Volume and the nonlinear dynamics of stock returns:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | German |
| Published: |
Berlin u.a.
Springer
1998
|
| Series: | Lecture notes in economics and mathematical systems
457 |
| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 132 S. |
| ISBN: | 3540636722 |
Staff View
MARC
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Record in the Search Index
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|---|---|
| adam_text | Contents
1 Introduction 1
2 Efficient Stock Markets 7
2.1 Equilibrium Models of Asset Pricing 8
2.1.1 The Martigale Model of Stock Prices 8
2.1.2 Lucas Consumption Based Asset Pricing
Model 9
2.2 Econometric Tests of the Efficient Market Hypothesis 13
2.2.1 Autocorrelation Based Tests 14
2.2.2 Volatility Tests 16
2.2.3 Time Varying Expected Returns 25
3 The Informational Role of Volume 29
3.1 Standard Grossman Stiglitz Model 31
3.2 The No Trad Result of the BEO Model 34
3.3 A Model with Nontradable Asset 37
4 Volume and Volatility of Stock Returns 43
4.1 Empirical and Numerical Results 45
4.2 Summary 50
viii Contents
5 Nonlinear Analysis of Return and Volume 59
5.1 A Preliminary Data Exploration 60
5.2 Estimation of the Conditional Density 64
5.2.1 SNP Estimator 64
5.2.2 SNP Fitting of the Bivariate Return
Volume Conditional Density 67
5.3 Nonlinear Impulse Response Analysis 72
5.3.1 Conditional Mean and Conditional
Variance Profile 72
5.3.2 Computation 74
5.3.3 Empirical Results 75
6 Testing the Structure Model 85
6.1 The Structural Model 86
6.2 Efficient Method of Moments 87
6.2.1 EMM Estimator 89
6.3 Application of EMM 91
6.3.1 Score Generator 91
6.3.2 Estimation of the Structural Model 92
6.4 Does the Stochastic Volatility Model Do Better? 96
6.5 Summary 98
7 Conclusions 103
A Proof of Proposition 1 1°7
B Proof of Proposition 2 H3
References 123
|
| any_adam_object | 1 |
| author | Hsu, Chiente 1964- |
| author_GND | (DE-588)115677526 |
| author_facet | Hsu, Chiente 1964- |
| author_role | aut |
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| author_variant | c h ch |
| building | Verbundindex |
| bvnumber | BV011662858 |
| callnumber-first | H - Social Science |
| callnumber-label | HG4636 |
| callnumber-raw | HG4636.H78 1998 |
| callnumber-search | HG4636.H78 1998 |
| callnumber-sort | HG 44636 H78 41998 |
| callnumber-subject | HG - Finance |
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| ctrlnum | (OCoLC)37742231 (DE-599)BVBBV011662858 |
| dewey-full | 332.63/22221 332.63/222 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.63/222 21 332.63/222 |
| dewey-search | 332.63/222 21 332.63/222 |
| dewey-sort | 3332.63 3222 221 |
| dewey-tens | 330 - Economics |
| discipline | Mathematik Wirtschaftswissenschaften |
| format | Book |
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| id | DE-604.BV011662858 |
| illustrated | Not Illustrated |
| indexdate | 2024-07-09T18:13:39Z |
| institution | BVB |
| isbn | 3540636722 |
| language | German |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-007863220 |
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| physical | VIII, 132 S. |
| publishDate | 1998 |
| publishDateSearch | 1998 |
| publishDateSort | 1998 |
| publisher | Springer |
| record_format | marc |
| series | Lecture notes in economics and mathematical systems |
| series2 | Lecture notes in economics and mathematical systems |
| spelling | Hsu, Chiente 1964- Verfasser (DE-588)115677526 aut Volume and the nonlinear dynamics of stock returns Chiente Hsu Berlin u.a. Springer 1998 VIII, 132 S. txt rdacontent n rdamedia nc rdacarrier Lecture notes in economics and mathematical systems 457 Aandelen gtt Return on investment gtt Wiskundige modellen gtt Mathematisches Modell Stocks -- Prices -- Mathematical models Return on investment Volatilität (DE-588)4268390-7 gnd rswk-swf Aktienrendite (DE-588)4126593-2 gnd rswk-swf Nichtparametrisches Modell (DE-588)4434654-2 gnd rswk-swf Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd rswk-swf Mathematisches Modell (DE-588)4114528-8 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Aktienkurs (DE-588)4141736-7 s Mathematisches Modell (DE-588)4114528-8 s DE-604 Aktienrendite (DE-588)4126593-2 s Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 s Volatilität (DE-588)4268390-7 s Nichtparametrisches Modell (DE-588)4434654-2 s Lecture notes in economics and mathematical systems 457 (DE-604)BV000000036 457 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007863220&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Hsu, Chiente 1964- Volume and the nonlinear dynamics of stock returns Lecture notes in economics and mathematical systems Aandelen gtt Return on investment gtt Wiskundige modellen gtt Mathematisches Modell Stocks -- Prices -- Mathematical models Return on investment Volatilität (DE-588)4268390-7 gnd Aktienrendite (DE-588)4126593-2 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd Aktienkurs (DE-588)4141736-7 gnd |
| subject_GND | (DE-588)4268390-7 (DE-588)4126593-2 (DE-588)4434654-2 (DE-588)4276267-4 (DE-588)4114528-8 (DE-588)4141736-7 |
| title | Volume and the nonlinear dynamics of stock returns |
| title_auth | Volume and the nonlinear dynamics of stock returns |
| title_exact_search | Volume and the nonlinear dynamics of stock returns |
| title_full | Volume and the nonlinear dynamics of stock returns Chiente Hsu |
| title_fullStr | Volume and the nonlinear dynamics of stock returns Chiente Hsu |
| title_full_unstemmed | Volume and the nonlinear dynamics of stock returns Chiente Hsu |
| title_short | Volume and the nonlinear dynamics of stock returns |
| title_sort | volume and the nonlinear dynamics of stock returns |
| topic | Aandelen gtt Return on investment gtt Wiskundige modellen gtt Mathematisches Modell Stocks -- Prices -- Mathematical models Return on investment Volatilität (DE-588)4268390-7 gnd Aktienrendite (DE-588)4126593-2 gnd Nichtparametrisches Modell (DE-588)4434654-2 gnd Nichtlineare Zeitreihenanalyse (DE-588)4276267-4 gnd Mathematisches Modell (DE-588)4114528-8 gnd Aktienkurs (DE-588)4141736-7 gnd |
| topic_facet | Aandelen Return on investment Wiskundige modellen Mathematisches Modell Stocks -- Prices -- Mathematical models Volatilität Aktienrendite Nichtparametrisches Modell Nichtlineare Zeitreihenanalyse Aktienkurs |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=007863220&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV000000036 |
| work_keys_str_mv | AT hsuchiente volumeandthenonlineardynamicsofstockreturns |