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An event study of Chinese tourists to Taiwan
Chang, Chia-Lin; Hsu, Shu-Han; McAleer, Michael - 2018
, namely, GARCH (1,1), GJR (1,1) and EGARCH (1,1), are used to estimate the abnormal rate of change in the number of tourists …
Persistent link: https://www.econbiz.de/10011794257
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Machine Learning for Stock Selection
Rasekhschaffe, Keywan - 2019
Machine learning is an increasingly important and controversial topic in quantitative finance. A lively debate persists as to whether machine learning techniques can be practical investment tools. Although machine learning algorithms can uncover subtle, contextual and non-linear relationships,...
Persistent link: https://www.econbiz.de/10012893316
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Empirical Asset Pricing via Machine Learning
Gu, Shihao - 2019
We perform a comparative analysis of machine learning methods for the canonical problem of empirical asset pricing: measuring asset risk premia. We demonstrate large economic gains to investors using machine learning forecasts, in some cases doubling the performance of leading regression-based...
Persistent link: https://www.econbiz.de/10012899608
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Regional Economic Activity and Stock Returns
Smajlbegovic, Esad - 2018
This paper studies the diffusion of regional macroeconomic information into stock prices. I identify all U.S. states that are economically relevant for a company through textual analysis of annual reports and find that economic activity forecasts of company-relevant regions positively predict...
Persistent link: https://www.econbiz.de/10012938251
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Text-Based Industry Momentum
Hoberg, Gerard - 2017
We test the hypothesis that low visibility shocks to text-based network industry peers can explain industry momentum. We consider industry peer firms identified through 10-K product text and focus on economic peer links that do not share common SIC codes. Shocks to less visible peers generate...
Persistent link: https://www.econbiz.de/10012972674
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Climate Sin Stocks : stock price reactions to global climate strikes
Stefano, Ramelli; Elisa, Ossola; Michela, Rancan - 2020
The first Global Climate Strike on March 15, 2019 has represented a historical turn in climate activism. We investigate the cross-section of European stock price reactions to this event. Looking at a large sample of European firms, we find that the unanticipated success of this event caused a...
Persistent link: https://www.econbiz.de/10012299288
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Volatility shifts and persistence in variance : evidence from the sector indices of Istanbul Stock Exchange
Çağlı, Efe Çağlar; Mandacı, Pınar Evrım; … - In: International journal of economic sciences and applied … 4 (2011) 3, pp. 119-140
This study examines the impact of volatility shifts on volatility persistence for three major sector indices of Istanbul Stock Exchange (ISE) and ISE National 100 index over the period beginning from 1997 and ending in 2009. The exponential generalized autoregressive conditional...
Persistent link: https://www.econbiz.de/10009501246
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Multivariate volatility impulse response analysis of GFC news events
Allen, David E.; McAleer, Michael; Powell, Robert; … - 2015
This paper applies the Hafner and Herwartz (2006) (hereafter HH) approach to the analysis of multivariate GARCH models … effects of shocks to the conditional variance, as opposed to the conditional mean. HH use the fact that GARCH models can be … viewed as being linear in the squares, and that multivariate GARCH models are known to have a VARMA representation with non …
Persistent link: https://www.econbiz.de/10011301206
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A one line derivation of EGARCH
McAleer, Michael; Hafner, Christian M. - 2014
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …
Persistent link: https://www.econbiz.de/10010362978
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On the invertibility of EGARCH
Martinet, Guillaume Gaetan; McAleer, Michael - 2014
Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH …
Persistent link: https://www.econbiz.de/10010384390