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Long-lived information and intraday patterns

Back, Kerry E.; Pedersen, Hal - In: Journal of financial markets 1 (1998) 3/4, pp. 385-402

Persistent link: https://www.econbiz.de/10001426555

Long-Lived Information and Intraday Patterns

Back, Kerry E. - 1997

This paper studies the effect of clustering of liquidity trades on intraday patterns of volatility and market depth when private information is long-lived. The assumption of long-lived information allows us to distinguish between the patterns of information arrival and information use. Our...

Persistent link: https://www.econbiz.de/10012792101

Mortality risk modeling : applications to insurance securitization

Cox, Samuel H.; Lin, Yijia; Pedersen, Hal - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 242-253

Persistent link: https://www.econbiz.de/10003953369

A survey of dynamic Nelson-Siegel models, diffusion indexes, and big data methods for predicting interest rates

Pedersen, Hal; Swanson, Norman R. - In: Quantitative finance and economics 3 (2019) 1, pp. 22-45

Persistent link: https://www.econbiz.de/10012176203

Stochastic methods in finance : lectures given at the C.I.M.E.-E.M.S. Summer School held in Bressanone/Brixen, Italy, July 6 - 12, 2003

Back, Kerry E. (contributor); Frittelli, Marco (ed.); … - 2004

This volume includes the five lecture courses given at the CIME-EMS School on "Stochastic Methods in Finance" held in Bressanone/Brixen, Italy 2003. It deals with innovative methods, mainly from stochastic analysis, that play a fundamental role in the mathematical modelling of finance and...

Persistent link: https://www.econbiz.de/10002392702