The speed of adjustment of warrant prices to changes in stock prices

von Patterson, Douglas M.
Veröffentlicht in Journal of business & economic statistics (1986)

The incidence of informational cascades and the behavior of trade interarrival times during the stock market bubble

von Patterson, Douglas M.
Veröffentlicht in Macroeconomic dynamics (2010)

Evaluating the effectiveness of state-switching time series models for US real output

von Ashley, Richard A.
Veröffentlicht in Journal of business & economic statistics (2006)

Linear versus nonlinear macroeconomies : a statistical test

von Ashley, Richard A.
Veröffentlicht in International economic review (1989)

Identification of the coefficients in a non-linear time series of the quadratic type

von Hinich, Melvin J.
Veröffentlicht in New approaches to modelling, specification selection and econometric inference

The marginal value of management using stochastic control

von Bosshardt, Donald I.
Veröffentlicht in Journal of economic dynamics & control (1991)

A test of the GARCH (1,1) specification for daily stock returns

von Ashley, Richard A.
Veröffentlicht in Macroeconomic dynamics (2010)

Evidence of nonlinearity in daily stock returns

von Hinich, Melvin J.
Veröffentlicht in Journal of business & economic statistics (1985)

Detecting epochs of transient dependence in white noise

von Hinich, Melvin J.
Veröffentlicht in Money, measurement and computation (2006)

Evidence of nonlinearity in the trade-by-trade stock market return generating process

von Hinich, Melvin J.
Veröffentlicht in Economic complexity (1989)

The cross-sectional and cross-temporal universality of nonlinear serial dependencies : evidence from world stock indices and the Taiwan Stock Exchange

von Ammermann, Peter A.
Veröffentlicht in Pacific-Basin finance journal (2003)

A transactions data analysis of nonsynchronous trading

von Kadlec, Gregory B.
Veröffentlicht in The review of financial studies (1999)

A nonlinear time series workshop : a toolkit for detecting and identifying nonlinear serial dependence

von Patterson, Douglas M.
Veröffentlicht 2000

Apparent long memory in time series as an artifact of a time-varying mean : considering alternatives to the fractionally integrated model

von Ashley, Richard A.
Veröffentlicht in Macroeconomic dynamics (2010)

Are technology shocks nonlinear?

von Altuğ, Sumru
Veröffentlicht in Macroeconomic dynamics (1999)

Nonlinear serial dependence in industrial stock returns

von Ashley, Richard A.
Veröffentlicht in Advances in mathematical programming and financial planning (1990)

A new bispectral test for nonlinear serial dependence

Veröffentlicht in Econometric reviews (2009)