scholarly journals Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices

10.3386/w5351 ◽  
1995 ◽  
Author(s):  
Yacine Ait-Sahalia ◽  
Andrew Lo
Keyword(s):  
Nonparametric Estimation ◽  
Asset Prices ◽  
Financial Asset ◽  
State Price

scholarly journals Household Balance Sheets and the Recovery

2011 ◽  
pp. 1-6
Author(s):  
Timothy Bianco ◽  
Filippo Occhino
Keyword(s):  
Business Cycles ◽  
Asset Prices ◽  
Balance Sheet ◽  
Financial Asset ◽  
Balance Sheets

Falling home and financial asset prices have combined to weaken the average household’s balance sheet, and this has helped to slow down the current recovery. We examine the role that household balance sheets have typically played in postwar business cycles and assess their importance in explaining why some recoveries, including the current one, have been weaker than others.

A Competitive Approach to Financial Issues

2014 ◽  
pp. 385-398
Author(s):  
Mustafa Okur ◽  
A. Osman Gurbuz
Keyword(s):  
Financial Markets ◽  
Asset Prices ◽  
Abnormal Returns ◽  
Efficient Market Hypothesis ◽  
Future Research ◽  
Financial Asset ◽  
Efficient Market ◽  
Finance Theory ◽  
Available Information ◽  
Financial Issues

Efficient Market Hypothesis (EMH) is a cornerstone in modern finance theory. Efficient market hypothesis states that it is impossible to make abnormal returns in financial markets because financial asset prices always reflect all available information. This chapter was undertaken in order to give a brief survey of modern finance theory by mainly focusing on the efficient market hypothesis. The authors also discuss the empirical foundations of the efficient market hypothesis. Finally, the main challenges to the efficient market hypothesis are introduced in order to point out a perspective for future research.

scholarly journals Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?

2010 ◽  
Vol 65 (5) ◽  
pp. 1669-1702 ◽  
Author(s):  
RICHARD C. GREEN ◽  
DAN LI ◽  
NORMAN SCHÜRHOFF
Keyword(s):  
Asset Prices ◽  
Price Discovery ◽  
Financial Asset ◽  
Illiquid Markets

scholarly journals Long Memory in Exchange Rate Volatility

2021 ◽  
Author(s):  
Aysu Yaşar ◽  
Kenan Terzioğlu
Keyword(s):  
Exchange Rate ◽  
Exchange Rates ◽  
Long Memory ◽  
Asset Prices ◽  
Market Price ◽  
Exchange Rate Volatility ◽  
Financial Asset ◽  
Model Structure ◽  
Continuous Stream ◽  
The Exchange Rate

Considering rapidly evolving technology and effective markets, wherein information and news are quickly and effectively reflected in financial asset prices, the positions of investors trading in financial markets regarding financial asset prices vary according to the continuous stream of information coming to the market. However, markets are not fully efficient in terms of maintaining a long memory that enables future pricing estimates based on the past market price of the financial asset. Revealing the existence of a long memory structure is essential to the development of monetary policies since exchange rates that tend to return to average exert high resistance. In this study, the exchange rate’s long-range dependence is determined in the scope of the log-periodogram estimator and using a fractional model structure, the average model, and the variance model structure related to the exchange rate between February 22, 2001–March 16, 2020 are examined. In this context, the parameters in the model allow an examination of the long memory process. According to the fractionally integrated exponential generalized autoregressive conditional heteroskedasticity model, it is determined that the effects of shocks in the exchange rate market continue and persist for a long period. Policy suggestions within the scope of exchange rates are evaluated within model outputs.

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