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1. |
Record Nr. |
UNISALENTO991001446419707536 |
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Autore |
Russo, Pasquale |
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Titolo |
Manuale di diritto tributario / Pasquale Russo |
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Pubbl/distr/stampa |
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Milano : A. Giuffrè, 1999 |
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ISBN |
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Edizione |
[3. ed] |
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Descrizione fisica |
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Disciplina |
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Soggetti |
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Diritto tributario - Italia |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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2. |
Record Nr. |
UNINA9910788521803321 |
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Autore |
Rose Andrew |
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Titolo |
Financial Integration : : A New Methodology and An Illustration / / Andrew Rose, Robert Flood |
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Pubbl/distr/stampa |
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Washington, D.C. : , : International Monetary Fund, , 2004 |
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ISBN |
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1-4623-4387-2 |
1-4527-2097-5 |
1-282-05112-1 |
9786613798572 |
1-4518-9890-8 |
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Descrizione fisica |
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1 online resource (20 p.) |
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Collana |
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Altri autori (Persone) |
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Disciplina |
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Soggetti |
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Stocks -- Prices -- Econometric models |
Stocks -- Rate of return -- Econometric models |
Econometrics |
Finance: General |
Investments: Stocks |
Macroeconomics |
Information and Market Efficiency |
Event Studies |
Pension Funds |
Non-bank Financial Institutions |
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Financial Instruments |
Institutional Investors |
General Financial Markets: General (includes Measurement and Data) |
Classification Methods |
Cluster Analysis |
Principal Components |
Factor Models |
Price Level |
Inflation |
Deflation |
Time-Series Models |
Dynamic Quantile Regressions |
Dynamic Treatment Effect Models |
Diffusion Processes |
State Space Models |
Econometrics & economic statistics |
Investment & securities |
Finance |
Stocks |
Stock markets |
Factor models |
Asset prices |
Time series analysis |
Financial institutions |
Financial markets |
Econometric analysis |
Prices |
Stock exchanges |
Econometric models |
United States |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Description based upon print version of record. |
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Nota di contenuto |
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""Contents""; ""I. DEFINING THE PROBLEM""; ""II. METHODOLOGY""; ""III. RELATIONSHIP TO THE LITERATURE""; ""IV. EMPIRICAL IMPLEMENTATION""; ""V. RESULTS""; ""VI. SENSITIVITY ANALYSIS""; ""VII. SUMMARY AND CONCLUSIONS""; ""References"" |
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Sommario/riassunto |
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This paper develops a simple methodology to test for asset integration, and applies it within and between American stock markets. Our technique relies on estimating and comparing expected risk-free rates across assets. Expected risk-free rates are allowed to vary freely over time, constrained only by the fact that they must be equal across (risk-adjusted) assets in well integrated markets. Assets are allowed to have standard risk characteristics, and are constrained by a factor model of covariances over short time periods. We find that implied expected risk-free rates vary dramatically over time, unlike short interest rates. |
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Further, internal integration in the S&P 500 market is never rejected and is generally not rejected in the NASDAQ. Integration between the NASDAQ and the S&P, however, is always rejected dramatically. |
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