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  • 1
    Electronic Resource
    Electronic Resource
    The probability of a “gross” violation of an efficient markets variance inequality (1995)
    Springer
    Empirical economics 20 (1995), S. 473-478 
    Details
    ISSN: 1435-8921
    Keywords: G12 ; G14 ; C13
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract This note considers the small sample bias of the empirical variances of observed and ex-post-rational prices of financial assets, and shows that this can be much more severe than has previously been thought.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01180677
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    Paper (German National Licenses)
    Fulltext
  • 2
    Electronic Resource
    Electronic Resource
    Stochastic properties of german stock returns (1996)
    Springer
    Empirical economics 21 (1996), S. 281-306 
    Details
    ISSN: 1435-8921
    Keywords: C12 ; G14
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract We investigate various distributional properties of German stock returns, like serial correlation, the existence of higher moments and calendar effects, with a focus on the robustness of various empirical measures to a nonstandard distribution of the returns. We exhibit the well known Monday effect also for German stocks, and show that its significance, like that of tests for serial correlation, depends on distributional assumptions which are often overlooked.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01175974
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    Paper (German National Licenses)
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  • 3
    Electronic Resource
    Electronic Resource
    Short-term predictability of German stock returns (1998)
    Springer
    Empirical economics 23 (1998), S. 635-639 
    Details
    ISSN: 1435-8921
    Keywords: Autocorrelation ; stock returns ; predictability ; G14 ; C53
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract The paper investigates short-horizon individual stock returns; it exhibits statistically and economically significant autocorrelations, which for stock returns have so far been established mainly over long horizons, also for certain daily data, in particular between monday returns and various linear combinations of the previous week's returns.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/BF01205998
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    Paper (German National Licenses)
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  • 4
    Electronic Resource
    Electronic Resource
    Peaks or tails – What distinguishes financial data? (2000)
    Springer
    Empirical economics 25 (2000), S. 665-671 
    Details
    ISSN: 1435-8921
    Keywords: Key words: empirical densities ; heavy tails ; JEL classification: C13 ; C14
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract. We argue against the view that it is mostly the peaks of the empirical densities of stock returns (and of other risky returns as well) that set such data aside from “normal” variables. We show that peaks depend on sample size and on the way returns are standardized, and that for given data sets of stock returns, both higher peaks and lower peaks than in a standard normal case can be obtained.
    Type of Medium: Electronic Resource
    URL: http://dx.doi.org/10.1007/s001810000041
    Library Location Call Number Volume/Issue/Year Availability
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    Paper (German National Licenses)
    Fulltext
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