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A study of cross-industry return predictability in the Chinese stock market

Ellington, Michael; Stamatogiannis, Michalis P.; Zheng, … - In: International review of financial analysis 83 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013455047

Predicting the long-term stock market volatility : a GARCH-MIDAS model with variable selection

Fang, Tong; Lee, Tae-hwy; Su, Zhi - In: Journal of empirical finance 58 (2020), pp. 36-49

Persistent link: https://www.econbiz.de/10012430452

Trading activity in the corporate bond market : a sad tale of macro-announcements and behavioral seasonality?

Forest, James J.; Branch, Ben Shirley; Berry, Brian T. - In: Risks : open access journal 12 (2024) 5, pp. 1-25

of Seasonal Affective Disorder (SAD) and macroeconomic announcements. Employing the General-to-Specific (Gets …) Autometrics methodology, we identify distinct behavioral responses between retail and institutional investors to SAD, noting a …

Persistent link: https://www.econbiz.de/10014636541

Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility

Cakmakli, Cem; van Dijk, Dick - 2010

This paper documents that factors extracted from a large set of macroeconomic variables bear useful information for predicting monthly US excess stock returns and volatility over the period 1980-2005. Factor-augmented predictive regression models improve upon both benchmark models that only...

Persistent link: https://www.econbiz.de/10010326025

Stock market volatility: Identifying major drivers and the nature of their impact

Mittnik, Stefan; Robinzonov, Nikolay; Spindler, Martin - In: Journal of banking & finance 58 (2015), pp. 1-14

Persistent link: https://www.econbiz.de/10011543844

Essays in statistical estimation and a stochastic application to financial markets

Huang, Jing - 2018

Persistent link: https://www.econbiz.de/10012183865

Price jump prediction in a limit order book

Zheng, Ban; Moulines, Eric; Abergel, Frédéric - In: Journal of mathematical finance 3 (2013) 2, pp. 242-255

Persistent link: https://www.econbiz.de/10010239589

Estimation and forecasting of large realized covariance matrices and portfolio choice

Callot, Laurent; Kock, Anders B.; Medeiros, Marcelo C. - 2014

autoregressive models. We propose using Lasso-type estimators to reduce the dimensionality to a manageable one and provide strong …

Persistent link: https://www.econbiz.de/10010433899

The effect of index option trading on stock market volatility in China : an empirical investigation

Wu, Kai; Liu, Yi; Feng, Weiyang - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-19

, including principal component analysis, GARCH-family model, and LASSO regression. The results of this paper suggest that the …

Persistent link: https://www.econbiz.de/10013168752

Semiparametric characteristics-based models of asset returns

Li, Shaoran - 2021

Persistent link: https://www.econbiz.de/10012939059

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