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The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options
Warrants executive stock options value of the firm risk-neutral
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2010/9/7
This paper sets out to provide a risk-management tool (namely the distribution of the stock price of a warrantissuing firm) and at the same time resolves an outstanding issue between the theory and th...
Market, Interest Rate and Exchange Rate Risk Effects on Financial Stock Returns: A GARCH-M Approach
Exchange rate interest rate multivariate GARCH volatility
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2010/9/7
In this paper we examine the sensitivity of financial sector stock returns to market, interest rate, and exchange rate risk in three financial sectors (Banking, Financial Services and Insurance) in 16...
A quantum statistical approach to simplified stock markets
quantum statistical stock markets
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2010/11/1
We use standard perturbation techniques originally formulated in quantum (statistical)mechanics in the analysis of a toy model of a stock market which is given in terms of bosonic operators. In partic...
Nonlinear Mean Reversion in Stock Prices
Fundamental value mean reversion present value model STAR model
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2010/9/7
In this paper we investigate mean reversion dynamics in the deviation of the yearly S&P 500 index from its fundamental value. We consider different versions of the present value model with constant an...