We study the time series properties of the Fama-French factor returns volatility processes. Among the original findings of this paper, we point to structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market portfolio...

The paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, we find that the US are an important source of global fluctuations not only for real activity, nominal variables and stock prices, but also for...

The paper investigates linkages between general macroeconomic conditions and the housing market for the G-7 area. Among the key results of the paper, it is found that the US are an important source of global fluctuations not only for real activity, nominal variables and stock prices, but also...

In the paper monthly realized moments for stock market returns for the US, the UK, Germany and Japan are employed to assess the linkages holding across moments and markets over the period 1973-2004. In the light of the theoretical framework proposed in the paper, the results point to a...

The growth in the size of the hedge funds industry has led some in-vestors to worry about a decline in alphas, associated with reduced arbitrage opportunities in international financial markets. We introduce a multivariate components model for returns and net relative inflows into hedge funds,...

In this paper the time series properties of the Fama-French factor returns volatility processes are studied. Among the original findings of this paper, structural breaks in the volatility of the factors, and strong coincidence between the timing of the breaks in the volatility of the market...

In this article, a multivariate unobserved components model for returns and net inflows into hedge funds is employed to assess whether the flows of funds into the industry are dynamically related to returns. The econometric model is used to estimate expected flows and expected returns as...

In the paper we study the relationship between macroeconomic and stock market volatility, using S&P500 data for the period 1970- 2001. We find evidence of both long memory and structural change in volatility and a twofold linkage between stock market and macroeconomic volatility. In terms of the...