Self-exciting jumps, learning, and asset pricing implications
Year of publication: |
2015
|
---|---|
Authors: | Fulop, Andras ; Li, Junye ; Yu, Jun |
Published in: |
The review of financial studies. - Cary, NC : Oxford Univ. Press, ISSN 0893-9454, ZDB-ID 1043666-2. - Vol. 28.2015, 3, p. 876-912
|
Subject: | CAPM | Börsenkurs | Share price | Volatilität | Volatility | Sequentialtest | Sequential test | Clusteranalyse | Cluster analysis | Aktienindex | Stock index | USA | United States | 1980-2012 |
-
Self-Exciting Jumps, Learning, and Asset Pricing Implications
Fulop, Andras, (2014)
-
Clustering financial time series : new insights from an extended hidden Markov model
Dias, José G., (2015)
-
Clustering of extremes in financial returns : a study of developed and emerging markets
Alokley, Sara Ali, (2020)
- More ...
-
Fulop, Andras, (2012)
-
Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility
Fulop, Andras, (2011)
-
Investigating Impacts of Self-Exciting Jumps in Returns and Volatility: A Bayesian Learning Approach
Fulop, Andras, (2012)
- More ...