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Special issue on forecasting financial markets
Dunis, Christian (contributor); Kanioura, Athina (contributor) - 2006
Persistent link: https://www.econbiz.de/10003382881
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Forecasting stock returns : do commodity prices help?
Black, Angela J.; Klinkowska, Olga; McMillan, David G.; … - In: Journal of forecasting 33 (2014) 8, pp. 627-639
Persistent link: https://www.econbiz.de/10011282841
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Linear and non-linear (non-)forecastability of high-frequency exchange rates
Brooks, Chris - In: Journal of forecasting 16 (1997) 2, pp. 125-145
Persistent link: https://www.econbiz.de/10001216402
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Embedded Leverage
Frazzini, Andrea - 2012
Many financial instruments are designed with embedded leverage such as options and leveraged exchange traded funds (ETFs). Embedded leverage alleviates investors' leverage constraints and, therefore, we hypothesize that embedded leverage lowers required returns. Consistent with this hypothesis,...
Persistent link: https://www.econbiz.de/10013097662
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Smooth Landing or Crash? Model-Based Scenarios of Global Current Account Rebalancing
Faruqee, Hamid - 2012
accounts through the lens of a dynamic, multi-region model of the global economy. In the baseline scenario, world macroeconomic … sustainable level. An alternative scenario, involving a sudden portfolio reshuffling in the rest of the world, would result in …
Persistent link: https://www.econbiz.de/10013101490
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Gold Returns
Barro, Robert J. - 2013
From 1836 to 2011, the average real rate of price change for gold in the United States is 1.1% per year and the standard deviation is 13.1%, implying a one-standard-deviation confidence band for the mean of (0.1%, 2.1%). The covariances of gold's real rate of price change with consumption and...
Persistent link: https://www.econbiz.de/10013087443
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Corporate Liquidity Management : A Conceptual Framework and Survey
Almeida, Heitor - 2013
Ensuring that a firm has sufficient liquidity to finance valuable projects that occur in the future is at the heart of the practice of financial management. Yet, while discussion of these issues goes back at least to Keynes (1936), a substantial literature on the ways in which firms manage...
Persistent link: https://www.econbiz.de/10013074911
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Measuring Uncertainty
Jurado, Kyle - 2013
This paper exploits a data rich environment to provide direct econometric estimates of time-varying macroeconomic uncertainty, defined as the common volatility in the unforecastable component of a large number of economic indicators. Our estimates display significant independent variations from...
Persistent link: https://www.econbiz.de/10013075857
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Crash Risk in Currency Markets
Farhi, Emmanuel - 2010
1996 to 2011 period using exchange rate spot, forward, and option data, we obtain a real-time index of world disaster risk …
Persistent link: https://www.econbiz.de/10013152552
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Dating the Integration of World Equity Markets
Bekaert, Geert - 2008
Measuring the integration of world capital markets is notoriously difficult. For example, regulatory changes which … equity market becomes financially integrated with world capital markets. We find endogenous break dates that are very … markets are on average larger and more liquid than before; returns are more volatile and more highly correlated with the world …
Persistent link: https://www.econbiz.de/10012774881