We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …

We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular …

excess returns weakens substantially, once model uncertainty is accounted for. We document notable differences in the degree …

associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is … between price and volatility. In the empiricalanalysis we compare the results from linear quantile regression (LQR) and … copulabased non linear quantile regression known as copula quantile regression (CQR).The discussion of the properties of the …

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

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

different lexica sentiment variables. These are employed for an analysis of stock reactions: volatility, volume and returns. An … increased (negative) sentiment will influence volatility as well as volume. This influence is contingent on the lexical … produce stock reaction indicators, including volatility, detrended log trading volume and return? (ii) To which degree is …

We develop a distribution regression model under endogenous sample selection. This model is a semi …