Following Cooper et al. 2004 we test whether market states are relevant for predicting UK momentum profits. However, rather than simply categorizing up/down markets based on actual prices as Cooper et al. 2004, we suggest investors may view expectations and/or sentiment as important. Contrary to...

Investors' behavior in the market is highly related to the properties that financial time series capture. Particularly, nowadays the availability of high frequency datasets provides a reliable source for the better understanding of investors' psychology. The main aim of this chapter is to...

Properly estimating correlations and understanding how they change under different economic conditions plays a key role in asset pricing models, risk management, and many econometric models. In this paper we introduce a robust framework to identify a meaningful correlation relationship, address...