Livros sobre o tema "Stocks Australia Econometric models"

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

Engle, R. F. Execution risk. Cambridge, Mass: National Bureau of Economic Research, 2006.

Lo, Ingrid. Order submission: The choice between limit and market orders. Ottawa: Bank of Canada, 2005.

Hallock, Kevin F. The value of stock options to non-executive employees. Cambridge, Mass: National Bureau of Economic Research, 2006.

Albuquerque, Rui. International equity flows and returns: A quantitative equilibrium approach. Ottawa: Bank of Canada, 2004.

Chan-Lau, Jorge A. Asian flu or Wall Street virus?: Price and volatility spillovers of tech and non-tech sectors in the United States and Asia. [Washington, D.C.]: International Monetary Fund, International Capital Markets Department and Western Hemisphere Department, 2002.

Wright, Jonathan H. Log-periodogram estimation of long memory volatility dependencies with conditionally heavy tailed returns. Washington, D.C: Federal Reserve Board, 2000.

Santos, Tano. Cash-flow risk, discount risk, and the value premium. Cambridge, Mass: National Bureau of Economic Research, 2005.

Antunovich, Peter. Do investors mistake a good company for a good investment? [New York, N.Y.]: Federal Reserve Bank of New York, 1999.

Lin, Wen-Ling. Do bulls and bears move across borders?: International transmission of stock returns and volatility as the world turns. Cambridge, MA: National Bureau of Economic Research, 1991.

Ghysels, Eric. There is a risk-return tradeoff after all. Cambridge, Mass: National Bureau of Economic Research, 2004.

Ghysels, Eric. There is a risk-return tradeoff after all. Cambridge, MA: National Bureau of Economic Research, 2004.

Chan, Louis K. C. Momentum strategies. Cambridge, MA: National Bureau of Economic Research, 1995.

Basch, Miguel. Comportamiento reciente del mercado accionario chileno: Una aplicación de test de volatilidad y eficiencia. Santiago de Chile: Corporación de Investigaciones Económicas para Latinoamérica, 1993.

Satchell, Stephen E. Some statistics for testing the influence of the number of transations on the distribution of returns. Cambridge: Dept. of Applied Economics, University of Cambridge, 1993.

Daniel, Kent. Explaining the cross-section of stock returns in Japan: Factors or characteristics? Cambridge, MA: National Bureau of Economic Research, 1999.

Asquith, Paul. Short interest and stock returns. Cambridge, MA: National Bureau of Economic Research, 2004.

Lamont, Owen A. The earnings announcement premium and trading volume. Cambridge, Mass: National Bureau of Economic Research, 2007.

Guidolin, Massimo. Pessimistic beliefs under rational learning: Quantitative implications for the equity premium puzzle. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2005.

Balke, Nathan S. Low frequency movements in stock prices: A state space decomposition (revised May 2001, forthcoming Review of Economics and Statistics). [Dallas, Tx.]: Federal Reserve Bank of Dallas, 2000.

Lai, Alexandra. Ownership concentration and competition in banking markets. Ottawa: Bank of Canada, 2006.

Guidolin, Massimo. Size and value anomalies under regime shifts. [St. Louis, Mo.]: Federal Reserve Bank of St. Louis, 2005.

Weil, Philippe. On the possibility of price decreasing bubbles. Cambridge, MA: National Bureau of Economic Research, 1989.

Grinblatt, Mark. The disposition effect and momentum. Cambridge, MA: National Bureau of Economic Research, 2002.

Michael, Ehrmann. Stocks, bonds, money markets and exchange rates: Measuring international financial transmission. Cambridge, Mass: National Bureau of Economic Research, 2005.

Mastronikola, Katerina. Yield curves for gilt-edged stocks: A new model. London: Economics Division, Bank of England, 1991.

Mastronikola, Katerina. Yield curves for gilt-edged stocks: A new model. London: Bank of England, 1991.

Ang, Andrew. CAPM over the long run: 1926-2001. Cambridge, Mass: National Bureau of Economic Research, 2005.

Santa-Clara, Pedro. Jump and volatility risk and risk premia: A new model and lessons from S&P 500 options. Cambridge, MA: National Bureau of Economic Research, 2004.

Campbell, John Y. Growth or glamour?: Fundamentals and systematic risk in stock returns. Cambridge, MA: National Bureau of Economic Research, 2005.

Özçam, Mustafa. An analysis of the macroeconomic factors that determine stock returns in Turkey. Ankara: Sermaye Piyasası Kurulu, 1997.

Lettau, Martin. The declining equity premium: What role does macroeconomic risk play? Cambridge, MA: National Bureau of Economic Research, 2004.

Shiller, Robert J. Comovements in stock prices and comovements in dividends. Cambridge, MA: National Bureau of Economic Research, 1989.

Geert, Bekaert. Stock and bond pricing in an affine economy. Cambridge, MA: National Bureau of Economic Research, 1999.

Campbell, John Y. Growth or glamour?: Fundamentals and systematic risk in stock returns. Cambridge, Mass: National Bureau of Economic Research, 2005.

Mei, Jianping. Speculative trading and stock prices: Evidence from Chinese A-B share premia. Cambridge, Mass: National Bureau of Economic Research, 2005.

Pagès, Henri. A note on the Gordon growth model with nonstationary dividend growth. Basel, Switzerland: Bank for International Settlements, Monetary and Economic Dept., 1999.

Gatev, Evan G. Pairs trading: Performance of a relative value arbitrage rule. Cambridge, MA: National Bureau of Economic Research, 1999.

Li, Erica X. N. Optimal market timing. Cambridge, Mass: National Bureau of Economic Research, 2006.

Santa-Clara, Pedro. Jump and volatility risk and risk premia: A new model and lessons from S & P 500 options. Cambridge, Mass: National Bureau of Economic Research, 2004.

Mei, Jianping. Speculative trading and stock prices: Evidence from Chinese A-B share premia. Cambridge, MA: National Bureau of Economic Research, 2005.

Buffer stock models and the demand for money. Basingstoke, Hampshire: Macmillan, 1994.

Pagan, Adrian R. Alternative models for conditional stock volatility. Cambridge, MA: National Bureau of Economic Research, 1989.

Daniel, Kent. Evidence on the characteristics of cross sectional variation in stock returns. Cambridge, MA: National Bureau of Economic Research, 1996.

Lo, Ingrid. A structural error-correction model of best prices and depths in the foreign exchange limit order market. Ottawa: Bank of Canada, 2006.

Lamont, Owen A. Investment plans and stock returns. Cambridge, MA: National Bureau of Economic Research, 1999.

Campbell, John Y. Consumption and the stock market: Interpreting international experience. Cambridge, MA: National Bureau of Economic Research, 1996.

Lo, Ingrid. A structural error-correction model of best prices and depths in the foreign exchange limit order market. Ottawa: Bank of Canada, 2006.

Kang, Jun-Koo. How different is Japanese corporate finance?: An investigation of the information content of new security issues. Cambridge, MA: National Bureau of Economic Research, 1994.

Shiller, Robert J. Stock prices and bond yields: Can their comovements be explained in terms of present value models? Cambridge, MA: National Bureau of Economic Research, 1990.