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Is Speculation Destabilizing?
16 references·2 citing·50 second hopsampled
Is Speculation Destabilizing? (2009)Is Speculation Destabilizing?Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise (2008)Designing Realized Kernels to…Realized Variance and Market Microstructure Noise (2006)Realized Variance and Market …Separating microstructure noise from volatility (2005)Separating microstructure noi…Hedge Funds and the Technology Bubble (2004)Hedge Funds and the Technolog…Modeling and Forecasting Realized Volatility (2003)Modeling and Forecasting Real…Intraday Price Formation in U.S. Equity Index Markets (2003)Intraday Price Formation in U…From Efficient Markets Theory to Behavioral Finance (2003)From Efficient Markets Theory…A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)A Tale of Two Time Scales: De…The distribution of realized stock return volatility (2001)The distribution of realized …Hedge Funds and the Collapse of Long-Term Capital Management (1999)Hedge Funds and the Collapse …Generalized impulse response analysis in linear multivariate models (1998)Generalized impulse response …The Case for Flexible Exchange Rates (1996)The Case for Flexible Exchang…Herd Behaviour, Bubbles and Crashes (1995)Herd Behaviour, Bubbles and C…Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets (1993)Price Volatility, Trading Vol…The Noise Trader Approach to Finance (1990)The Noise Trader Approach to …Noise Trader Risk in Financial Markets (1990)Noise Trader Risk in Financia…Disentangling the determinants of real oil prices (2016)Disentangling the determinant…Financial Speculation in Energy and Agriculture Futures Markets: A Multivariate GARCH Approach (2013)Financial Speculation in Ener…The Behavior of Stock-Market Prices (1965)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models (2002)Is All That Talk Just Noise? The Information Content of Internet Stock Message Boards (2004)A Simple Approximate Long-Memory Model of Realized Volatility (2008)The General Theory of Employment, Interest and Money. (1936)Continuous Auctions and Insider Trading (1985)The Limits of Arbitrage (1995)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)Macroeconomics and Reality (1980)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Measuring Financial Asset Return and Volatility Spillovers, with Application to Global Equity Markets (2008)Better to give than to receive: Predictive directional measurement of volatility spillovers (2011)On the network topology of variance decompositions: Measuring the connectedness of financial firms (2014)Judgment under Uncertainty: Heuristics and Biases (1975)The Impact of Social Structure on Economic Outcomes (2005)An Engine, Not a Camera (2006)The short of it: Investor sentiment and anomalies (2011)Expected stock returns and volatility (1987)Continuous Martingales and Brownian Motion (1999)Stochastic Integration and Differential Equations (2005)Microstructure noise in the continuous case: The pre-averaging approach (2008)Realized GARCH: a joint model for returns and realized measures of volatility (2011)Good Volatility, Bad Volatility: Signed Jumps and The Persistence of Volatility (2015)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation (2005)Brownian Motion and Stochastic Calculus (2007)The Econometrics of Financial Markets (2012)Judgment under Uncertainty: Heuristics and Biases (1974)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Market stress and herding (2004)WHAT DO WE KNOW ABOUT THE PROFITABILITY OF TECHNICAL ANALYSIS? (2007)Machine learning techniques and data for stock market forecasting: A literature review (2022)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)The Market for News (2005)EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?* (2009)The fundamental principles of financial regulation (2009)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Coherent Measures of Risk (1999)The Cross‐Section of Volatility and Expected Returns (2006)Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Statistical analysis of cointegration vectors (1988)The Model-Free Implied Volatility and Its Information Content (2005)MIDAS Regressions: Further Results and New Directions (2007)Real-time price discovery in global stock, bond and foreign exchange markets (2007)
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References

  • 1990Noise Trader Risk in Financial Markets6,259 cited
  • 1998Generalized impulse response analysis in linear multivariate models6,129 cited
  • 2003Modeling and Forecasting Realized Volatility3,887 cited
  • 2001The distribution of realized stock return volatility2,264 cited
  • 2003From Efficient Markets Theory to Behavioral Finance1,825 cited
  • 1990The Noise Trader Approach to Finance1,636 cited
  • 2003A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data1,373 cited
  • 2008Designing Realized Kernels to Measure the ex post Variation of Equity Prices in the Presence of Noise1,232 cited
  • 2006Realized Variance and Market Microstructure Noise1,164 cited
  • 2004Hedge Funds and the Technology Bubble1,104 cited
  • 1996The Case for Flexible Exchange Rates1,084 cited
  • 1995Herd Behaviour, Bubbles and Crashes1,054 cited
  • 1993Price Volatility, Trading Volume, and Market Depth: Evidence from Futures Markets667 cited
  • 2005Separating microstructure noise from volatility635 cited
  • 2003Intraday Price Formation in U.S. Equity Index Markets502 cited
  • 1999

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Hedge Funds and the Collapse of Long-Term Capital Management
270 cited

Cited by

  • 2016Disentangling the determinants of real oil prices69 cited
  • 2013Financial Speculation in Energy and Agriculture Futures Markets: A Multivariate GARCH Approach66 cited