A note on intraday option pricing [PDF]
, 2013 Compound renewal processes can be used as an approximate phenomenological model of tick-by-tick price fluctuations. An exact and explicit general formula is derived for the martingale price of a European call option written on a compound renewal process.
Scalas, Enrico, Politi, Mauro
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The Futility of Utility: how market dynamics marginalize Adam Smith [PDF]
, 1999 Econometrics is based on the nonempiric notion of utility. Prices, dynamics, and market equilibria are supposed to be derived from utility. Utility is usually treated by economists as a price potential, other times utility rates are treated as ...
McCauley, Joseph L.
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Realized beta : persistence and predictability [PDF]
, 2003 A large literature over several decades reveals both extensive concern with the question of time-varying betas and an emerging consensus that betas are in fact time-varying, leading to the prominence of the conditional CAPM.
Andersen, Torben G. +3 more
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Dundee Discussion Papers in Economics 253:Spatial Interactions in Hedonic Pricing Models: The Urban Housing Market of Aveiro, Portugal [PDF]
, 2011 Spatial heterogeneity, spatial dependence and spatial scale constitute key features of spatial analysis of housing markets. However, the common practice of modelling spatial dependence as being generated by spatial interactions through a known spatial ...
Anselmo de Castro, Eduardo +2 more
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Multiple changes in persistence vs. explosive behaviour: the Dotcom bubble [PDF]
, 2012 Based on a method developed by Leybourne, Kim and Taylor (2007) for detecting multiple changes in persistence, we test for changes in persistence in the dividend-price ratio of the NASDAQ stocks.
de Medeiros, OR, Leone, V
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Measuring the Efficiency of Pesantren Cooperatives: Evidence in Indonesia [PDF]
, 2018 The Cooperative (Koperasi) as a non-Bank financial institution has the purpose of improving the welfare of its members as Koperasi Hidmat and the staffs of Latifah Mubarokiyah Koperasi Ponses Suryalaya that have been since decades ago.
Rahayu, S. S. (Solihah) +1 more
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Modelling unemployment in the presence of excess labour supply:An application to Egypt [PDF]
, 2011 Due to its pyramid population structure, Egypt needs to create jobs at a high pace to absorb the many new entrants at its labour market. This article structurally models and quantifies the impact of these demographic shocks and the shedding of public ...
Peeters, M.
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Practical volatility and correlation modeling for financial market risk management [PDF]
, 2005 What do academics have to offer market risk management practitioners in financial institutions? Current industry practice largely follows one of two extremely restrictive approaches: historical simulation or RiskMetrics.
Andersen, Torben G. +3 more
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Market Reaction On Changes In Corporate's Name On The Indonesia Stock Exchange [PDF]
, 2019 The market reaction on changes in corporate's name on the Indonesia Stock Exchange. This study tried to investigate empirically market reaction over the announcement of corporate name changes of companies on the Indonesia Stock Exchange.
., Heriyanto, Terenggana, Candra Astra
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Teaching Economics As a Science: The 1930 Yale Lectures of Ragnar Frisch [PDF]
This paper is prepared for the forthcoming publication of Frisch's 1930 Yale lecture notes, A Dynamic Approach to Economic Theory: The Yale Lectures of Ragnar Frisch (details at: http://www.routledgeeconomics.com/books/A-Dynamic-Approach-to-Economic ...
Duo Qin, Olav Bjerkholt
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