Details about Espen Sirnes

Access statistics for papers by Espen Sirnes.

Last updated 2024-11-08. Update your information in the RePEc Author Service.

Short-id: psi598

Working Papers

2012

1. Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
   Papers, arXiv.org
   See also Journal Article Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations, Physica A: Statistical Mechanics and its Applications, Elsevier (2013) View citations (1) (2013)

1997

2. Theories and Tests for Bubbles
   MPRA Paper, University Library of Munich, Germany

Journal Articles

2024

1. Measuring market volatility connectedness to media sentiment
   The North American Journal of Economics and Finance, 2024, 71, (C) View citations (4)

2023

2. Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation
   Data, 2023, 8, (8), 1-22

2022

3. Estimating the Effect of Transaction Costs Using the Tick Size as a Proxy
   Review of Economics, 2022, 73, (1), 57-77

2021

4. Tick Size and Price Reversal after Order Imbalance
   IJFS, 2021, 9, (2), 1-13

2013

5. Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations
   Physica A: Statistical Mechanics and its Applications, 2013, 392, (16), 3335-3343 View citations (1)
   See also Working Paper Assessing market uncertainty by means of a time-varying intermittency parameter for asset price fluctuations, Papers (2012) (2012)

2011

6. Why falling information costs may increase demand for index funds
   Review of Financial Economics, 2011, 20, (1), 37-47 View citations (2)
   Also in Review of Financial Economics, 2011, 20, (1), 37-47 (2011)