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Investigating the drivers of international comovement in real financial asset returns

McKinnon, Kate - 2019

Persistent link: https://www.econbiz.de/10012224630

Which Factor Model? A Systematic Return Covariation Perspective

Ahmed, Shamim; Bu, Ziwen; Symeonidis, Lazaros; … - 2023

We examine which factor model best captures systematic return covariation by focusing on the economic implications for portfolio risk control. The pairwise variance equality test and the model confidence set procedure suggest that the Fama and French (2015) five-factor model, the Barillas and...

Persistent link: https://www.econbiz.de/10014350762

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Intelligible factors for the yield curve

Lengwiler, Yvan; Lenz, Carlos - 2008

Persistent link: https://www.econbiz.de/10003676451

Study of the leading European construction companies using risk factor models

Escribano, Ana; Jareño, Francisco; Cano, Jose Ángel - In: International journal of finance & economics : IJFE 28 (2023) 3, pp. 3386-3402

Persistent link: https://www.econbiz.de/10014327752

Correlations

Ehling, Paul; Heyerdahl-Larsen, Christian - 2014

Persistent link: https://www.econbiz.de/10011788857

Empirical evidence on the stock-bond correlation

Molenaar, Roderick; Senechal, Edouard; Swinkels, Laurens; … - 2023

The correlation between stock and bond returns is a cornerstone of asset allocation decisions. The correlation can move … and magnitude of the stock-bond correlation. Our historical analyses across countries suggest that our findings are robust …. We apply these insights to analyze the implications of a shift in stock-bond correlation regime for the risk of multi …

Persistent link: https://www.econbiz.de/10014349506

Gaussian rank correlation and regression

Amengual, Dante; Sentana, Enrique; Tian, Zhanyuan - 2020

Persistent link: https://www.econbiz.de/10012308723

Equity returns, firm-specific characteristics and sector rotation : evidence from Turkey

Guris, Selahattin; Pala, Aynur - In: International journal of economics and financial issues … 4 (2014) 2, pp. 264-276

Persistent link: https://www.econbiz.de/10010520066

The forecasting power of international yield curve linkages

Modugno, Michele; Nikolaou, Kleopatra - 2009

This paper investigates whether information from foreign yield curves helps forecast domestic yield curves out-of-sample. A nested methodology to forecast yield curves in domestic and international settings is applied on three major countries (the US, Germany and the UK). This novel methodology...

Persistent link: https://www.econbiz.de/10003832611

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