Similar Search Results

Forecasting Stock Returns : Does Switching Between Models Help?

McMillan, David G. - 2009

Research examining the usefulness of non-linear models for stock market returns has almost reached an impasse. While there is general recognition of the superior ability of non-linear models to describe the data, there is less certainty about their ability to forecast the data. As such simple...

Persistent link: https://www.econbiz.de/10013158958

Using Interest Rates to Predict Economic Growth : Are Corporate Bonds Better?

McMillan, David G. - 2020

the information as a leading indicator for macroeconomic performance and improve our understanding of the links between … yield. Forecast results, which are obtained from a rolling window approach, likewise suggest both series have information … rates have declined since the highs of the early to mid-1980s thus reducing the information content of government yield …

Persistent link: https://www.econbiz.de/10012833838

Stock Return Predictability and Market Integration : The Role of Global and Local Information

McMillan, David G. - 2015

three counts. First, to academics interested in understanding the dynamics asset price movement. Second, to market …

Persistent link: https://www.econbiz.de/10013011775

When and Why Do Stock and Bond Markets Predict Economic Growth?

McMillan, David G. - 2019

is also seen in consumption or investment growth. Such information will allow the use of financial markets as a leading …

Persistent link: https://www.econbiz.de/10012860534

Forecasting Stock Returns : Do Commodity Prices Help?

Black, Angela J. - 2014

that incorporate information from the long-run stock price/commodity price relationship outperform both the historical mean …

Persistent link: https://www.econbiz.de/10013050821

Explaining Subsequent Trading Activity Using Wavelet Time-Scale Analysis : International Evidence

Al Rababa'a, Abdel Razzaq - 2018

This study seeks to examine the behaviour of subsequent trading activity in international stock markets. We investigate whether stock returns can explain subsequent trading using wavelet time-scaled returns and volume. A wavelet decomposition of trading volume over time-scales of up to 32 days...

Persistent link: https://www.econbiz.de/10012919218

Stock-Bond Return Dynamic Correlation and Macroeconomic Announcements : Time-Scale Analysis and the Effects of Financial Crises

Al Rababa'a, Abdel Razzaq - 2018

We use wavelet analysis to examine the impact of macro-news announcements on the stock-bond correlation. Significant announcement effects appear after controlling for the recent financial crisis, with a link between the speed of reaction and the timing of announcements, with early released news...

Persistent link: https://www.econbiz.de/10012919223

Complex Network Analysis of Volatility Spillovers between Global Financial Indictors and G20 Stock Market

Korkusuz, Burak; McMillan, David G.; Kambouroudis, Dimos S - 2022

This paper analyses the dynamic transmission mechanism of volatility spillovers between key global financial indicators and G20 stock markets. To examine the volatility spillover relations a bivariate GARCH-BEKK model, which captures volatility spillovers, is combined with complex network...

Persistent link: https://www.econbiz.de/10013306657