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Volumn 10, Issue 2, 2011, Pages 175-196

Post-colonial Finance

Author keywords

Binomial Markov Random Walk model; emerging markets; Excess volatility; Markov property of asset prices; neo classical finance

Indexed keywords


EID: 79960717940     PISSN: 09726527     EISSN: 09730710     Source Type: Journal    
DOI: 10.1177/097265271101000202     Document Type: Article
Times cited : (28)

References (13)
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  • 2
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    • The Maximum Likelihood Estimation of Security Price Volatility: Theory, Evidence and Application to Option Pricing
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  • 4
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    • On Viable Diffusion Price Processes of the Market Portfolio
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  • 5
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    • A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices
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    • Clark, P.K.1
  • 7
    • 0031224680 scopus 로고    scopus 로고
    • Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk
    • Fuh, C.D. (1997), Corrected Diffusion Approximations for Ruin Probabilities in a Markov Random Walk, Advances in Applied Probability, 29(3): 695-712.
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  • 8
    • 0002044433 scopus 로고
    • On the Estimation of Security Price Volatilities
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    • Garman, M.B.1    Klass, M.J.2
  • 9
    • 21344479194 scopus 로고
    • On Equilibrium Asset Price Processes
    • He, H. and H. Leland (1993), On Equilibrium Asset Price Processes, Review of Financial Studies, 6(3): 593-617.
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    • He, H.1    Leland, H.2
  • 10
    • 0001843717 scopus 로고
    • The Present-value Relation: Tests Based on Implied Variance Bounds
    • LeRoy, S.F. and R.D. Porter (1981), The Present-value Relation: Tests Based on Implied Variance Bounds, Econometrica, 49(3): 555-74.
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  • 11
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    • The Extreme Value Method for Estimating the Variance of the Rate of Return
    • Parkinson, M. (1980), The Extreme Value Method for Estimating the Variance of the Rate of Return, Journal of Business, 53(1): 61-65.
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  • 12
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    • Estimating Variance from High, Low and Closing Prices
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  • 13
    • 0000893807 scopus 로고
    • Do Stock Prices Move too Much to be Justified by Subsequent Changes in Dividends?
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* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.