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Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47

economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet … GJRGARCH-FFNSs model is the best model for Malaysian tourism demand volatility forecasting accuracy. Furthermore, KLCI and Gold … asymmetry impacts on tourism demand volatility. …

Persistent link: https://www.econbiz.de/10013369139

Excess stock returns and news : evidence from European markets

Malliaropulos, Dimitrios - In: European financial management : the journal of the … 4 (1998) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10001244084

Bayesian Combinations of Stock Price Predictions with an Application to the Amsterdam Exchange Index

Billio, Monica - 2012

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic auto-regressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...

Persistent link: https://www.econbiz.de/10013114729

Excess Stock Returns and News : Evidence from European Markets

Malliaropulos, Dimitris - 2022

This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...

Persistent link: https://www.econbiz.de/10014236921

Forecasting stock market volatility in central and eastern European countries

Harrison, Barry; Moore, Winston - In: Journal of forecasting 31 (2012) 6, pp. 490-503

Persistent link: https://www.econbiz.de/10009661524

Four centuries of return predictability

Golez, Benjamin; Koudijs, Peter - 2014

Persistent link: https://www.econbiz.de/10010481196

Bayesian combinations of stock price predictions with an application to the Amsterdam exchange index

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011

Persistent link: https://www.econbiz.de/10009126681

Bayesian combinations of stock price predictions with an application to the Amsterdam Exchange index

Billio, Monica; Casarin, Roberto; Ravazzolo, Francesco; … - 2011

We summarize the general combination approach by Billio et al. [2010]. In the combination model the weights follow logistic autoregressive processes, change over time and their dynamics are possible driven by the past forecasting performances of the predictive densities. For illustrative...

Persistent link: https://www.econbiz.de/10011386476

Empirical studies on volatility in international stock markets

Hol, Eugenie M. J. H. - 2003

Persistent link: https://www.econbiz.de/10001781211

Four Centuries of Return Predictability

Golez, Benjamin - 2014

We combine annual stock market data for the most important equity markets of the last four centuries: the Netherlands …

Persistent link: https://www.econbiz.de/10012457852

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