Measurement errors in stock markets

DOI10.1007/S10479-016-2138-ZMaRDI QIDQ1615793zbMATH OpenOpenAlexFDO

Authors H. Ben Ameur, Fredj Jawadi, Abdoulkarim Idi Cheffou, Wael Louhichi

Publication date 31 October 2018

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-016-2138-z

zbMATH Keywords

measurement errorsystemic riskfinancial performancecovar and MESvar

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Recommendations

• Modification of accuracy estimation using stock market data
• Asset Pricing Specification Errors and Performance Evaluation
• Effects of measurement errors on systematic risk and performance measure of a portfolio
• Measurement error in the national accounts
• On the measurement of random behaviour of stock price changes
• Measurement errors and statistics
• Measurement Errors in Probability Judgments
• Measurement errors in dynamic models

Cites work

• scientific article; zbMATH DE number 52749 (Why is no real title available?)
• scientific article; zbMATH DE number 918103 (Why is no real title available?)
• Coherent measures of risk
• How better monetary statistics could have signaled the financial crisis
• MEASUREMENT ERROR IN MONETARY AGGREGATES: A MARKOV SWITCHING FACTOR APPROACH
• Some remarks on the value-at-risk and the conditional value-at-risk

Cited in

(6)

• THE RELATIVE RISK PERFORMANCE OF ISLAMIC FINANCE: A NEW GUIDE TO LESS RISKY INVESTMENTS
• Computing stock price comovements with a three-regime panel smooth transition error correction model
• Emerging stock market volatility and economic fundamentals: the importance of US uncertainty spillovers, financial and health crisis
• Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan
• Testing the animal spirits theory for ethical investments: further evidence from aggregated and disaggregated data
• What have we learned from the 2007--08 financial crisis? Papers presented at the second international workshop on financial markets and nonlinear dynamics (Paris, June 4--5, 2015)

This page was built for publication: Measurement errors in stock markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1615793)