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The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Poza, Carlos - 2021
prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966 … pandemic period. We find that the unit root hypothesis cannot be rejected for stock prices while for bond yields the results … differ depending on the maturity date and the specification of the error term. In general, bond yields appear to be more …
Persistent link: https://www.econbiz.de/10013235116
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Oil Prices, Exchange Rates and Sectoral Stock Returns in the BRICS-T Countries : A Time-Varying Approach
Caporale, Guglielmo Maria; Catik, Abdurrahman Nazif; … - 2021
This paper analyses the effects of oil prices and exchange rates on sectoral stock returns in the BRICS-T countries over the period from 2 January 2001 to 22 March 2021. After estimating a benchmark linear model, the possible presence of structural breaks is investigated using the Bai and Perron...
Persistent link: https://www.econbiz.de/10013211113
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Determinants of Stock Market Correlation. Accounting for Model Uncertainty and Reverse Causality in a Large Panel Setting
Afonso, António; Beck, Krzysztof; Jackson, Karen - 2022
current correlation being the best single predictor of the future stock market correlation (2) positive impact of the market …
Persistent link: https://www.econbiz.de/10014237624
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Modelling Persistence and Non-Linearities in the US Treasury 10-Year Bond Yields
Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Yaya, … - 2022
This paper analyses persistence and non-linearities in quarterly and monthly US Treasury 10-year bond yields over the …
Persistent link: https://www.econbiz.de/10013306037
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2017
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10011657112
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Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks
Brož, Václav; Kocenda, Evžen - 2021
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10012799763
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Dissecting Characteristics Nonparametrically
Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018
We propose a nonparametric method to study which characteristics provide incremental information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large...
Persistent link: https://www.econbiz.de/10011931937
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Mortgage-Related Bank Penalties and Systemic Risk Among U.S. Banks
Brož, Václav; Kočenda, Evžen - 2021
We analyze link between mortgage-related regulatory penalties levied on banks and the level of systemic risk in the U.S. banking industry. We employ a frequency decomposition of volatility spillovers (connectedness) to assess system-wide risk transmission with short-, medium-, and long-term...
Persistent link: https://www.econbiz.de/10013311710
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A Neglected Semi-Stylized Fact of Daily Stock Returns
Davies, Laurie; Krämer, Walter - 2016
We plot aggregated daily stock returns with absolute value less than x against x and show empirically that this produces a typical spoon-shaped pattern which indicates a special type of asymmetry which has not been discussed before. This pattern disappears when individual returns are averaged; it...
Persistent link: https://www.econbiz.de/10011451429
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Energy Contagion Analysis: A New Perspective with Application to a Small Petroleum Economy
Mahadeo, Scott M. R.; Heinlein, Reinhold; Legrenzi, … - 2018
in energy markets, and test for this using standard correlation measures and recently proposed adjusted correlation, co …
Persistent link: https://www.econbiz.de/10011932029