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Non-linearities and persistence in US long-run interest rates
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2020
-August 2020, the other from the ECB reporting average monthly values over the period January 1900-August 2020. The estimation …
Persistent link: https://www.econbiz.de/10012383724
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Predictability of bull and bear markets : a new look at forecasting stock market regimes (and returns) in the US
Haase, Felix; Neuenkirch, Matthias - 2021
The empirical literature of stock market predictability mainly suffers from model uncertainty and parameter instability. To meet this challenge, we propose a novel approach that combines the documented merits of diffusion indices, regime-switching models, and forecast combination to predict the...
Persistent link: https://www.econbiz.de/10012416151
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An alternative conditional asymmetry specification for stock returns
Brännäs, Kurt; Nordman, Niklas - 2001
The paper advances the log-generalized gamma distribution as a suitable generator of conditional skewness. Based on the NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a skewness that varies between sizeable negative skewness...
Persistent link: https://www.econbiz.de/10011398115
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A neglected semi-stylized fact of daily stock returns
Davies, Patrick 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/10011444114
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Proprietary income, entrepreneurial risk, and the predictability of US stock returns
Hoffmann, Mathias (contributor) - 2006
Persistent link: https://www.econbiz.de/10003363972
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Testing the Fisher hypothesis in the G-7 Countries using i(d) techniques
Caporale, Guglielmo Maria; Gil-Alaña, Luis A. - 2017
, linking nominal interest rates to inflation; however, there is no evidence of the full adjustment of the former to the latter …
Persistent link: https://www.econbiz.de/10011654734
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Forecast uncertainties in macroeconometric modelling : an application to the UK economy
Pesaran, M. Hashem - 2000
intervals. Probability forecasts relating to UK output growth and inflation, obtained using a small macroeconometric model, are … presented. We discuss in detail the probability that inflation will fall within the Bank of England's target range and that … insights on the interrelatedness of output growth and inflation outcomes at different horizons. …
Persistent link: https://www.econbiz.de/10009781626
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Forecasting random walks under drift instability
Pesaran, M. Hashem (contributor); Pick, Andreas (contributor) - 2008
Persistent link: https://www.econbiz.de/10003711763
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Persistence in the Russian stock market volatility indices
Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018
assumed to follow a white noise or autocorrelated process, it is confirmed by the rolling window estimation, and it holds for …
Persistent link: https://www.econbiz.de/10011903723
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Macro-financial linkages in the high-frequency domain : the effects of uncertainty on realized volatility
Caporale, Guglielmo Maria; Karanasos, Menelaos; Yfanti, … - 2019
This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to financial stability. In particular, it...
Persistent link: https://www.econbiz.de/10012158736