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Essays on Using High-Frequency Data in Empirical Asset Pricing Models

This dissertation explores using high-frequency data in empirical asset pricing models. It includes three chapters. The first chapter;

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Empirical Asset Pricing Models

This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or;

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Empirical Asset Pricing Models

This book analyzes the verification of empirical asset pricing models when returns of securities are projected onto a set of presumed (or;

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Empirical Asset Pricing

An introduction to the theory and methods of empirical asset pricing, integrating classical foundations with recent developments. This book;

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Handbook of Modeling High-Frequency Data in Finance

compilation of empirical and analytical research, this handbook explores data sampled with high-frequency finance in financial engineering, statistics;

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Machine Learning in Asset Pricing

in Asset Pricing presents the exciting possibilities of using cutting-edge methods in research on financial asset valuation.;

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Empirical Dynamic Asset Pricing

addresses the restrictions on the joint distributions of asset returns and other economic variables implied by dynamic asset pricing models, as well;

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Finance Theory and Asset Pricing

Finance Theory and Asset Pricing provides a concise guide to financial asset pricing theory for economists. Assuming a basic knowledge;

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Continuous-Time Asset Pricing Theory

in risk management, Continuous-Time Asset Pricing Theory is the first textbook on asset pricing theory with a martingale approach. Based on the;

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Financial Decisions and Markets

of asset pricing theory and empirical evidence* Emphasis on investors' decisions* Broad view linking the field to areas including financial;

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Asset Pricing

to evaluate these asset pricing models and throws light on the existence of Equity Premium Puzzle. Based on the structural theory, some;

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A New Model of Capital Asset Prices

This book proposes a new capital asset pricing model dubbed the ZCAPM that outperforms other popular models in empirical tests using US;

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The Paradox of Asset Pricing

markets? In The Paradox of Asset Pricing, a leading financial researcher argues forcefully that the empirical record is weak at best. Peter;

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The Paradox of Asset Pricing

markets? In The Paradox of Asset Pricing , a leading financial researcher argues forcefully that the empirical record is weak at best. Peter;

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Asset Pricing

Winner of the prestigious Paul A. Samuelson Award for scholarly writing on lifelong financial security, John Cochrane's Asset Pricing now;

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Analysing Intraday Implied Volatility for Pricing Currency Options

This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created;

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Analysing Intraday Implied Volatility for Pricing Currency Options

This book focuses on the impact of high-frequency data in forecasting market volatility and options price. New technologies have created;

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Continuous-Time Asset Pricing Theory

present asset pricing theory using the martingale approach (and all of its extensions). Since the 1970s asset pricing theory has been studied;

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Economic Modeling and Inference

, covering areas including job search models of the labor market, asset pricing, option pricing, marketing, and retirement planning. Ideal for;

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Liquidity and Asset Prices

surveys the theory of liquidity-based asset pricing followed by the empirical evidence. The theory section proceeds from basic models with;

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New Research in Financial Markets

robustness of the pricing kernel model. The second section is on market microstructure, which is based on the observation of high frequency data. It;

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Optimal Pricing, Inflation, and the Cost of Price Adjustment

definitive study of pricing models under inflation, providing a solid basis for further research on this elusive question. Covering a broad range;

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Handbook of Financial Markets: Dynamics and Evolution

normative models of portfolio selections and asset pricing dynamics;

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Financial Asset Pricing

In finance, the capital asset pricing model (CAPM) is used to determine a theoretically appropriate required rate of return of an asset;

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Asset Pricing Theory

Asset Pricing Theory is an advanced textbook for doctoral students and researchers that offers a modern introduction to the theoretical and;

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Quantitative Trading

The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and;

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Quantitative Trading

The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and;

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