The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability …-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 … improvement over several benchmarks and generate economic value by boosting returns, improving the certainty equivalent return …

This paper investigates the impact of abnormal returns on stock prices by using daily and hourly data for some …-tests, CAR and trading simulation methods are used to test the following hypotheses: H1) abnormal returns can be detected before … the end of the day; H2) there are price effects on the day after abnormal returns occur; H3) these effects are different …

in daily stock market returns is associated with a 0.5% increase in the number of fatal accidents. A battery of …

presence of the anomaly in daily returns on witching days which can be exploited by means of suitably designed trading …

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision … return correlations using weekly returns on futures markets and investigate the extent to which multivariate volatility … ; weekly returns ; multivariate t ; financial interdependence ; VaR diagnostics ; 2008 stock market crash …

This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset …