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Wyszukujesz frazę "financial market microstructure" wg kryterium: Wszystkie pola


Wyświetlanie 1-2 z 2
Tytuł:
Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market
Autorzy:
Huptas, Roman
Powiązania:
https://bibliotekanauki.pl/articles/2076574.pdf
Data publikacji:
2014
Wydawca:
Polska Akademia Nauk. Czytelnia Czasopism PAN
Tematy:
autoregressive conditional duration model (ACD model)
tradedurations
financial market microstructure
Bayesian inference
Opis:
In recent years, autoregressive conditional duration models (ACD models) introduced by Engle and Russell in 1998 have become very popular in modelling of the durations between selected events of the transaction process (trade durations or price durations) and modelling of financial market microstructure effects. The aim of the paper is to develop Bayesian inference for the ACD models. Different specifications of ACD models will be considered and compared with particular emphasis on the linear ACD model, Box-Cox ACD model, augmented Box-Cox ACD model and augmented (Hentschel) ACD model. The analysis will consider models with the Burr distribution and the generalized Gamma distribution for the innovation term. Bayesian inference will be presented and practically used in estimation of and prediction within ACD models describing trade durations. The MCMC methods including MetropolisHastings algorithm are suitably adopted to obtain samples from the posterior densities of interest. The empirical part of the work includes modelling of trade durations of selected equities from the Polish stock market.
Źródło:
Central European Journal of Economic Modelling and Econometrics; 2014, 4; 237-273
2080-0886
2080-119X
Pojawia się w:
Central European Journal of Economic Modelling and Econometrics
Dostawca treści:
Biblioteka Nauki
Artykuł
Tytuł:
PERFORMANCE OF AMERICAN AND RUSSIAN JOINT STOCK COMPANIES ON FINANCIAL MARKET. A MICROSTRUCTURE PERSPECTIVE
Autorzy:
Osińska, Magdalena
Dobrzyński, Andrzej
Shachmurove, Yochanan
Powiązania:
https://bibliotekanauki.pl/articles/517347.pdf
Data publikacji:
2016
Wydawca:
Instytut Badań Gospodarczych
Tematy:
market microstructure
Manganelli model
Moscow Stock Exchange (MOEX)
New York Stock Exchange (NYSE)
National Association of Securities Dealers Automated Quotations System (NASDAQ)
Opis:
This paper compares the periods before and after the Ukrainian crisis of 2014 from the perspective of market microstructure. The hypothesis is that the crisis influenced the fragile Russian financial market equilibrium. As financial markets adapt to the new equilibrium, the paper studies the effects of the crisis and the imposition of economic sanctions on Russia in terms of volatility, duration, prices and volume for selected joint stock companies listed on the U.S. and the Russian stock markets. Results reveal that the Moscow Stock exchange lacks an appropriate transmission mechanism from informed investors to the rest of the market.
Źródło:
Equilibrium. Quarterly Journal of Economics and Economic Policy; 2016, 11, 4; 819-851
1689-765X
2353-3293
Pojawia się w:
Equilibrium. Quarterly Journal of Economics and Economic Policy
Dostawca treści:
Biblioteka Nauki
Artykuł
    Wyświetlanie 1-2 z 2

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