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Multiscale stock-bond correlation : implications for risk management

Al Rababa'a, Abdel Razzaq; Alomari, Mohammad; McMillan, … - In: Research in international business and finance 58 (2021), pp. 1-21

Persistent link: https://www.econbiz.de/10013286286

Macroeconomic variables and long-term stock market performance : a panel ARDL cointegration approach for G7 countries

Humpe, Andreas; McMillan, David G. - In: Cogent economics & finance 8 (2020) 1, pp. 1-7

Based on the present value model for stock prices, we utilise a pooled mean group estimator for panel ARDL cointegration to estimate the long-run relationship between G7 stock prices and macroeconomic variables over the last 40 years. We find a positive long-run relation between stock prices,...

Persistent link: https://www.econbiz.de/10013179569

Time-varying dependence dynamics between international commodity prices and Australian industry stock returns : a perspective for portfolio diversification

Tiwari, Aviral Kumar; Abakah, Emmanuel Joel Aikins; … - In: Energy economics 108 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013203257

Do U.S. economic conditions at the state level predict the realized volatility of oil-price returns? : a quantile machine-learning approach

Gupta, Rangan; Pierdzioch, Christian - In: Financial innovation : FIN 9 (2023), pp. 1-22

Persistent link: https://www.econbiz.de/10014288917

Relationship between green investments, energy markets, and stock markets in the aftermath of the global financial crisis

Shahbaz, Muhammad; Trabelsi, Nader; Tiwari, Aviral Kumar; … - In: Energy economics 104 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013364293

Do oil-price shocks predict the realized variance of U.S. REITs?

Bonato, Matteo; Çepni, Oğuzhan; Gupta, Rangan; … - In: Energy economics 104 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10013364407

Investor confidence and forecastability of US stock market realized volatility : evidence from machine learning

Gupta, Rangan; Nel, Jacobus; Pierdzioch, Christian - In: The journal of behavioral finance : a publication of … 24 (2023) 1, pp. 111-122

Persistent link: https://www.econbiz.de/10013547864

Are the top six cryptocurrencies efficient? : evidence from time-varying long memory

Jena, Sangram Keshari; Tiwari, Aviral Kumar; Doğan, Buhari - In: International journal of finance & economics : IJFE 27 (2022) 3, pp. 3730-3740

Persistent link: https://www.econbiz.de/10013330753