundamentalists specialize in a certain market to gather expertise. Chartists may switch between markets since they use simple extrapolative methods.
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This paper explores multiasset market dynamics. We consider a limited number of markets on which two types of agents are active. Fundamentalists specialize in a certain market to gather expertise. Chartists may switch between markets since they use simple extrapolative methods.
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Review of Financial Studies, 2015
Large institutional investors dominate many financial markets. This paper develops a consumption-based model of markets in which all institutional traders recognize their impact on prices. Bilateral (buyer and seller) market power changes efficiency and arbitrage properties of equilibrium.
Marzena Rostek, Marek Weretka
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Large institutional investors dominate many financial markets. This paper develops a consumption-based model of markets in which all institutional traders recognize their impact on prices. Bilateral (buyer and seller) market power changes efficiency and arbitrage properties of equilibrium.
Marzena Rostek, Marek Weretka
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2017
In this thesis, we consider a variety of combinatorial optimization problems within a common theme of uncertainty and selfish behavior. In our first scenario, the input is collected from selfish players. Here, we study extensions of the so-called smoothness framework for mechanisms, a very useful technique for bounding the inefficiency of equilibria ...
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In this thesis, we consider a variety of combinatorial optimization problems within a common theme of uncertainty and selfish behavior. In our first scenario, the input is collected from selfish players. Here, we study extensions of the so-called smoothness framework for mechanisms, a very useful technique for bounding the inefficiency of equilibria ...
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Regional Science and Urban Economics, 1988
Abstract The purpose of this paper is to consider the dynamic behavior of housing markets. I first set out a model in which interest rates affect the implicit rental value of housing and indicate how the latter is related to the stock demand for housing and new construction. Using this model and the actual values of U.S.
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Abstract The purpose of this paper is to consider the dynamic behavior of housing markets. I first set out a model in which interest rates affect the implicit rental value of housing and indicate how the latter is related to the stock demand for housing and new construction. Using this model and the actual values of U.S.
openaire +1 more source