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Effect of increasing the forecast horizon on correlation between forecasted returns and actual returns : an empirical analysis
Rastogi, Vivek Raj; Dhar, Joydip - In: International journal of accounting and finance 3 (2011/12) 3, pp. 193-206
Persistent link: https://www.econbiz.de/10009618977
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Correlation surprise
Kinlaw, Will; Turkington, David - In: The journal of asset management 14 (2013) 6, pp. 385-399
Persistent link: https://www.econbiz.de/10010258478
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The dynamics of volatility and correlation during periods of crisis : implications for active asset management
Esposito, Marcello - In: The journal of asset management 17 (2016) 3, pp. 135-140
Persistent link: https://www.econbiz.de/10011485140
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Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G. - In: International journal of monetary economics and finance … 13 (2020) 5, pp. 429-445
Persistent link: https://www.econbiz.de/10012515166
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Dollar debt and equity returns
Braymen, Charles; Obonyo, Tirimba; Woessner, Nicholas E. - In: Applied economics letters 28 (2021) 12, pp. 1021-1025
Persistent link: https://www.econbiz.de/10012589735
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The time-varying relation between stock returns and monetary variables
McMillan, David G. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-17
shifting the pattern of behaviour. We show a change in the correlation between each of the three variables with stock returns …. Notably, a predominantly negative correlation with bond yields and inflation becomes positive, while the opposite is true for …
Persistent link: https://www.econbiz.de/10012813273
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Monthly art market returns
Bocart, Fabian Y. R. P.; Ghysels, Eric; Hafner, Christian M. - In: Journal of risk and financial management : JRFM 13 (2020) 5/100, pp. 1-22
a novel approach to repeat-sales regression estimation. The model for price indices we propose allows for correlation …
Persistent link: https://www.econbiz.de/10012304909
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How to combine a billion alphas
Kakushadze, Zura; Yu, Willie - In: The journal of asset management 18 (2017) 1, pp. 64-80
Persistent link: https://www.econbiz.de/10011592763
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Investigation of the financial stability of S&P 500 using realized volatility and stock returns distribution
Akter, Nahida; Nobi, Ashadun - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-10
correlation among the stocks for 15 years and found that, during the crisis period, the beta-coefficient between the market index … and stock’s prices and correlation among stock’s prices increased remarkably and decreased during the non-crisis period …
Persistent link: https://www.econbiz.de/10011856960
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Comovement among returns of the private Chilean pension system
Vallejos, Ronny; Gárate, Angelo; Gómez, Marcos - In: International review of applied economics 33 (2019) 2, pp. 228-240
Persistent link: https://www.econbiz.de/10012182319