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Cross-sectional returns with volatility regimes from a diverse portfolio of emerging and developed equity indices

Sakowski, Paweł; Ślepaczuk, Robert; Wywiał, Mateusz - In: E-Finanse : finansowy kwartalnik internetowy 12 (2016) 2, pp. 23-35

. Proposed extensions include a volatility regime switching mechanism (using dummy variables and the Markov approach) and the … fifth risk factor based on realized volatility of index returns. Moreover, instead of using data for stocks of a particular …

Persistent link: https://www.econbiz.de/10011539896

Predictability in international stock returns using currency fluctuations and forward rate forecasts

Wang, Jiexin; Han, Xue; Huang, Emily J.; Yost-Bremm, Chris - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-21

Persistent link: https://www.econbiz.de/10012656847

Return and volatility spillovers to African currencies markets

Atenga, Eric Martial Etoundi; Mougoué, Mbodja - In: Journal of international financial markets, … 73 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10012802179

Crude oil, stock market, and foreign exchange return volatility and spillover : a GARCH DCC analysis of Indian and Japanese financial market

Mishra, Amritkant - In: International journal of business innovation and research 20 (2019) 1, pp. 25-46

Persistent link: https://www.econbiz.de/10012144491

Stock and currency market linkages : new evidence from realized spillovers in higher moments

Do, Hung Xuan; Brooks, Robert; Sirimon Treepongkaruna; … - In: International review of economics & finance : IREF 42 (2016), pp. 167-185

Persistent link: https://www.econbiz.de/10011625106

Structural breaks, dynamic correlations, asymmetric volatility transmission, and hedging strategies for petroleum prices and USD exchange rate

Mensi, Walid; Hammoudeh, Shawkat; Yoon, Seong-min - In: Energy economics 48 (2015), pp. 46-60

Persistent link: https://www.econbiz.de/10011533698

Sentiment lost : the effect of projecting the empirical pricing kernel onto a smaller filtration set

Sala, Carlo; Barone-Adesi, Giovanni - 2015

Supported by empirical examples, this paper provides a theoretical analysis on the impacts of using a suboptimal information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental theorems of asset pricing. While inferring the...

Persistent link: https://www.econbiz.de/10011506352

Sources of return in the index futures markets

Zaremba, Adam - In: Contemporary economics 5 (2011) 2, pp. 54-71

The paper concerns an issue of existence of a risk premium in equity and index futures markets. The paper consists of four parts. The first part describes the basic hypotheses of forward curves in the futures market. In the second section, I formulate 5 hypotheses concerning a risk premium in...

Persistent link: https://www.econbiz.de/10009244093

Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2014

Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of...

Persistent link: https://www.econbiz.de/10010429997

Non-diversifiable volatility risk and risk premiums at earnings announcements

Barth, Mary E.; So, Eric - 2013

This study seeks to determine whether earnings announcements pose non-diversifiable volatility risk that commands a … volatility and pay a premium to hedge this non-diversifiable risk. In particular, we find evidence of risk premiums embedded in … announcements pose non-diversifiable volatility risk. In addition, we find that volatility risk premiums are concentrated among …

Persistent link: https://www.econbiz.de/10010205852

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