The Feller diffusion, filter rules and abnormal stock returns
| dc.contributor.author | Docherty, Paul | |
| dc.contributor.author | Dong, Yizhe | |
| dc.contributor.author | Song, Xiaojing | |
| dc.contributor.author | Tippett, Mark | |
| dc.contributor.institution | University of Aberdeen.Finance | en |
| dc.date.accessioned | 2018-10-04T23:07:00Z | |
| dc.date.available | 2018-10-04T23:07:00Z | |
| dc.date.embargoedUntil | 2018-10-05 | |
| dc.date.issued | 2018 | |
| dc.description | Acknowledgements The authors acknowledge the helpful comments and suggestions of the Editor and referee. The usual disclaimer applies. | en |
| dc.description.status | Peer reviewed | en |
| dc.format.extent | 13 | |
| dc.format.extent | 556079 | |
| dc.identifier | 93885025 | |
| dc.identifier | a42121fc-8987-4faa-9c41-60d157e04fea | |
| dc.identifier | 85017143776 | |
| dc.identifier.citation | Docherty, P, Dong, Y, Song, X & Tippett, M 2018, 'The Feller diffusion, filter rules and abnormal stock returns', European Journal of Finance, vol. 24, no. 5, pp. 426-438. https://doi.org/10.1080/1351847X.2017.1309328 | en |
| dc.identifier.doi | 10.1080/1351847X.2017.1309328 | |
| dc.identifier.iss | 5 | en |
| dc.identifier.issn | 1351-847X | |
| dc.identifier.uri | http://hdl.handle.net/2164/11218 | |
| dc.identifier.vol | 24 | en |
| dc.language.iso | eng | |
| dc.relation.ispartof | European Journal of Finance | en |
| dc.subject | Feller diffusion | en |
| dc.subject | Fokker-Planck equation | en |
| dc.subject | Geometric Brownian Motion | en |
| dc.subject | Logarithmic return | en |
| dc.subject | H Social Sciences | en |
| dc.subject | Economics, Econometrics and Finance(all) | en |
| dc.subject.lcc | H | en |
| dc.title | The Feller diffusion, filter rules and abnormal stock returns | en |
| dc.type | Journal article | en |