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A time-varying parameter model for local explosions

Blasques, Francisco; Koopman, Siem Jan; Nientker, Marc - In: Journal of econometrics 227 (2022) 1, pp. 65-84

Persistent link: https://www.econbiz.de/10013441623

A predictive functional regression model for asset return

Dai, Xianhua; Li, Hong; Wang, Yiwen - In: Journal of mathematical finance 3 (2013) 2, pp. 307-311

Persistent link: https://www.econbiz.de/10010239559

Between data cleaning and inference : pre-averaging and robust estimators of the efficient price

Mykland, Per A.; Zhang, Lan - In: Journal of econometrics 194 (2016) 2, pp. 242-262

Persistent link: https://www.econbiz.de/10011705124

Overreaction through anchoring

Bürgi, Constantin; Ortiz, Julio L. - 2022

We show that updates to macroeconomic expectations among professional forecasters exhibit an offsetting pattern where increases in current-quarter predictions lead to decreases in three quarter ahead predictions. We further document evidence of individual overreaction at the quarterly frequency...

Persistent link: https://www.econbiz.de/10013482590

Dynamic return-volume relations in the Saudi stock market : evidence from quantiles regressions

Alwagdani, Othman - In: International journal of economics and finance 7 (2015) 11, pp. 84-93

Persistent link: https://www.econbiz.de/10011401211

A study of the effect of macroeconomic variables on stock market : Saudi perspective

Samontaray, Durga Prasad; Nugali, Sultan; Sasidhar, Bokkasam - In: International journal of financial research 5 (2014) 4, pp. 120-127

Persistent link: https://www.econbiz.de/10010459123

Optimal returns in Indian stock market during global pandemic : a comparative study

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-13

This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was...

Persistent link: https://www.econbiz.de/10012799165

Optimizing stock market returns during global pandemic using regression in the context of Indian stock market

Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10

Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...

Persistent link: https://www.econbiz.de/10012627066

Jump regressions

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195

Persistent link: https://www.econbiz.de/10011738476

Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard; de Raaij, Gabriela - 2002

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density … indices, the regression based evaluation strategy is compared with a recently proposed methodology based on likelihood ratio … tests. It is demonstrated that misspecifications of forecasting models can be detected within the proposed regression …

Persistent link: https://www.econbiz.de/10010295725

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