Synopsis
The digital edition of all books may be viewed on our website before purchase. Excerpt from An Econometric Analysis of Nonsynchronous Trading (Classic Reprint)
About the Publisher
Forgotten Books publishes hundreds of thousands of rare and classic books.
This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works. This text has been digitally restored from a historical edition. Some errors may persist, however we consider it worth publishing due to the work's historical value.The digital edition of all books may be viewed on our website before purchase.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
Autres éditions populaires du même titre
Résultats de recherche pour An Econometric Analysis of Nonsynchronous Trading (Classic...
Image fournie par le vendeur
An Econometric Analysis of Nonsynchronous Trading (Classic Reprint)
impression à la demandeVendeur : Forgotten Books, London, Royaume-Uni
Évaluation du vendeur 4 sur 5 étoiles
Paperback. Etat : New. Print on Demand. This book is a detailed analysis of how nonsynchronous trading affects the statistical properties of asset prices. The author develops a new model to quantify the effects of infrequent trading on the time series behavior of asset returns. Using this model, the author shows that nonsynchronous trading can induce spurious autocorrelation and cross-autocorrelation in observed returns. The author also derives a set of testable restrictions on the time series properties of coarser-sampled data and applies these restrictions to examine the empirical relevance of nonsynchronous trading for recent findings of predictability in asset returns. The author finds that nonsynchronous trading has little impact on the autocorrelation of individual short-horizon stock returns, but it can induce substantial autocorrelation in portfolio returns. These results have implications for the design of trading strategies and the interpretation of empirical tests of asset pricing models. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item. N° de réf. du vendeur 9781332258895_0
Acheter neuf
EUR 15,60
Livraison gratuite
Expédition depuis Royaume-Uni vers Etats-Unis
Expédition depuis Royaume-Uni vers Etats-Unis
Quantité disponible : Plus de 20 disponibles
Image d'archives
An Econometric Analysis of Nonsynchronous Trading Classic Reprint
Vendeur : PBShop.store US, Wood Dale, IL, Etats-Unis
Évaluation du vendeur 5 sur 5 étoiles
PAP. Etat : New. New Book. Shipped from UK. Established seller since 2000. N° de réf. du vendeur LW-9781332258895
Acheter neuf
EUR 22,10
Livraison gratuite
Expédition nationale : Etats-Unis
Expédition nationale : Etats-Unis
Quantité disponible : 15 disponible(s)
Image d'archives
An Econometric Analysis of Nonsynchronous Trading Classic Reprint
Vendeur : PBShop.store UK, Fairford, GLOS, Royaume-Uni
Évaluation du vendeur 5 sur 5 étoiles
PAP. Etat : New. New Book. Shipped from UK. Established seller since 2000. N° de réf. du vendeur LW-9781332258895
Acheter neuf
EUR 24,29
Expédition à EUR 3,81
Expédition depuis Royaume-Uni vers Etats-Unis
Expédition depuis Royaume-Uni vers Etats-Unis
Quantité disponible : 15 disponible(s)
Image fournie par le vendeur
ECONOMETRIC ANALYSIS OF NONSYN
Vendeur : moluna, Greven, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Etat : New. KlappentextrnrnExcerpt from An Econometric Analysis of Nonsynchronous TradingIt has long been recognized that the sampling of economic time series plays a subtle but critical role in determining their stochastic properties. Perhaps the b. N° de réf. du vendeur 2147939211
Acheter neuf
EUR 22
Expédition à EUR 48,99
Expédition depuis Allemagne vers Etats-Unis
Expédition depuis Allemagne vers Etats-Unis
Quantité disponible : Plus de 20 disponibles