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The US stock market at sector level : inflation news, 1990-2013
Jareño, Francisco; Tolentino, Marta; González Pérez, … - In: Applied econometrics and international development 18 (2018) 1, pp. 71-86
Persistent link: https://www.econbiz.de/10012000540
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Time-varying stock return correlation, news shocks, and business cycles
Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022
The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...
Persistent link: https://www.econbiz.de/10014227600
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Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?
Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014
Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …
Persistent link: https://www.econbiz.de/10010407529
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Pricing stock market volatility : does it matter whether the volatility is related to the business cycle?
Kim, Yunmi; Nelson, Charles R. - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 307-328
Persistent link: https://www.econbiz.de/10010351545
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Corporate stock and bond return correlations and dynamic adjustments of capital structure
Nieto Domenech, Belen; Rodriguez, Rosa - In: Journal of business finance & accounting : JBFA 42 (2015) 5/6, pp. 705-746
Persistent link: https://www.econbiz.de/10011442336
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Effects of macroeconomic uncertainty on the stock and bond markets
Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - In: Finance research letters 13 (2015), pp. 10-16
Persistent link: https://www.econbiz.de/10011552317
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Business cycle, expected return and momentum payoffs
Chen, Jiun-Lin (Alex); Hwang, Hyoseok (David) - In: Finance research letters 29 (2019), pp. 83-89
Persistent link: https://www.econbiz.de/10012417954
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Revisiting the bull and bear markets notions in the Tunisian stock market : new evidence from multi-state duration-dependence Markov-switching models
Bejaoui, Azza; Karaa, Adel - In: Economic modelling 59 (2016), pp. 529-545
Persistent link: https://www.econbiz.de/10011647922
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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects
Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10012054880
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Stock market cross-sectional skewness and business cycle fluctuations
Ferreira, Thiago R.T. - 2018 - This version: February 2018
Persistent link: https://www.econbiz.de/10011854688