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Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110732

International evidence on market linkages after the 2008 stock market crash

Meriç, Gülser; Lentz, Christine; Schmeltz, Wayne; … - In: The international journal of business and finance … 6 (2012) 4, pp. 45-57

Persistent link: https://www.econbiz.de/10009633850

Time-Localized Wavelet Multiple Regression and Correlation : Eurozone Stock Markets Across Scales and Time

Fernandez-Macho, Javier - 2020

regression on wavelet coefficients. The concept of wavelet local multiple correlation is used to produce one single set of multi …-scale correlations along time, in contrast with the large number of wavelet correlation maps that need to be compared when using standard … century. It is shown how the evolution of the correlation structure in these markets has been far from homogeneous both along …

Persistent link: https://www.econbiz.de/10012854086

A Teaching Tool for Computing Stock Returns, Risk and Beta

Shelor, Roger M. - 2012

The purpose of this paper is to serve as a guide for students' use of actual data for risk and return calculations. The study of stock return risk has been of interest to investors and academics for several decades. Early discussion of the “mean-variance framework” described the rationale...

Persistent link: https://www.econbiz.de/10013113774

Cross-Response in Correlated Financial Markets : Individual Stocks

Wang, Shanshan - 2017

. We also find that the cross-correlation of the trade signs turns out to be a short-memory process …

Persistent link: https://www.econbiz.de/10012966626

Gold, oil, and stocks : dynamic correlations

Baruník, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2015

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010515402

A dynamic multivariate heavy-tailed model for time-varying volatilities and correlations

Creal, Drew; Koopman, Siem Jan; Lucas, André - 2010

We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...

Persistent link: https://www.econbiz.de/10011380135