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Volume and the nonlinear dynamics of stock returns

Author: Chiente Hsu
Publisher: Berlin ; New York : Springer, ©1998.
Series: Lecture notes in economics and mathematical systems, 457.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

Contents 1 Introduction 1 7 2 Efficient Stock Markets Equilibrium Models of Asset Pricing 8 2. 2 Lucas' Consumption Based Asset Pricing Model 9 2. 2 Econometric Tests of the Efficient Market  Read more...

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Additional Physical Format: Online version:
Hsu, Chiente, 1964-
Volume and the nonlinear dynamics of stock returns.
Berlin ; New York : Springer, ©1998
(OCoLC)647270910
Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Chiente Hsu
ISBN: 3540636722 9783540636724
OCLC Number: 37742231
Description: viii, 132 pages : illustrations ; 24 cm.
Contents: 1. Introduction --
2. Efficient Stock Markets. 2.1. Equilibrium Models of Asset Pricing. 2.2. Econometric Tests of the Efficient Market Hypothesis --
3. The Informational Role of Volume. 3.1. Standard Grossman-Stiglitz Model. 3.2. The No-Trad Result of the BEO Model. 3.3. A Model with Nontradable Asset --
4. Volume and Volatility of Stock Returns. 4.1. Empirical and Numerical Results. 4.2. Summary --
5. Nonlinear Analysis of Return and Volume. 5.1. A Preliminary Data Exploration. 5.2. Estimation of the Conditional Density. 5.3. Nonlinear Impulse Response Analysis --
6. Testing the Structure Model. 6.1. The Structural Model. 6.2. Efficient Method of Moments. 6.3. Application of EMM. 6.4. Does the Stochastic Volatility Model Do Better? 6.5. Summary --
7. Conclusions.
Series Title: Lecture notes in economics and mathematical systems, 457.
Responsibility: Chiente Hsu.

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