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Dynamic return-volume relations in the Saudi stock market : evidence from quantiles regressions
Alwagdani, Othman - In: International journal of economics and finance 7 (2015) 11, pp. 84-93
Persistent link: https://www.econbiz.de/10011401211
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Optimal returns in Indian stock market during global pandemic : a comparative study
Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-13
This research is an extension of our previous work [Debnath and Srivastava (2021)]. In that paper, we designed a portfolio based on data taken from National Stock Exchange (NSE), India, during 1 January 2020 to 31 December 2020 and performance of that portfolio in real-life situation was...
Persistent link: https://www.econbiz.de/10012799165
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Optimizing stock market returns during global pandemic using regression in the context of Indian stock market
Debnath, Pradip; Srivastava, Hari M. - In: Journal of risk and financial management : JRFM 14 (2021) 8, pp. 1-10
Stock markets around the world experienced a massive collapse during the first wave of COVID-19. Roughly in the month of January 2021, the second wave of COVID-19 struck in India, reaching its peak in May, and by the end of May, the active cases started to decline. A third wave is again...
Persistent link: https://www.econbiz.de/10012627066
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Connectedness of cryptocurrencies and gold returns : evidence from frequency-dependent quantile regressions
Owusu Junior, Peterson; Adam, Anokye M.; Tweneboah, George - In: Cogent economics & finance 8 (2020) 1, pp. 1-19
18 April 2019 are employed within the Ensemble Empirical Mode Decomposition and Quantile-in-Quantile regression …
Persistent link: https://www.econbiz.de/10013179510
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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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Jump regressions
Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Econometrica : journal of the Econometric Society, an … 85 (2017) 1, pp. 173-195
Persistent link: https://www.econbiz.de/10011738476
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Return-Volatility Relationship: Insights from Linear and Non-Linear Quantile Regression
Allen, David E.; Singh, Abhay K.; Powell, Robert J.; … - 2013
associated extreme quantile dependence usinglinear and non linear quantile regression approach. Our goal in this paper is … todemonstrate that the relationship between the volatility and market return as quantifiedby Ordinary Least Square (OLS) regression … between price and volatility. In the empiricalanalysis we compare the results from linear quantile regression (LQR) and …
Persistent link: https://www.econbiz.de/10010326227
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International stock return predictability under model uncertainty
Schrimpf, Andreas (contributor) - 2008
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10003728591
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Non-linear predictability in stock and bond returns : when and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008
transition autoregressive (STAR) regime switching (predictive) regression models, we also estimate univariate models in which …
Persistent link: https://www.econbiz.de/10003732461
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Non-linear predictability in stock and bond returns : when and where is it exploitable?
Guidolin, Massimo; Hyde, Stuart; McMillan, David G.; … - 2008
Persistent link: https://www.econbiz.de/10003741408