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Why Does Idiosyncratic Risk Increase with Market Risk

Bartram, Söhnke M. - 2017

has roots in fundamentals. Higher market risk predicts greater idiosyncratic earnings volatility as well as dispersion and …

Persistent link: https://www.econbiz.de/10012950299

Pulling Up the Tarnished Anchor : The End of Silver As a Global Unit of Account

Fernholz, Ricardo T. - 2017

suggests that a global bimetallic system, in which the gold price of silver uctuates, has higher price volatility than a global …

Persistent link: https://www.econbiz.de/10012955754

Oil Prices and GCC Stock Markets : New Evidence from Smooth Transition Models

Ben Cheikh, Nidhaleddine - 2018

Our paper examines the effect of oil price changes on Gulf Cooperation Council (GCC) stock markets using nonlinear smooth transition regression (STR) models. Contrary to conventional wisdom, our empirical results reveal that GCC stock markets do not have similar sensitivities to oil price...

Persistent link: https://www.econbiz.de/10012914946

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 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/10012910613

Dissecting Characteristics Nonparametrically

Freyberger, Joachim - 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/10012958874

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility …

Persistent link: https://www.econbiz.de/10013094817

Stock Market Integration between Three CEECs, Russia and the UK

Caporale, Guglielmo Maria - 2013

Russia. The adopted framework allows to analyse interdependence by estimating volatility spillovers, and also contagion by … testing for possible shifts in the transmission of volatility following the introduction of the euro and EU accession. Further …. Furthermore, whilst the introduction of the euro has had mixed effects, EU accession has resulted in an increase in volatility …

Persistent link: https://www.econbiz.de/10013095004

Linkages between the US and European Stock Markets : A Fractional Cointegration Approach

Caporale, Guglielmo Maria - 2015

This paper analyses the long-memory properties of US and European stock indices, as well as their linkages, using fractional integration and fractional cointegration techniques. These methods are more general and have higher power than the standard ones usually employed in the literature. The...

Persistent link: https://www.econbiz.de/10013013497

Price Formation on the EuroMTS Platform

Caporale, Guglielmo Maria - 2013

This paper examines the process of price discovery in the MTS system, which builds on the parallel quoting of euro-denominated government securities on a number of (relatively large) domestic markets and on a (relatively small) European marketplace (EuroMTS). Using twenty-seven months of daily...

Persistent link: https://www.econbiz.de/10013095113

The Role of Monetary Aggregates in the Policy Analysis of the Swiss National Bank

Kirchgässner, Gebhard - 2013

Using Swiss data from 1983 to 2008, this paper investigates whether growth rates of the different measures of the quantity of money and or excess money can be used to forecast inflation. After a preliminary data analysis, money demand relations are specified, estimated and tested. Then,...

Persistent link: https://www.econbiz.de/10013095154