Works matching DE "ARBITRAGE pricing theory"
Results: 116
Modelación de la relación rentabilidad-riesgo en el mercado accionario para países desarrollados y países emergentes en un mundo parcialmente integrado.
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- Cuadernos de Administración, 2015, v. 31, n. 53, p. 38, doi. 10.25100/cdea.v31i53.15
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Pointwise Arbitrage Pricing Theory in Discrete Time.
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- Mathematics of Operations Research, 2019, v. 44, n. 3, p. 1034, doi. 10.1287/moor.2018.0956
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The Impact of Political Risk and Macro Economics on Stock Return at Indonesia Stock Exchange (An Approach of Arbritage Pricing Theory (APT)).
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- KnE Social Sciences, 2019, v. 2019, p. 744, doi. 10.18502/kss.v3i26.5412
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On the arbitrage price of European call options.
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- Stochastic Models, 2017, v. 33, n. 1, p. 48, doi. 10.1080/15326349.2016.1200473
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Arbitrage Theory with State-Price Deflators.
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- Stochastic Models, 2013, v. 29, n. 3, p. 306, doi. 10.1080/15326349.2013.808902
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Accuracy of Capital Asset Pricing Model and Arbitrage Pricing Theory in Predicting Stock Return.
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- Journal of Namibian Studies, 2023, v. 34, p. 1539
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Persistence of jump-induced tail risk and limits to arbitrage.
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- Quantitative Finance, 2023, v. 23, n. 4, p. 705, doi. 10.1080/14697688.2022.2151502
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Application of a TGARCH-wavelet neural network to arbitrage trading in the metal futures market in China.
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- Quantitative Finance, 2015, v. 15, n. 2, p. 371, doi. 10.1080/14697688.2013.819987
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Cross-ownership as a structural explanation for over- and underestimation of default probability.
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- Quantitative Finance, 2014, v. 14, n. 6, p. 1031, doi. 10.1080/14697688.2013.834377
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The law of one accounting variable.
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- Quantitative Finance, 2013, v. 13, n. 2, p. 317, doi. 10.1080/14697688.2012.713114
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Default risk in interest rate derivatives with stochastic volatility.
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- Quantitative Finance, 2011, v. 11, n. 12, p. 1837, doi. 10.1080/14697688.2010.543426
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Cross-Section of Expected Returns and Extreme Returns: The Role of Investor Attention and Risk Preferences.
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- Financial Management (Wiley-Blackwell), 2017, v. 46, n. 2, p. 409, doi. 10.1111/fima.12145
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Crises, Liquidity Shocks, and Fire Sales at Commercial Banks.
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- Financial Management (Wiley-Blackwell), 2014, v. 43, n. 4, p. 857, doi. 10.1111/fima.12056
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DETERMINANTES MACROECONÓMICOS DE LA VALORACIÓN DE ACCIONES: CASO ALIANZA DEL PACÍFICO.
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- Dimensión Empresarial, 2020, v. 18, n. 1, p. 1, doi. 10.15665/dem.v18i(1).2066
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A Combined Approach to the Inference of Conditional Factor Models.
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- Journal of Business & Economic Statistics, 2015, v. 33, n. 2, p. 203, doi. 10.1080/07350015.2014.940082
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Sequential Markets, Market Power, and Arbitrage<sup>†</sup>.
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- American Economic Review, 2016, v. 106, n. 7, p. 1921, doi. 10.1257/aer.20141529
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The market efficiency analysis of China's copper options based on risk-free arbitrages.
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- Applied Economics, 2024, v. 56, n. 15, p. 1834, doi. 10.1080/00036846.2023.2301221
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Integer programs for margining option portfolios by option spreads with more than four legs.
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- Computational Management Science, 2013, v. 10, n. 1, p. 51, doi. 10.1007/s10287-012-0159-x
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Some Doubts about the Economic Analysis of the Flow of Silver to China in 1550-1820.
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- Open Economies Review, 2019, v. 30, n. 1, p. 105, doi. 10.1007/s11079-018-9506-z
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View Fusion Vis-à-Vis a Bayesian Interpretation of Black-Litterman for Portfolio Allocation.
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- Journal of Financial Data Science, 2023, v. 5, n. 3, p. 23, doi. 10.3905/jfds.2023.1.132
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Impacts of Macroeconomic Factors on Stock Returns in the Property Sector.
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- KnE Social Sciences, 2022, p. 59, doi. 10.18502/kss.v7i6.10609
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NEGISHI ON EDGEWORTH ON JEVON'S LAW OF INDIFFERENCE, WALRAS'S EQUILIBRIUM, AND THE ROLE OF LARGE NUMBERS: A CRITICAL ASSESSMENT.
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- Cahiers d'Economie Politique, 2012, n. 63, p. 109, doi. 10.3917/cep.063.0109
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Macroeconomic State Variables and Stock Market Performance: A Systematic Review and Future Research Agenda.
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- FIIB Business Review, 2024, v. 13, n. 2, p. 172, doi. 10.1177/2319714521995622
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A Influência das Condições do Mercado Acionário e da Política Monetária no Comportamento dos Indicadores de Risco Tamanho, Índice Book-to-market e Momento, no Mercado Acionário Brasileiro.
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- Revista de Ciências da Administração, 2011, v. 13, n. 29, p. 152, doi. 10.5007/2175-8077.2011v13n29p152
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MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY.
