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Stock Return Prediction by History Mapping

Verbiest, Eddy H. - 2011

15% annual outperformance over ten years. Such models deliver excellent return/risk tradeoff and lower risk by internal …

Persistent link: https://www.econbiz.de/10013118137

Nonlinear time series and neural-network models of exchange rates between the US Dollar and major currencies

Allen, David E.; McAleer, Michael; Peiris, Shelton; … - 2015

This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models,...

Persistent link: https://www.econbiz.de/10011378229

Predictability of the realised volatility of international stock markets amid uncertainty related to infectious diseases

Shiba, Sisa; Cuñado Eizaguirre, Juncal; Gupta, Rangan - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-18

daily infectious diseases-related uncertainty (EMVID) for international stock markets volatilities is examined using … portfolio managers amid high levels of uncertainty resulting from infectious diseases are discussed. …

Persistent link: https://www.econbiz.de/10012813501

Time Diversification and Financial Forecasts for Bond and Equity Markets

Gabbi, Giampaolo - 2009

, Switzerland, UK, Europe, USA, Japan, and Far East. The topic of this paper consists on the comparison of three methods to estimate … the risk premium: the historical return, the building block and the CAPM, which help to optimise asset allocation … 2000. We give an answer to some relevant questions (i) how long risk premiums take to become stable among reliable …

Persistent link: https://www.econbiz.de/10013156241

Facteurs de risque communs sur les marchés internationaux d'actions, d'obligations et de changes

Bandt, Olivier de - In: Economie & prévision : EP (1999) 4/5, pp. 91-104

Persistent link: https://www.econbiz.de/10001490952

COVID19 outbreak impact on international stock markets colatility contagion

Sosa Castro, Magnolia Miriam; Ortiz, Edgar; … - In: Revista de métodos cuantitativos para la economía y … 35 (2023), pp. 175-200

We analyze volatility contagion between the U.S. and Chinese stock markets and international capital markets. The volatility is modeled using: GARCH, TARCH, EGARCH, APARCH, IGARCH, FIGARCH, ACGARCH and GAS models under Gaussian, GED and t-Student distributions. 21,000 intraday observations of...

Persistent link: https://www.econbiz.de/10015338449

Simultane Finanzmarktprognosen mit künstlichen neuronalen Netzen : ein Forschungsprojekt

Ebertz, Thomas - In: Quantitative Verfahren im Finanzmarktbereich, (pp. 167-192). 1996

Persistent link: https://www.econbiz.de/10001319160

A neutral network approach to forecasting volatile international equity markets

Cogger, Kenneth O. - 1997

Persistent link: https://www.econbiz.de/10001231434

Enhancing Sentiment Analysis based Investment by Large Language Models in Japanese Stock Market

Nakano, Masafumi; Yamaoka, Takuya - 2023

-known traditional strategies such as mean-variance and risk parity portfolios …

Persistent link: https://www.econbiz.de/10014349551

An impact assessment of the COVID-19 pandemic on Japanese and US hotel stocks

Kanamura, Takashi - In: Financial innovation : FIN 9 (2023) 1, pp. 1-51

This study proposes two new regime-switching volatility models to empirically analyze the impact of the COVID-19 pandemic on hotel stock prices in Japan compared with the US, taking into account the role of stock markets. The first model is a direct impact model of COVID-19 on hotel stock...

Persistent link: https://www.econbiz.de/10014289130