Econophysics and Capital Asset Pricing
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DOI: 10.1007/978-3-319-63465-4
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- Ming Chen, James, 2018. "Baryonic Beta Dynamics: An Econophysical Model of Systematic Risk/Dinámica de la Beta Bariónica: Un modelo Econofísico de Riesgo Sistemático," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 36, pages 263-276, Enero.
- Kai-Yin Woo & Chulin Mai & Michael McAleer & Wing-Keung Wong, 2020. "Review on Efficiency and Anomalies in Stock Markets," Economies, MDPI, vol. 8(1), pages 1-51, March.
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"Shock effects on stocks, bonds, and exchange rates,"
Journal of International Money and Finance, Elsevier, vol. 22(3), pages 307-341, June.
- Ray Fair, 2001. "Shock Effects on Stocks, Bonds, and Exchange Rates," Yale School of Management Working Papers ysm172, Yale School of Management, revised 01 Aug 2001.
Book Chapters
The following chapters of this book are listed in IDEAS- James Ming Chen, 2017. "Baryonic Beta Dynamics: The Econophysics of Systematic Risk," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 3-30, Palgrave Macmillan.
- James Ming Chen, 2017. "Double- and Single-Sided Risk Measures," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 31-45, Palgrave Macmillan.
- James Ming Chen, 2017. "Relative Volatility Versus Correlation Tightening," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 49-64, Palgrave Macmillan.
- James Ming Chen, 2017. "Asymmetrical Volatility and Spillover Effects," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 65-86, Palgrave Macmillan.
- James Ming Chen, 2017. "The Low-Volatility Anomaly," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 87-98, Palgrave Macmillan.
- James Ming Chen, 2017. "Correlation Tightening," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 99-124, Palgrave Macmillan.
- James Ming Chen, 2017. "The Intertemporal Capital Asset Pricing Model," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 127-138, Palgrave Macmillan.
- James Ming Chen, 2017. "The Equity Premium Puzzle," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 139-173, Palgrave Macmillan.
- James Ming Chen, 2017. "Beta’s Cash Flow and Discount Rate Components," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 175-187, Palgrave Macmillan.
- James Ming Chen, 2017. "Risk and Uncertainty," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 189-211, Palgrave Macmillan.
- James Ming Chen, 2017. "Short-Term Price Continuation Anomalies," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 213-237, Palgrave Macmillan.
- James Ming Chen, 2017. "Systematic Risk in the Macrocosm," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 239-274, Palgrave Macmillan.
- James Ming Chen, 2017. "The Baryonic Ladder: The Firm, the Market, and the Economy," Quantitative Perspectives on Behavioral Economics and Finance, in: Econophysics and Capital Asset Pricing, chapter 0, pages 275-284, Palgrave Macmillan.
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