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Macroeconomic variables and stock market: US review
Sirucek, Martin - Volkswirtschaftliche Fakultät, … - 2012
This focus of this paper are the effect, implication, impact and realtionship between selected macroeconomic variables and wider US indices S&P 500 and industrial Dow Jones Industrial Average (DJIA). Considered are inflation, interest rates, money supply, producer price index, industrial...
Persistent link: https://www.econbiz.de/10011107956
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Impact of monetary policy on US stock market
Sirucek, Martin - Volkswirtschaftliche Fakultät, … - 2011
DJIA obtain in monthly frequence, since 1959 to 2011. From econometric methods, will be using Pearson correlation index … or with time delay (in week). Findings The correlation analysis shows, that between change of money supply and stock … index is high dependence (correlation index 0.9224). By calculating with time delay, was correlation index high too, but …
Persistent link: https://www.econbiz.de/10011113226
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On behavioral Arrow Pratt risk process with applications to risk pricing, stochastic cash flows, and risk control
Cadogan, Godfrey - Volkswirtschaftliche Fakultät, … - 2009
We introduce a closed form behavioural stochastic Arrow-Pratt risk process, decomposed into discrete asymmetric risk seeking and risk averse components that run on different local times in ϵ-disks centered at risk free states. Additionally, we embed Arrow-Pratt (“AP”) risk measure in a...
Persistent link: https://www.econbiz.de/10008545956