The nonlinear price dynamics of U.S. equity ETFs-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

The nonlinear price dynamics of U.S. equity ETFs

Published:2014-12 Issue:2 Volume:183 Page:193-201
ISSN:0304-4076
Container-title:Journal of Econometrics
language:en
Short-container-title:Journal of Econometrics

Author:

Caginalp Gunduz,DeSantis Mark,Sayrak Akin

Publisher

Elsevier BV

Subject

Applied Mathematics,Economics and Econometrics

Reference31 articles.

1. Closed-end Fund Pricing: Theories and Evidence;Anderson,2002

2. Market dynamics and momentum profits;Asem;J. Financ. Quant. Anal.,2010

3. A model of investor sentiment;Barberis;J. Financ. Econ.,1998

4. Noise;Black;J. Finance,1986

5. Create or buy: a comparative analysis of liquidity and transaction costs for selected U.S. ETFs;Borkovec;J. Portfolio Manag.,2013

Cited by 20 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Exchange-traded funds and the future of passive investments: a bibliometric review and future research agenda;Future Business Journal;2024-02-01

2. Asset flow model for a homogeneous group of investors: High-frequency trading limit;Discrete and Continuous Dynamical Systems - S;2023

3. Stochastic asset flow equations: Interdependence of trend and volatility;Physica A: Statistical Mechanics and its Applications;2021-07

4. On Stablecoin Price Processes and Arbitrage;Lecture Notes in Computer Science;2021

5. Dynamic dependence between ETFs and crude oil prices by using EGARCH-Copula approach;Physica A: Statistical Mechanics and its Applications;2020-11

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP