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Modelling the distribution of day-ahead electricity returns : a comparison
Sapio, Sandro - 2010
This paper contributes to characterizing the probability density of the price returns in some European day-ahead electricity markets (NordPool, APX, Powernext) by fitting some flexible and general families of distributions, such as the α-stable, Normal Inverse Gaussian (NIG), Exponential Power...
Persistent link: https://www.econbiz.de/10008736167
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Regulatory information, market expectations, and the determination of the allowed rate of return
Fan, Dennis Kin Keung - In: Journal of regulatory economics 6 (1994) 4, pp. 433-444
Persistent link: https://www.econbiz.de/10001171129
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The regulation of electricity : results from an event study
Dnes, Antony W.; Seaton, Jonathan S. - In: Applied economics 31 (1999) 5, pp. 609-618
Persistent link: https://www.econbiz.de/10001418909
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The unemployment-stock market relationship in South Africa : evidence from symmetric and asymmetric cointegration models
Phiri, Andrew - In: Managing global transitions : international research journal 15 (2017) 3, pp. 231-254
Persistent link: https://www.econbiz.de/10012135608
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Time-varying Granger causality between the stock market and unemployment in the United States
Fromentin, Vincent - In: Applied economics letters 30 (2023) 3, pp. 371-378
Persistent link: https://www.econbiz.de/10013553475
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The reaction of stock market returns to anticipated unemployment
Gonzalo, Jesús; Taamouti, Abderrahim - 2012
Persistent link: https://www.econbiz.de/10010475009
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Unemployment and aggregate stock returns
Atanasov, Victoria - In: Journal of banking & finance 129 (2021), pp. 1-13
Persistent link: https://www.econbiz.de/10012822081
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Revisions in Expected Unemployment Rate and the Cross-section of Stock Returns
Ince, Baris - 2022
This paper provides evidence to the importance of revisions in expected unemployment rate in the cross …-sectional pricing of individual stocks. We introduce a measure of unemployment beta which quantifies monthly-varying stock sensitivity … to the innovations in forecasted unemployment rate. Stocks in the lowest unemployment beta decile generate 7% more …
Persistent link: https://www.econbiz.de/10013293664
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Investor reaction to simultaneous news releases : unemployment vs. earnings
Gupta, Neeraj J.; Strohush, Vitaliy; White, Reilly - In: Journal of economics and finance 43 (2019) 4, pp. 735-749
Persistent link: https://www.econbiz.de/10012385199
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Unemployment fluctuations and the predictability of currency returns
Nucera, Federico - In: Journal of banking & finance 84 (2017), pp. 88-106
Persistent link: https://www.econbiz.de/10011816838