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Transcript of 16. Literatura

Page 1: 16. Literatura

Литература

[1] Abraham, A., and D.L. Ikenberry (1994), “The Individual Investor and the Weekend Effect,” Journal of Quantitative Analysis, 29: 263-277.

[2] Achelis, Steven B. (2000), Technical Analysis from A to Z, 2nd ed., McGraw Hill, New York, NY.[3] Aggarwal, Raj, and Reena Aggarwal (1993), “Security Return Distributions and Market Structure:

Evidence from NYSE / AMEX and the NASDAQ Markets”, The Journal of Financial Research, Vol. 16, No.3.

[4] Akaike, H. (1974), “A New Look at the Statistical Model Identification”, IEEE Transactions on Automatic Control, AC-19, 6: 716-723.

[5] Alexander, Carol (2002), Market Models: A Guide to Financial Data Analysis, John Wiley & Sons, Ltd., Chischester, England.

[6] Alexander, Gordon J., and Alexandre M. Baptista (2002), “Economic Implications of Using a Mean-VaR Model of Portfolio Selection: A Comparison with Mean-Variance Analysis”, Journal of Economic Dynamics&Control, 26, No.7 (2002), pp.1159-1193.

[7] Anatolyev, S. (2006), Nonparametric retrospection and monitoring of predictability of financial returns, Centre for Economic and Financial Research at New Economic School, Moscow.

[8] Andersen, T.G., and T. Bollersev (1998), “Answering the Skeptics: Yes, Standard Volatility Models Do Provide Accurate Forecast,” International Economic Review, 39, pp. 885-905.

[9] Andersen, T.G., T. Bollersev, F.X. Diebold, and P. Labys (2001a), “The Distribution of Realized Exchange Rate Volatility,” Journal of the American Statistical Association, 96, pp. 42-55.

[10] Andersen, T.G., T. Bollersev, F.X. Diebold, and P. Labys (2001b), “The Distribution of Realized Stock Return Volatility,” Journal of Financial Economics, 61, pp. 43-76.

[11] Andersоn, T.W. (1962), “On the Distribution of the two-Sample Cramer-von Mises Criterion” The Annals of Mathematical Statistics, 33: 1148-1159.

[12] Ane, T. (1999), “Pricing and hedging S&P 500 index options with Hermite polynomial approximation: empirical tests of Madan and Milne’s model,” Journal of Future Markets, 19, pp. 735-758.

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