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Forward discount bias : is it near-rationality in the foreign exchange market?
Gruen, David W. R. - In: The economic record : er 71 (1995) 213, pp. 157-166
Persistent link: https://www.econbiz.de/10001186623
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Econometric models of limit-order executions
Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1999
Persistent link: https://www.econbiz.de/10001408440
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Utility based option pricing with proportional transaction costs and diversification problems : an interior point optimization approach
Andersen, Erling D.; Damgaard, Anders - 1997
Persistent link: https://www.econbiz.de/10000960751
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Econometric models of limit-order executions
Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1997
Persistent link: https://www.econbiz.de/10000645107
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Econometric models of limit-order executions
Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - In: Journal of financial economics 65 (2002) 1, pp. 31-71
Persistent link: https://www.econbiz.de/10001690102
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Utility based option evaluation with proportional transaction costs
Damgaard, Anders - In: Journal of economic dynamics & control 27 (2003) 4, pp. 667-700
Persistent link: https://www.econbiz.de/10001712762
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A rational theory for disposition effects
Dai, Min; Jiang, Yipeng; Liu, Hong; Xu, Jing - In: Review of economic dynamics 47 (2023), pp. 131-157
Persistent link: https://www.econbiz.de/10013555831
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Picking a thorny rose : optimal trading with spread-based return predictability
Feng, Linjun; Li, Ya; Xu, Jing - In: European financial management : the journal of the … 30 (2024) 4, pp. 2343-2375
Persistent link: https://www.econbiz.de/10015142018
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Econometric Models of Limit-Order Executions
Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 2021
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10013248406
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Econometric Models of Limit-Order Executions
Lo, Andrew W. - 1997
This paper attempts to assess whether money can generate persistent economic" fluctuations in dynamic general equilibrium models of the business cycle. We show that a small" nominal friction in the goods market can make the response of output to monetary shocks large" and persistent if it is...
Persistent link: https://www.econbiz.de/10012472554