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Historical financial analogies of the current crisis

Andrada Félix, Julián; Fernández Rodríguez, Fernando; … - In: Economics letters 116 (2012) 2, pp. 190-192

Persistent link: https://www.econbiz.de/10009674498

Historical financial analogies of the current crisis

Andrada Félix, Julián; Fernández Rodríguez, Fernando; … - 2011

Persistent link: https://www.econbiz.de/10009684365

Kursstürze am Aktienmarkt : Crashs in der Vergangenheit und was wir daraus lernen können

Kiehling, Hartmut - 2000 - Orig.-Ausg., 2., überarb. und erw. Aufl.

Persistent link: https://www.econbiz.de/10001520293

Spekulationsblasen in der frühen Neuzeit : ein systematischer Vergleich der Ursachen, Mechanismen und Auswirkungen der Mississippi und der South Sea Bubble

Vera, Antonio - 2015 - 1. Aufl.

3.3.2 Die South Sea Bubble 76 4 Systematischer Vergleich der Mississippi und der … 87 4.1 Vergleich der Mechanismen und Ursachen 87 ….1.4 Informationsasymmetrie zwischen Insidern und Outsidern 101 4.2 Vergleich der ökonomischen …

Persistent link: https://www.econbiz.de/10010509663

Empirical Asset Pricing via Machine Learning

Gu, Shihao - 2019

We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based...

Persistent link: https://www.econbiz.de/10012899608

Empirical Asset Pricing via Machine Learning : The Global Edition

Cakici, Nusret; Zaremba, Adam - 2022

We examine the cross-section of international equity risk premia with machine learning methods. We identify, classify, and calculate 88 market characteristics and use them to forecast country returns with various machine learning techniques. While all algorithms produce substantial economic...

Persistent link: https://www.econbiz.de/10013306087

Value stocks Trump growth stocks in a recent 20-year study

Kochman, Ladd Michael; Bray, David; Gilliam, Kenneth P. - In: The southern business & economic journal 42 (2019) 1, pp. 49-55

Persistent link: https://www.econbiz.de/10012492173

A Comparison of Conditional Volatility Estimators for the ISE National 100 Index Returns

Köksal, Bülent - 2009

We compare more than 1000 different volatility models in terms of their fit to the historical ISE-100 Index data and their forecasting performance of the conditional variance in an out-of-sample setting. Exponential GARCH model of Nelson (1991) with “constant mean, t-distribution, one lag...

Persistent link: https://www.econbiz.de/10013159436

Asymmetry in volatility : a comparison of developed and transition stock markets

Wdowinski, Piotr; Malecka, Marta - 2010

ARCH modelling framework of Engle (1982) and its GARCH generalization of Bollerslev (1986) gave a huge impetus to econometric model building in the field of financial time series with time-varying variance. The main idea of the models was to describe the most typical features of capital markets...

Persistent link: https://www.econbiz.de/10003942099

Equity price dynamics before and after the introduction of the euro : a note

Cheung, Yin-Wong; Westermann, Frank - 2001

Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have...

Persistent link: https://www.econbiz.de/10011397990