Similar Search Results

A formula for the economic value of return predictability

Taylor, Nicholas - In: The European journal of finance 19 (2013) 1/2, pp. 37-53

Persistent link: https://www.econbiz.de/10009733303

The changing and relative efficiency of European emerging stock markets

Smith, Graham - In: The European journal of finance 18 (2012) 7/8, pp. 689-708

Persistent link: https://www.econbiz.de/10009666502

Nonlinearity everywhere : implications for empirical finance, technical analysis and value at risk

Amini, Shima; Hudson, Robert; Urquhart, Andrew; Wang, Jian - In: The European journal of finance 27 (2021) 13, pp. 1326-1349

We show that expected returns on US stocks and all major global stock market indices have a particular form of non-linear dependence on previous returns. The expected sign of returns tends to reverse after large price movements and trends tend to continue after small movements. The observed...

Persistent link: https://www.econbiz.de/10012653097

How predictable are precious metal returns?

Urquhart, Andrew - In: The European journal of finance 23 (2017) 13/15, pp. 1390-1413

Persistent link: https://www.econbiz.de/10012014399

Predicting the equity market with option-implied variables

Hollstein, Fabian; Prokopczuk, Marcel; Tharann, Björn; … - In: The European journal of finance 25 (2019) 10, pp. 937-965

Persistent link: https://www.econbiz.de/10012207043

Historical geopolitical risk and the behaviour of stock returns in advanced economies

Salisu, Afees A.; Lasisi, Lukman; Tchankam, Jean Paul - In: The European journal of finance 28 (2022) 9, pp. 889-906

Predictability in Conditionally Heteroskedastic Stock Returns." Journal of Financial Econometrics 13 (2): 342-375), to analyse over a … returns of advanced economies and further extend our analysis to out-of-sample predictability. Our findings reveal that GPR is …

Persistent link: https://www.econbiz.de/10013373348

Information and capital asset pricing

Li, Baibing; Yin, Xiangkang - In: The European journal of finance 17 (2011) 7/8, pp. 505-523

Persistent link: https://www.econbiz.de/10009509857

Robustness of the inference procedures for the global minimum variance portfolio weights in a skew-normal model

Bodnar, Taras; Gupta, Arjun K. - In: The European journal of finance 21 (2015) 13/15, pp. 1176-1194

Persistent link: https://www.econbiz.de/10011419827

Skewed distributions in finance and actuarial science : a review

Adcock, Christopher; Eling, Martin; Loperfido, Nicola - In: The European journal of finance 21 (2015) 13/15, pp. 1253-1281

Persistent link: https://www.econbiz.de/10011419878

Arbitrage violations and implied valuations : the option market

Ioffe, Ioulia D.; Prisman, Eliezer Zeev - In: The European journal of finance 19 (2013) 3/4, pp. 298-317

Persistent link: https://www.econbiz.de/10010243641