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Forecasting the daily time‐varying beta of European banks during the crisis period : comparison between GARCH models and the Kalman filter

Zhang, Yuanyuan; Choudhry, Taufiq - In: Journal of forecasting 36 (2017) 8, pp. 956-973

Persistent link: https://www.econbiz.de/10011860929

Consumer confidence or the business cycle : what matters more for European expected returns?

Møller, Stig Vinther; Nørholm, Henrik; Rangvid, Jesper - In: Journal of empirical finance 28 (2014), pp. 230-248

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The MAX effect : European evidence

Walkshäusl, Christian - In: Journal of banking & finance 42 (2014), pp. 1-10

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US stock market uncertainty and cross-market European stock returns

Sarwar, Ghulam - In: Journal of multinational financial management 28 (2014), pp. 1-14

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Present value models and the behaviour of European financial markets

Tomat, Gian Maria - In: Italian economic journal : official peer-reviewed … 6 (2020) 3, pp. 493-520

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Forecasting European stock volatility : the role of the UK

Gao, Jun; Gao, Xiang; Gu, Chen - In: International review of financial analysis 89 (2023), pp. 1-8

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Excess Stock Returns and News : Evidence from European Markets

Malliaropulos, Dimitris - 2022

This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...

Persistent link: https://www.econbiz.de/10014236921