Validity of the optimal portfolio allocation model with price constraints on the example of the Warsaw Stock Exchange
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- Rebecca Emerson & Stephen Hall & Anna Zalewska-Mitura, 1997.
"Evolving Market Efficiency with an Application to Some Bulgarian Shares,"
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- Wojciech W. Charemza & Ewa Majerowska, . "Regulation of the Warsaw Stock Exchange: The Portfolio Allocation Problem," Discussion Papers in European Economics 98/1, Department of Economics, University of Leicester.
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"Threshold Modelling of Stock Return Volatility on Eastern European Markets,"
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"Predictable Risk and Returns in Emerging Markets,"
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- Wojciech Charemza & Kalvinder Shields & Anna Zalewska, 2004. "Predictability of stock markets with disequilibrium trading," The European Journal of Finance, Taylor & Francis Journals, vol. 10(5), pages 329-344.
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- WEI, Steven X., 1998. "A censored-GARCH model of asset returns with price limits," CORE Discussion Papers 1998015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Fama, Eugene F. & MacBeth, James D., 1974. "Tests of the multiperiod two-parameter model," Journal of Financial Economics, Elsevier, vol. 1(1), pages 43-66, May.
- Nicola Anderson & Francis Breedon, 1996. "UK Asset Price Volatility Over the Last 50 Years," Bank of England working papers 51, Bank of England.
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