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An application of the Kalman filtering technique to the modelling of price expectations

Margaritis, Dimitris - In: The journal of economics 11 (1985), pp. 156-159

Persistent link: https://www.econbiz.de/10001438844

Capital structure, equity ownership and firm performance

Margaritis, Dimitris; Psillaki, Maria - In: Journal of banking & finance 34 (2010) 3, pp. 621-632

Persistent link: https://www.econbiz.de/10003951936

Stock market volatility and equity returns : evidence from a two-state Markov-switching model with regressors

Liu, Xinyi; Margaritis, Dimitris; Wang, Peiming - In: Journal of empirical finance 19 (2012) 4, pp. 483-496

Persistent link: https://www.econbiz.de/10009615667

Estimating the hyperbolic distance function : a directional distance function approach

Färe, Rolf; Margaritis, Dimitris; Rouse, Paul; Roshdi, … - In: European journal of operational research : EJOR 254 (2016) 1, pp. 312-319

Persistent link: https://www.econbiz.de/10011503310

Modeling structural changes in the volatility process

Frijns, Bart; Lehnert, Thorsten; Zwinkels, Remco C. J. - In: Journal of empirical finance 18 (2011) 3, pp. 522-532

Persistent link: https://www.econbiz.de/10009302073

Time-varying arbitrage and dynamic price discovery

Frijns, Bart; Zwinkels, Remco C. J. - In: Journal of economic dynamics & control 91 (2018), pp. 485-502

Persistent link: https://www.econbiz.de/10011974226

Frictions in financial markets

Frijns, Bart; Tourani Rad, Alireza - In: Journal of empirical finance 41 (2017), pp. 116-117

Persistent link: https://www.econbiz.de/10011746964

Contemporaneous spillover effects between the U.S. and the U.K. equity markets

Finta, Marinela Adriana; Frijns, Bart; Tourani Rad, Alireza - In: The financial review : the official publication of the … 52 (2017) 1, pp. 145-166

Persistent link: https://www.econbiz.de/10011656879

Time-Varying Arbitrage and Dynamic Price Discovery

Frijns, Bart - 2016

In this paper we combine the heterogeneous agent literature with the market microstructure literature in order to introduce time varying measures of price discovery based on underlying profit maximizing behavior. We set up a heterogeneous agent model with arbitrageurs and chartists, and allow...

Persistent link: https://www.econbiz.de/10012986392