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- International Journal of Theoretical & Applied Finance, 2020, v. 23, n. 05, p. N.PAG, doi. 10.1142/S0219024920500302
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ARBITRAGE PRICING THEORY IN ERGODIC MARKETS.
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- International Journal of Theoretical & Applied Finance, 2018, v. 21, n. 5, p. N.PAG, doi. 10.1142/S021902491850036X
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THE BRITISH ASSET-OR-NOTHING PUT OPTION.
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- International Journal of Theoretical & Applied Finance, 2017, v. 20, n. 4, p. -1, doi. 10.1142/S0219024917500303
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BUBBLES AND MULTIPLE-FACTOR ASSET PRICING MODELS.
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- International Journal of Theoretical & Applied Finance, 2016, v. 19, n. 1, p. -1, doi. 10.1142/S0219024916500072
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COHERENT CHAOS INTEREST-RATE MODELS.
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- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 3, p. -1, doi. 10.1142/S0219024915500168
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NO-ARBITRAGE BOUNDS ON TWO ONE-TOUCH OPTIONS.
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- International Journal of Theoretical & Applied Finance, 2015, v. 18, n. 3, p. -1, doi. 10.1142/S0219024915500211
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IN-ARREARS TERM STRUCTURE PRODUCTS: NO ARBITRAGE PRICING BOUNDS AND THE CONVEXITY ADJUSTMENTS.
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- International Journal of Theoretical & Applied Finance, 2012, v. 15, n. 8, p. -1, doi. 10.1142/S0219024912500549
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Comment on: Eigenvalue Tests for the Number of Latent Factors in Short Panels*.
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- Journal of Financial Econometrics, 2025, v. 23, n. 1, p. 1, doi. 10.1093/jjfinec/nbad026
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Arbitrage Pricing Theory for Idiosyncratic Variance Factors.
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- Journal of Financial Econometrics, 2023, v. 21, n. 5, p. 1403, doi. 10.1093/jjfinec/nbac008
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Are grain markets in Niger driven by speculation?
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- Oxford Economic Papers, 2016, v. 68, n. 3, p. 714, doi. 10.1093/oep/gpw012
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A simple characterization of tightness for convex solid sets of positive random variables.
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- Positivity, 2018, v. 22, n. 4, p. 1015, doi. 10.1007/s11117-018-0556-7
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Core equivalences for equilibria supported by non-linear prices.
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- Positivity, 2013, v. 17, n. 3, p. 621, doi. 10.1007/s11117-012-0195-3
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A Note on Interaction between Financial Markets.
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- Asia-Pacific Financial Markets, 2000, v. 7, n. 2, p. 179, doi. 10.1023/A:1010026032246
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Empirical Analysis of the Relationship Between Macroeconimic Factors and Stock Returns in Nigeria.
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- Journal of Accounting & Management (2284-9459), 2018, v. 8, n. 3, p. 7
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Relativistic Option Pricing.
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- International Journal of Financial Studies, 2021, v. 9, n. 2, p. 32, doi. 10.3390/ijfs9020032
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IMPACT OF MACROECONOMIC VARIABLES ON ISLAMIC STOCK MARKET RETURNS: EVIDENCE FROM NIFTY 50 SHARIAH INDEX.
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- Journal of Commerce & Accounting Research, 2017, v. 6, n. 1, p. 37
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DO MACROECONOMIC VARIABLES AFFECT STOCK RETURNS IN BRICS MARKETS? AN ARDL APPROACH.
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- Journal of Commerce & Accounting Research, 2015, v. 4, n. 2, p. 1, doi. 10.21863/jcar/2015.4.2.008
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SHORT-RUN ARBITRAGE IN CRISIS MARKETS - EXPERIMENTAL EVIDENCE.
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- Annals of Financial Economics, 2014, v. 9, n. 1, p. -1, doi. 10.1142/S201049521450002X
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Arbitrage-free call option surface construction using regression splines.
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- Applied Stochastic Models in Business & Industry, 2015, v. 31, n. 4, p. 515, doi. 10.1002/asmb.2045
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Drivers of grain price volatility: a cursory critical review.
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- Agricultural Economics / Zemědělská Ekonomika, 2018, v. 64, n. 8, p. 647, doi. 10.17221/55/2017-AGRICECON
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Implementation of Optimal Scheduling Algorithm for Multi-Functional Battery Energy Storage System.
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- Energies (19961073), 2019, v. 12, n. 7, p. 1339, doi. 10.3390/en12071339
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Financial integration and the term structure of interest rates.
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- Empirical Economics, 2013, v. 45, n. 3, p. 1267, doi. 10.1007/s00181-012-0652-7
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Arbitrage-free pricing of derivatives in nonlinear market models.
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- Probability, Uncertainty & Quantitative Risk, 2018, v. 3, n. 1, p. N.PAG, doi. 10.1186/s41546-018-0027-x
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Forecasting risk and return of listed real estate:: A simulation approach with geometric Brownian motion for the German stock market.
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- Zeitschrift für Immobilienökonomie, 2024, v. 10, n. 1/2, p. 1, doi. 10.1365/s41056-024-00070-4
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A simple derivation of risk-neutral probability in the binomial option pricing model.
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- International Journal of Mathematical Education in Science & Technology, 2015, v. 46, n. 1, p. 142, doi. 10.1080/0020739X.2014.936979
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Macroeconomic vs. Statistical APT Approach in the Athens Stock Exchange.
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- International Journal of Business, 2012, v. 17, n. 1, p. 39
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