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  • Search: subject:"compass rose"
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Year of publication
Subject
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compass rose 4 EM estimation 2 generalized residuals 2 high frequency data 2 latent variables 2 stock return modeling 2 Capital income 1 Compass Rose 1 High Frequency Data 1 Kapitaleinkommen 1 Non- and Semiparametric Copulas 1 Option pricing theory 1 Optionspreistheorie 1 Overreaction 1 Tail Dependence 1 Volatility 1 Volatilität 1 equity options 1 non- and semiparametric copulas 1 overreaction 1 return reversals 1 tail dependence 1
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Online availability
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Free 4
Type of publication
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Book / Working Paper 4 Article 1
Type of publication (narrower categories)
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Working Paper 2 Article in journal 1 Aufsatz in Zeitschrift 1
Language
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English 5
Author
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Amilon, Henrik 2 Ng, Wing Lon 2 Ap Gwilym, Owain 1 Versousis, Thanos 1
Institution
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Nationalekonomiska Institutionen, Ekonomihögskolan 1 Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät 1
Published in...
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SFB 649 Discussion Paper 1 SFB 649 Discussion Papers 1 The European journal of finance 1 Working Paper 1 Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan 1
Source
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EconStor 2 RePEc 2 ECONIS (ZBW) 1
Showing 1 - 5 of 5
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Overreaction and multiple tail dependence at the high-frequency level: The copula rose
Ng, Wing Lon - 2006
overreaction phenomena and multiple tail dependence, revealing patterns similar to the compass rose. …
Persistent link: https://www.econbiz.de/10010265662
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Cover Image
Overreaction and Multiple Tail Dependence at the High-frequency Level — The Copula Rose
Ng, Wing Lon - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
overreaction phenomena and multiple tail dependence, revealing patterns similar to the compass rose. … of overreaction phenomena and multiple tail dependence, revealing patterns similar to the compass rose. Key Words: high … frequency data, non- and semiparametric cop- ulas, overreaction, tail dependence, compass rose. JEL Classifications: C14,C22,G14 …
Persistent link: https://www.econbiz.de/10005489950
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Return reversals and the compass rose : insights from high frequency options data
Versousis, Thanos; Ap Gwilym, Owain - In: The European journal of finance 17 (2011) 9/10, pp. 883-896
Persistent link: https://www.econbiz.de/10009529135
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GARCH Estimation and Discrete Stock Prices
Amilon, Henrik - 2001
The continuous-state GARCH model is misspecified if applied to returns calculated from discrete price series. This paper proposes modifications of the above model for handling such cases. The focus is on the AR-GARCH framework, but the same ideas could be used for other stochastic processes as...
Persistent link: https://www.econbiz.de/10013208417
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Cover Image
GARCH Estimation and Discrete Stock Prices
Amilon, Henrik - Nationalekonomiska Institutionen, Ekonomihögskolan - 2001
The continuous-state GARCH model is misspecified if applied to returns calculated from discrete price series. This paper proposes modifications of the above model for handling such cases. The focus is on the AR-GARCH framework, but the same ideas could be used for other stochastic processes as...
Persistent link: https://www.econbiz.de/10005645095
Saved in:
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