Books on the topic 'Stock exchanges Forecasting Econometric models'

Zhongguo zheng quan shi chang liu dong xing yi jia ji qi wen ding xing he xiao ying ji liang yan jiu. Beijing: Zhongguo she hui ke xue chu ban she, 2011.

Mercereau, Benoît. Stock markets and the real exchange rate: An intertemporal approach. [Washington, D.C.]: International Monetary Fund, African Department, 2003.

Hong, Harrison G. A unified theory of underreaction, momentum trading and overreaction in asset markets. Cambridge, MA: National Bureau of Economic Research, 1997.

Cochrane, John H. Where is the market going?: Uncertain facts and novel theories. Cambridge, MA: National Bureau of Economic Research, 1997.

Mercereau, Benoît. The role of stock markets in current account dynamics: A time-series approach. [Washington, D.C.]: International Monetary Fund, Asia and Pacific Dept., 2004.

Jung, Jeeman. One simple test of Samuelson's dictum for the stock market. Cambridge, Mass: National Bureau of Economic Research, 2002.

Mercereau, Benoît. The role of stock markets in current account dynamics: Evidence from the United States. [Washington, D.C.]: International Monetary Fund, African Department, 2003.

Noh, Jaesun. A test of efficiency for the S&P 500 index option market using variance forecasts. Cambridge, Mass: National Bureau of Economic Research, 1993.

Gompers, Paul A. Institutional investors and equity prices. Cambridge, MA: National Bureau of Economic Research, 1998.

Flood, Robert P. Testable implications of indeterminacies in models with rational expectations. Cambridge, MA: National Bureau of Economic Research, 1989.

Becker, Torbjörn. Devaluation expectations and the stock market: The case of Mexico in 1994/95. [Washington, D.C.]: International Monetary Fund, Research Department, 2000.

Cho, Young-Hye. Time-varying betas and asymmetric effects of news: Empirical analysis of blue chip stocks. Cambridge, MA: National Bureau of Economic Research, 1999.

Geert, Bekaert. Expectations hypotheses tests. Cambridge, MA: National Bureau of Economic Research, 2000.

Lo, Andrew W. Econometric models of limit-order executions. Cambridge, MA: National Bureau of Economic Research, 1997.

Stock market integration and the pricing for regionalism. Kuala Lumpur: University of Malaya Press, 2010.

Ryan, James. The overreaction hypothesis: An examination in the Irish stock market. Dublin: Dublin City University Business School, 1999.

Flavin, T. J. Explaining stock market correlation: A gravity model approach. Maynooth, Co. Kildare: National University of Ireland, Maynooth, 2001.

Anders, Johansson. Empirical essays on financial and real investment behavior. [Göteborg, Sweden: Nationalekonomiska institutionen, Göteborgs universitet, 1998.

Zhongguo gu piao shi chang feng xian yan jiu. Beijing: Zhongguo ren min da xue chu ban she, 2003.

Kang, Jun-Koo. The underreaction hypothesis and the new issue puzzle: Evidence from Japan. Cambridge, MA: National Bureau of Economic Research, 1996.

Campbell, John Y. Trading volume and serial correlation in stock returns. Cambridge, MA: National Bureau of Economic Research, 1992.

Campbell, John Y. Dispersion and volatility in stock returns: An empirical investigation. Cambridge, MA: National Bureau of Economic Research, 1999.

Majnoni, Giovanni. Share prices and trading volume: Indications of stock exchange efficiency. Roma: Banca d'Italia, 1996.

Levine, Ross. Stock markets, growth, and policy. [Washington, DC]: Country Economics Dept., World Bank, 1990.

Agarwalla, Sobhesh Kumar. Whether cross-listing, stock-specific and market-wide calender events impact intraday volatility dynamics?: Evidence from the Indian stock market using high-frequency data. Ahmedabad: Indian Institute of Management, 2012.

Raaij, Gabriela De. Evaluating density forecasts with an application to stock market returns. Wien: Oesterreichische Nationalbank, 2002.

Korajczyk, Robert A. A measure of stock market integration for developed and emerging markets. Washington, DC: World Bank, Policy Research Dept., Finance and Private Sector Development Division, 1995.

Ang, Andrew. Stock return predictability: Is it there? Cambridge, MA: National Bureau of Economic Research, 2001.

Campbell, John Y. Efficient tests of stock return predictability. Cambridge, Mass: National Bureau of Economic Research, 2003.

Goetzmann, William N. A century of global stock markets. Cambridge, MA: National Bureau of Economic Research, 1997.

Chen, Yuanbao. Gu shi bo dong yu jing ji bo dong de yin guo guan xi. Taibei Shi: Cai tuan fa ren Zhonghua jing ji yan jiu yuan, 1999.

Goetzmann, William N. Re-emerging markets. Cambridge, MA: National Bureau of Economic Research, 1997.

Dupuis, David. The U.S. stock market and fundamentals: A historical decomposition. Ottawa: Bank of Canada, 2003.

Dupuis, David. The U.S. stock market and fundamentals: A historical decomposition. Ottawa, Ont: Bank of Canada, 2003.

Crone, Theodore M. Forecasting trends in the housing stock using age-specific demographic projections: Theodore M. Crone and Leonard O. Mills. [Philadelphia, Pa.]: Federal Reserve Bank of Philadelphia, 1990.

Kelly, Morgan. Do noise traders influence stock prices? Dublin: University College Dublin, Department of Economics, 1996.

Donaldson, Glen. Volatility forecasts, trading volume, and the ARCH versus option-implied volatility trade-off. [Atlanta]: Federal Reserve Bank of Atlanta, 2004.

Engle, R. F. Measuring, forecasting, and explaining time varying liquidity in the stock market. Cambridge, MA: National Bureau of Economic Research, 1997.

Raunig, Burkhard. Testing for longer horizon predictability of return volatility with an application to the German DAX. [Vienna]: Oesterreichische Nationalbank, 2003.

Levine, Ross. Stock markets, banks, and economic growth. Washington, DC: World Bank, Policy Research Dept., Finance and Private Sector Development Division, 1996.

Jorion, Philippe. A century of global stock markets. Cambridge, MA: National Bureau of Economic Research, 2000.

Reiss, Peter C. Transaction costs in dealer markets: Evidence from the London stock exchange. Cambridge, MA: National Bureau of Economic Research, 1994.

Vuolteenaho, Tuomo. What drives firm-level stock returns? Cambridge, MA: National Bureau of Economic Research, 2001.

Itō, Takatoshi. Price volatility and volume spillovers between the Tokyo and New York stock markets. Cambridge, MA: National Bureau of Economic Research, 1993.

Campbell, John Y. No news is good news: An asymmetric model of changing volatility in stock returns. London: LSE Financial Markets Group, 1990.

Campbell, John Y. No news is good news: An asymmetric model of changing volatility in stock returns. Cambridge, MA: National Bureau of Economic Research, 1991.

Dupuis, David. The U.S. stock market and fundamentals: A historical decomposition : by David Dupuis and David Tessier. Ottawa: Bank of Canada, 2003.

Carpenter, Seth B. Money demand and equity markets. Washington, D.C: Federal Reserve Board, 2003.

Andersen, Torben G. Testing for market microstructure effects in intraday volatility: A reassessment of the Tokyo FX experiment. Cambridge, MA: National Bureau of Economic Research, 1998.

Bekaert, Geert. Emerging equity market volatility. Cambridge, MA: National Bureau of Economic Research, 1995.