dc.contributor.author | Andreou, Elena | en |
dc.contributor.author | Pittis, Nikitas | en |
dc.contributor.author | Spanos, Aris | en |
dc.creator | Andreou, Elena | en |
dc.creator | Pittis, Nikitas | en |
dc.creator | Spanos, Aris | en |
dc.date.accessioned | 2019-05-03T05:21:47Z | |
dc.date.available | 2019-05-03T05:21:47Z | |
dc.date.issued | 2001 | |
dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/47102 | |
dc.description.abstract | Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in terms of specific statistical models and relates to the dependence, heterogeneity and the distribution of such prices. The primary objective of this paper is to trace the development of various statistical models proposed since Bachelier (1900), in an attempt to assess how well these models capture the empirical regularities exhibited by data on speculative prices. | en |
dc.language.iso | eng | en |
dc.source | Journal of Economic Surveys | en |
dc.subject | price dynamics | en |
dc.subject | Volatility | en |
dc.subject | ARCH | en |
dc.subject | Efficient market hypothesis | en |
dc.subject | modeling | en |
dc.subject | Stock market returns | en |
dc.subject | theoretical study | en |
dc.title | On modelling speculative prices: the empirical literature | en |
dc.type | info:eu-repo/semantics/article | |
dc.description.volume | 15 | |
dc.description.startingpage | 187 | |
dc.description.endingpage | 220 | |
dc.author.faculty | Σχολή Οικονομικών Επιστημών και Διοίκησης / Faculty of Economics and Management | |
dc.author.department | Τμήμα Οικονομικών / Department of Economics | |
dc.type.uhtype | Article | en |
dc.description.totalnumpages | 187-220 | |