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A unified framework jointly explaining business conditions, stock returns, volatility and "volatility feedback news" effects

Kim, Chang-jin; Kim, Yunmi - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 23 (2019) 2, pp. 1-14

Persistent link: https://www.econbiz.de/10012054880

Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47

economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet …), conditional heteroscedastic volatility models, and multiple news shocks are suitable for forecasting the volatility of the … Malaysian tourist industry. Among them, three primarily volatility models (GARCH, EGARCH, and GJRGARCH) are used in conjunction …

Persistent link: https://www.econbiz.de/10013369139

The business cycle and impacts of economic news on financial markets

Cakan, Esin - In: Journal of business & economics research 10 (2012) 6, pp. 385-390

Persistent link: https://www.econbiz.de/10009567443

What Drives Stock Prices along Business Cycles?

Mai, Dat - 2022

This paper applies a Bayesian break method to studying the empirical time-varying relations between stock price ratios and subjective expectations across the market and 30 industry portfolios monthly from 1976 to 2020. Cash flow expectations unconditionally explain 80% of price variations since...

Persistent link: https://www.econbiz.de/10013293691

Time-varying stock return correlation, news shocks, and business cycles

Metiu, Norbert; Prieto, Esteban - 2023 - November 25, 2022

The cross-sectional average of pairwise correlations across stocks traded on the NYSE, AMEX, and Nasdaq is a powerful predictor of U.S. economic activity at a horizon of one to four years. Its predictive ability is on a par with the slope of the yield curve and significantly exceeds that of some...