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The asymmetric impact of macroeconomic shocks on stock returns in Turkey : a nonlinear ARDL approach
Yacouba, Kassouri; Altintas, Halil - In: Romanian journal of economic forecasting 22 (2019) 2, pp. 98-116
Persistent link: https://www.econbiz.de/10012129032
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
), inflation and money supply growth, while oft studied, is one that remains unclear. We argue that the nature of the relation … money supply growth. The shift begins with the bursting of the dotcom bubble but is exacerbated by the financial crisis … power switches temporarily to positive around economic shocks. This suggests that higher yields, inflation and money growth …
Persistent link: https://www.econbiz.de/10012813273
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The impact of macroeconomic factors on the German stock market : evidence for the crisis, pre- and post-crisis periods
Celebi, Kaan; Hönig, Michaela - In: International Journal of Financial Studies : open … 7 (2019) 2/18, pp. 1-13
Export Climate index, exports, the Consumer Price Index CPI, as well as 3 y German government bonds yields show delayed …
Persistent link: https://www.econbiz.de/10012039605
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Is there a long run relationship between stock returns and monetary variables : evidence from an emerging market
Muradoğlu, Gülnur; Metin, Kıvılcım; Argaç, Reha - In: Applied financial economics 11 (2001) 6, pp. 641-649
Persistent link: https://www.econbiz.de/10001636210
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Asymmetric effects of industrial production, money supply and exchange rate changes on stock returns in Turkey
Tiryaki, Ahmet; Ceylan, Reşat; Erdoğan, Levent - In: Applied economics 51 (2019) 20, pp. 2143-2154
Persistent link: https://www.econbiz.de/10012196652
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Salmon stock market prices revealing salmon price information
Dahl, Roy Endré; Oglend, Atle; Yahya, Muhammad - In: Marine resource economics 36 (2021) 2, pp. 173-190
Persistent link: https://www.econbiz.de/10012548787
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Range-based volatility estimation and forecasting
Benčík, Daniel - 2014
prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … a vector error-correction model of daily highs and lows. Contrary to intuition, models based on co-integration of daily …
Persistent link: https://www.econbiz.de/10010461231
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Consumption, aggregate wealth and expected stock returns : an FCVAR approach
Quineche, Ricardo - In: Journal of time series econometrics 13 (2021) 1, pp. 21-42
Persistent link: https://www.econbiz.de/10012437824
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Financial time series: methods and models
Caporin, Massimiliano; Storti, Giuseppe - In: Journal of risk and financial management : JRFM 13 (2020) 5/86, pp. 1-3
The statistical analysis of financial time series is a rich and diversified research field whose inherent complexity requires an interdisciplinary approach, gathering together several disciplines, such as statistics, economics, and computational sciences. This special issue of the Journal of...
Persistent link: https://www.econbiz.de/10012304649
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Does consumption-wealth ratio signal stock returns? : VECM results for Germany
Fang, Xu (contributor) - 2005
wealth growth and U.S. income growth significantly. …
Persistent link: https://www.econbiz.de/10002633392