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On the economic determinants of optimal stock-bond portfolios : international evidence
Conrad, Christian; Stürmer, Karin - 2017 - This version: May 31, 2017
portfolios in terms of portfolio risk. While optimal daily weights minimize portfolio risk, we find that portfolio turnover and …
Persistent link: https://www.econbiz.de/10011745369
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International propagation of shocks : a dynamic factor model using survey forecasts
Lahiri, Kajal; Zhao, Yongchen - In: International journal of forecasting 35 (2019) 3, pp. 929-947
Persistent link: https://www.econbiz.de/10012305192
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Bayesian analysis of time-varying interactions between stock returns and foreign equity flows
Baba, Boubekeur; Sevil, Güven - In: Financial innovation : FIN 7 (2021), pp. 1-25
This study discusses the trading behavior of foreign investors with respect to economic uncertainty in the South Korean stock market from a time-varying perspective. We employ a news-based measure of economic uncertainty along with the model of time-varying parameter vector autoregression with...
Persistent link: https://www.econbiz.de/10012594935
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Predictability of Risk Measures in International Stock Markets
Bali, Turan G. - 2012
This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …
Persistent link: https://www.econbiz.de/10013116934
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Impact of sensitivity index on tourism-economic growth relationships
Yilanci, Veli; Kongkuah, Maxwell; Akadiri, Seyi - In: International journal of services, economics and management 14 (2023) 3, pp. 345-361
Persistent link: https://www.econbiz.de/10014311697
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Uncertainty of macroeconomic forecasters and the prediction of stock market bubbles
Herwartz, Helmut; Cholodilin, Konstantin Arkadʹevič - 2014
forecasts -- to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years … signalling of stock price booms and bubbles. …
Persistent link: https://www.econbiz.de/10010400661
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Uncertainty of Macroeconomic Forecasters and the Prediction of Stock Market Bubbles
Herwartz, Helmut - 2014
forecasts - to the ex post and ex ante prediction of stock price bubbles. For a panel of six OECD economies covering 24 years … signalling of stock price booms and bubbles …
Persistent link: https://www.econbiz.de/10013048399
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The global credit cycle
Boyarchenko, Nina; Elias, Leonardo - 2024
corporate bond market returns around the world, we construct a novel global credit factor and a global risk factor that jointly … distinct from the global risk cycle. We document that the global credit cycle in asset returns translates into a global credit …
Persistent link: https://www.econbiz.de/10014519053
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Forecasting, valuation and portfolio returns of stock market evolution: problems, paradoxes and efficient information : worldwide implications and Romanian evidence
Turcaş, Florin; Dumiter, Florin Cornel; Brezeanu, Petre; … - In: Journal of business economics and management 21 (2020) 1, pp. 87-114
The purpose of this paper is to make a quantitative and qualitative critical analyse regarding the three important aspects of stock market evolution. First, the forecasting problems are presented and analyse in order to establish the main problems and the potential solutions. Second, the...
Persistent link: https://www.econbiz.de/10012176187
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Book-to-market decomposition, net share issuance, and the cross section of global stock returns
Blackburn, Douglas W.; Cakici, Nusret - In: Journal of risk and financial management : JRFM 12 (2019) 2/90, pp. 1-29
This paper provides global evidence supporting the hypothesis that expected return models are enhanced by the inclusion of variables that describe the evolution of book-to-market-changes in book value, changes in price, and net share issues. This conclusion is supported using data representing...
Persistent link: https://www.econbiz.de/10012022063