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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10014332691
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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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Can central bank communication help to stabilise inflation expectations?
Jung, Alexander; Kühl, Patrick - 2021
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097
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Asymmetric mean reversion in low liquid markets: Evidence from BRVM
Gbenro, Nathaniel; Moussa, Richard Kouamé - In: Journal of Risk and Financial Management 12 (2019) 1, pp. 1-19
This paper analyzes the mean reversion property on the west African stock market (in French, Bourse Régionale des Valeurs Mobilières BRVM). For this purpose, we use two daily indices: (i) the composite index (BRVMC) and (ii) the index of the 10 most liquid assets (BRVM10) collected from 3...
Persistent link: https://www.econbiz.de/10012611160
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Bitcoin price risk - a durations perspective
Dimpfl, Thomas; Odelli, Stefania - In: Journal of Risk and Financial Management 13 (2020) 7, pp. 1-18
Persistent link: https://www.econbiz.de/10012611283
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The Australian stock market's reaction to the first wave of the COVID-19 pandemic and black summer bushfires: A sectoral analysis
Gunay, Samet; Bakry, Walid; Al-Mohamad, Somar - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-19
most of the Australian sector indices, with the financial, health care, information technology, and utility sectors … February 2020, but consumer staples, industry, information technology and real estate indices did not display any break. Markov …
Persistent link: https://www.econbiz.de/10012611732
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Cross-border acquisitions and shareholders' wealth: The case of the Indian pharmaceutical sector
Wajid, Abdul; Sabiha, Anjim; Akhtar, Shakeb; Tabash, … - In: Journal of Risk and Financial Management 15 (2022) 10, pp. 1-17
Cross-border acquisitions by Indian companies have increased tremendously, especially during the last two decades, and the pharmaceutical industry is one of the top acquiring industries. This study verifies the relationship between cross-border acquisitions and shareholders' wealth in the Indian...
Persistent link: https://www.econbiz.de/10014332636
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Asymmetric realized volatility risk
Allen, David E.; McAleer, Michael; Scharth, Marcel - In: Journal of Risk and Financial Management 7 (2014) 2, pp. 80-109
In this paper, we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...
Persistent link: https://www.econbiz.de/10011843245
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Connecting VIX and stock index ETF with VAR and diagonal BEKK
Chang, Chia-Lin; Hsieh, Tai-Lin; McAleer, Michael - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-25
As stock market indexes are not tradeable, the importance and trading volume of Exchange-Traded Funds (ETFs) cannot be understated. ETFs track and attempt to replicate the performance of a specific index. Numerous studies have demonstrated a strong relationship between the S&P500 Composite Index...
Persistent link: https://www.econbiz.de/10012611071
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Stock market volatility response to COVID-19: Evidence from Thailand
In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-9
pandemic and the resulting uncertainty in Thailand. Using a multivariate GARCH-BEKK model, the conditional volatility dynamics …
Persistent link: https://www.econbiz.de/10014332748