SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Testing the Random Walk Hypothesis: Power versus Frequency of Observation
0 references·16 citing·55 second hopsampled
Testing the Random Walk Hypothesis: Power versus Frequency of Observation (1985)Testing the Random Walk Hypothesis: Power…Two Pillars of Asset Pricing (2014)Two Pillars of Asset PricingAn Empirical Evaluation of the Long-Run Risks Model for Asset Prices (2012)An Empirical Evaluation of th…Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods (2011)Testing for Speculative Bubbl…Stock and Bond Market Liquidity: A Long-Run Empirical Analysis (2007)Stock and Bond Market Liquidi…The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets (2006)The Long-Run Relationship bet…Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought (2006)Real exchange rates and Purch…Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models (2003)Likelihood-Based Cointegratio…Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation (2001)Learning about Predictability…Panel unit root tests and real exchange rates (1996)Panel unit root tests and rea…Government budget deficits and trade deficits Are present value constraints satisfied in long-term data? (1995)Government budget deficits an…Chapter 46 Unit roots, structural breaks and trends (1994)Chapter 46 Unit roots, struct…The effect of seasonal adjustment filters on tests for a unit root (1993)The effect of seasonal adjust…The dynamics of speculative behaviour (1992)The dynamics of speculative b…Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)Pitfalls and Opportunities: W…The Stock Market Boom and Crash of 1929 Revisited (1990)The Stock Market Boom and Cra…BUBBLES AND FADS IN ASSET PRICES (1989)BUBBLES AND FADS IN ASSET PRI…The Pricing of Options and Corporate Liabilities (1973)Judgment under Uncertainty: Heuristics and Biases (1975)Common risk factors in the returns on stocks and bonds (1993)Bubbles for Fama (2018)Cryptocurrency Pump-and-Dump Schemes (2018)Psychology-Based Models of Asset Prices and Trading Volume (2018)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)The Econometrics of Financial Markets (2012)Bubbles in food commodity markets: Four decades of evidence (2013)Testing for multiple bubbles: limit theory of real-time detectors: Testing for multiple bubbles (2015)Tests for explosive financial bubbles in the presence of non-stationary volatility (2015)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Specification Tests in Econometrics (1978)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Options markets and the information content of accounting earnings releases (1990)Significance of log-periodic precursors to financial crashes (2001)Commodity Booms and Busts (2010)Statistical analysis of cointegration vectors (1988)Testing for a Unit Root in Time Series Regression (1988)Assessing Fiscal Sustainability in Theory and Practice (2000)Estimating a fiscal reaction function: the case of debt sustainability in Brazil (2008)Assessing Fiscal Sustainability in Theory and Practice (2012)The Visible Hand: The Managerial Revolution in American Business (1978)ASSET PRICE BUBBLES IN INCOMPLETE MARKETS (2010)How Does Investor Sentiment Affect Stock Market Crises? Evidence from Panel Data (2010)American Economic Review (2019)Knowledge-Driven Stock Trend Prediction and Explanation via Temporal Convolutional Network (2019)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)The Cross-Section of Expected Stock Returns (1992)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)The Long-Run Risks Model and Aggregate Asset Prices: An Empirical Assessment (2012)Volatility, the Macroeconomy, and Asset Prices (2013)The Social Cost of Carbon with Economic and Climate Risks (2018)Asset pricing and the bid-ask spread (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)Liquidity Risk and Expected Stock Returns (2003)The liquidity risk of liquid hedge funds (2010)Retail Investor Attention and Stock Liquidity (2011)Illiquidity Contagion and Liquidity Crashes (2012)Optimum consumption and portfolio rules in a continuous-time model (1971)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Dynamic Asset Allocation under Inflation (2002)Dynamic Asset Allocation with Event Risk (2003)Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)An Intertemporal Capital Asset Pricing Model (1973)Heterogeneous Beliefs, Risk and Learning in a Simple Asset Pricing Model (2002)The effectiveness of Keynes–Tobin transaction taxes when heterogeneous agents can trade in different markets: A behavioral finance approach (2005)Heterogeneity, Market Mechanisms, and Asset Price Dynamics (2009)A Comparative Study of Unit Root Tests with Panel Data and a New Simple Test (1999)Unit root tests in panel data: asymptotic and finite-sample properties (2002)Making Sense of the Subprime Crisis (2008)Household expenditures, wages, rents (2010)The spatial and temporal diffusion of house prices in the UK (2010)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

No references inside the corpus for this window.

Cited by

  • 2011Testing for Speculative Bubbles in Stock Markets: A Comparison of Alternative Methods455 cited
  • 2001Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation450 cited
  • 2012An Empirical Evaluation of the Long-Run Risks Model for Asset Prices420 cited
  • 2006The Long-Run Relationship between House Prices and Income: Evidence from Local Housing Markets373 cited
  • 1992The dynamics of speculative behaviour334 cited
  • 1989BUBBLES AND FADS IN ASSET PRICES294 cited
  • 2014Two Pillars of Asset Pricing291 cited
  • 1990The Stock Market Boom and Crash of 1929 Revisited272 cited
  • 2007Stock and Bond Market Liquidity: A Long-Run Empirical Analysis272 cited
  • 1995Government budget deficits and trade deficits Are present value constraints satisfied in long-term data?261 cited
  • 1994Chapter 46 Unit roots, structural breaks and trends243 cited
  • 1993The effect of seasonal adjustment filters on tests for a unit root239 cited
  • 1991Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots232 cited
  • 2006Real exchange rates and Purchasing Power Parity: mean-reversion in economic thought230 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2003Likelihood-Based Cointegration Analysis in Panels of Vector Error-Correction Models209 cited
  • 1996Panel unit root tests and real exchange rates208 cited