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In: International journal of forecasting, Band 8, Heft 1, S. 102-103
ISSN: 0169-2070
In: International journal of forecasting, Band 6, Heft 4, S. 571-572
ISSN: 0169-2070
In: International journal of forecasting, Band 4, Heft 3, S. 421-426
ISSN: 0169-2070
In: International journal of forecasting, Band 3, Heft 1, S. 159-170
ISSN: 0169-2070
In: International journal of forecasting, Band 2, Heft 2, S. 252-253
ISSN: 0169-2070
In: International journal of forecasting, Band 22, Heft 1, S. 109-123
ISSN: 0169-2070
In: The journal of financial research: the journal of the Southern Finance Association and the Southwestern Finance Association, Band 25, Heft 2, S. 283-299
ISSN: 1475-6803
AbstractIn this article we compare volatility forecasts over a thirty‐minute horizon for the spot exchange rates of the Deutsche mark and the Japanese yen against the U.S. dollar. Explicitly modeling the intraday seasonal pattern improves the out‐of‐sample forecasting performance. We find that a seasonal estimated from the log of squared returns improves with the use of simple squared returns, and that the flexible Fourier form (FFF) is an efficient way of determining the seasonal. The two‐step approach that first estimates the seasonal using the FFF and then the parameters of the generalized autoregressive conditional heteroskedasticity (GARCH) model for the deseasonalized returns performs only marginally worse than the computationally expensive periodic GARCH model that includes the FFF.
In: NATO ASI Series, Series F: Computer and Systems Sciences 54
In: Nato ASI Subseries F:, Computer and Systems Sciences 54
The NATO Advanced Research Workshop on "A reappraisal of the efficiency of financial markets" -- Section 1 Survey Papers -- What do we know about stock market "efficiency"? -- Stock price reversals and overreaction to new events: A survey of theory and evidence -- Comments -- Seasonal anomalies in financial markets: A survey -- Comments -- Section 2 Size and Earnings Anomalies -- Earnings yield and size effects: Unconditional and conditional estimates -- A look at the validity of the CAPM in the light of equity market anomalies: The case of Belgian common stocks -- Market size, PE ratios, dividend yield and share prices: The UK evidence -- Comments -- Section 3 Seasonal and Other Anomalies -- Canadian calendar anomalies and the capital asset pricing model -- Comments -- An investigation of daily seasonality in the Greek equity market -- Comments -- Random walks and anomalies on the Copenhagen stock exchange in the 1890's -- Comments -- January skewness, another enigma? -- Forecasting price trends at the Lisbon stock exchange -- Comments -- Section 4 Initial and Repurchase Stock Offers -- The market for initial public offerings: An analysis of the Amsterdam stock exchange (1982–7) -- French new issues, underpricing and alternative methods of distribution -- Going public in the F.R.G. -- Trading rules around repurchase tender offers -- Section 5 Excess Price Volatility -- Price-conditional vector autoregressions and theories of stock price determination -- Comments -- Is the UK equity market consistent with the "efficient markets" model? -- Comments -- Rational expectations and perfect foresight prices -- A re-examination of excess rational price approximations and excess volatility in the stock market -- Comments -- The Italian stock market: Efficiency and price formation -- Section 6 General Papers -- The impact of EMH logic in practice -- Comments -- The efficiency of the Chicago Board of Trade futures and futures options markets -- Section 7 Currency Markets -- The stability of speculative profits in the foreign exchanges -- Further evidence against the efficiency of futures markets -- Comments -- Analysts expectations and risk premia in the forward foreign exchange market: An empirical investigation -- Comments -- Section 8 Commodity Markets -- Monetary and economic influences in econometric models of international commodity price behaviour -- Comments -- Market efficiency and commodity prices: Forecasting soyabean prices on the Chicago market -- Purchasing maize futures under a deadline: Testing and risk-yield evaluation of a price-trend buying policy -- Comments -- A state-space approach to forecasting commodity prices -- Section 9 Options Markets -- An empirical test of the option pricing model based on EOE transactions data -- The pricing of Euromarket warrants on Japanese stocks: A preliminary study -- Comments -- Workshop participants.
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Working paper