Search Results - subject:"STOCK PRICES"

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On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models

Velinov, Anton - In: Quantitative Finance and Economics 2 (2018) 1, pp. 106-126

importance offundamentals for real stock prices. This is because their structural shocks are not properly identified,making any … long-run structural parameter identification scheme claiming to identifyfundamental and non-fundamental shocks to stock … prices. Five related widely used structural modelson assessing stock price determinants are considered. All models are either …

Persistent link: https://www.econbiz.de/10012029092

Towards the interpretation of time-varying regularization parameters in streaming penalized regression models

Zbonakova, Lenka; Pio Monti, Ricardo; Härdle, Wolfgang Karl - 2018

High-dimensional, streaming datasets are ubiquitous in modern applications. Examples range from nance and e-commerce to the study of biomedical and neuroimaging data. As a result, many novel algorithms have been proposed to address challenges posed by such datasets. In this work, we focus on the...

Persistent link: https://www.econbiz.de/10012433208

Modelling and forecasting stock price movements with serially dependent determinants

Yatigammana, Rasika; Peiris, Shelton; Gerlach, Richard; … - In: Risks : open access journal 6 (2018) 2, pp. 1-22

The direction of price movements are analysed under an ordered probit framework, recognising the importance of accounting for discreteness in price changes. By extending the work of Hausman et al. (1972) and Yang and Parwada (2012),This paper focuses on improving the forecast performance of the...

Persistent link: https://www.econbiz.de/10011867376

Hidden Markov model for stock trading

Nguyen, Nguyet - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-17

regimes and stock prices. In this paper, we introduce the application ofHMMin trading stocks (with S&P 500 index being an …

Persistent link: https://www.econbiz.de/10011883487

Stock prices of renewable energy firms : are there asymmetric responses to oil price changes?

Lee, Donggyu; Baek, Jungho - In: Economies : open access journal 6 (2018) 4/59, pp. 1-8

significant, positive short-run effect on renewable energy stock prices in an asymmetric manner. However, this short-run effect …

Persistent link: https://www.econbiz.de/10011956457

Exchange rate and oil price interactions in selected CEE countries

Drachal, Krzysztof - In: Economies : open access journal 6 (2018) 2, pp. 1-21

This paper reports a study on the causal dynamics between spot oil price, exchange rates, and stock prices in Poland …

Persistent link: https://www.econbiz.de/10011854772

The factors affecting board stock price of LQ45 Stock Exchange 2012-2016 : case of Indonesia

Bratamanggala, Rudi - In: European research studies 21 (2018) 1, pp. 115-124

Persistent link: https://www.econbiz.de/10012219870

Overreaction in trading : evidence from the intraday trading of SPDRs during the 2008 financial crisis

Morscheck, Justin D. - In: International journal of finance & banking studies : JJFBS 7 (2018) 4, pp. 21-37

Persistent link: https://www.econbiz.de/10012007899

The influence of fundamental analysis on stock prices : the case of food and beverage industries

Herawati, Aty; Putra, Angger Setiadi - In: European research studies 21 (2018) 3, pp. 316-326

Persistent link: https://www.econbiz.de/10012220308

On the importance of testing structural identification schemes and the potential consequences of incorrectly identified models

Velinov, Anton - In: Quantitative finance and economics 2 (2018) 1, pp. 106-126

Persistent link: https://www.econbiz.de/10012137899