Книги з теми "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.