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Seasonalities in the German stock market
Hofmann, Daniel; Keiber, Karl Ludwig - In: Financial markets and portfolio management 35 (2021) 2, pp. 151-192
Persistent link: https://www.econbiz.de/10012588317
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Forecasting S&P 500 volatility : long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements
Martens, Martin; Dijk, Dick van; Pooter, Michiel de - In: International journal of forecasting 25 (2009) 2, pp. 282-303
Persistent link: https://www.econbiz.de/10003870055
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Modelling the dynamics of stock market in the Gulf Cooperation Council countries : evidence on persistence to shocks
Boubaker, Heni; Saidane, Bassem; Zorgati, Mouna Ben Saad - In: Financial innovation : FIN 8 (2022), pp. 1-22
-linearity, and multiple seasonality or time-varying correlations. Our study indicates that the joint dual long-memory process can … conditional volatility and strongly support the estimation of dynamic returns that allow for time-varying correlations. A …
Persistent link: https://www.econbiz.de/10013272684
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Predicting stock returns : an experiment of the artificial neural network in Indian stock market
Panda, Chakradhara; Narasimhan, Velamur Krishnamachari - In: South Asia economic journal : journal of the Institute … 7 (2006) 2, pp. 205-218
Persistent link: https://www.econbiz.de/10003380756
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The benefits of combining seasonal anomalies and technical trading rules
Ge̜bka, Bartosz; Hudson, Robert; Atanasova, Christina V. - In: Finance research letters 14 (2015), pp. 36-44
Persistent link: https://www.econbiz.de/10011552592
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Stock Return Predictability and Seasonality
Kim, Keunsoo - 2018
An examination of the Shiller cyclically adjusted pricing-earnings (CAPE) ratio reveals its forecasting power for 12-month CRSP equally weighted (EW) excess returns and value weighted (VW) excess returns. The 12-month EW excess returns following low CAPE ratios are, on average, 20.7% higher than...
Persistent link: https://www.econbiz.de/10012918931
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Trading based on knowing the WASDE report in advance
Milacek, Trent T.; Brorsen, B. Wade - In: Journal of agricultural and applied economics : JAEE 49 (2017) 3, pp. 400-415
Persistent link: https://www.econbiz.de/10011737693
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Testing the mood seasonality hypothesis : evidence from down under
Lee, Deok-Hyeon; Min, Byoung-Kyu; Xiao, Yuchao - In: Pacific-Basin finance journal 64 (2020), pp. 1-10
Persistent link: https://www.econbiz.de/10012493921
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Three essays on predictability and seasonality in the cross-section of stock returns
Bogousslavsky, Vincent - 2017
Mots-clés de l'auteur: Return Predictability ; Return Seasonality ; Asset Pricing Anomalies ; Intraday Returns …
Persistent link: https://www.econbiz.de/10011903110
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Fundamental disagreement about monetary policy and the term structure of interest rates
Cao, Shuo; Crump, Richard K.; Eusepi, Stefano; Mönch, … - 2021 - Revised August 2021
Using a unique data set of individual professional forecasts, we document disagreement about the future path of monetary policy, particularly at longer horizons. The stark differences in short rate forecasts imply strong disagreement about the risk-return trade-off of longer-term bonds....
Persistent link: https://www.econbiz.de/10012249767