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Forecasting stock return volatility at the quarterly frequency : an evaluation of time series approaches

Reeves, Jonathan J.; Xie, Xuan - In: Applied financial economics 24 (2014) 4/6, pp. 347-356

Persistent link: https://www.econbiz.de/10010399705

Dynamic bivariate peak over threshold model for joint tail risk dynamics of financial markets

Zhao, Zifeng - In: Journal of business & economic statistics : JBES ; a … 39 (2021) 4, pp. 892-906

Persistent link: https://www.econbiz.de/10012653200

Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall

Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407

Persistent link: https://www.econbiz.de/10011962940

Does the macroeconomy predict UK asset returns in a nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

Persistent link: https://www.econbiz.de/10008668600

Does the macroeconomy predict UK asset returns in an nonlinear fashion? : comprehensive out-of-sample evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2010

non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth …

Persistent link: https://www.econbiz.de/10008990694

The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity

Kurz-Kim, Jeong-Ryeol - 2003

In this paper, we use a modified concept of Granger-(non)causality in reconsidering the negative correlation between stock returns and inflation known in the literature as stock return-inflation puzzle. Based on the quarterly data for Germany including stock returns, inflation rates and growth...