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Forecasting the impact of information security breaches on stock market returns and VaR backtest

Colivicchi, Ilaria; Vignaroli, Riccardo - In: Journal of mathematical finance 9 (2019) 3, pp. 402-454

Persistent link: https://www.econbiz.de/10012210337

The impact of monetary policy on stock market performance : evidence from twelve (12) African countries

Suhaibu, Iddrisu; Harvey, Simon K.; Amidu, Mohammed - In: Research in international business and finance 42 (2017), pp. 1372-1382

Persistent link: https://www.econbiz.de/10011761035

A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

Macroeconomic shocks, market uncertainty and speculative bubbles : a decomposition-based predictive model of Indian stock markets

Ghosh, Indranil; Chaudhuri, Tama Datta; Sakar, Sunita; … - In: China finance review international 15 (2025) 1, pp. 166-201

Persistent link: https://www.econbiz.de/10015323973

News shocks : different effects in boom and recession?

Bolboaca, Maria; Fischer, Sarah - 2019 - This version: February, 2019

This paper investigates the nonlinearity in the effects of news shocks about technological innovations. In a maximally flexible logistic smooth transition vector autoregressive model, state-dependent effects of news shocks are identified based on medium-run restrictions. We propose a novel...

Persistent link: https://www.econbiz.de/10011967392

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

Even though both symmetric and asymmetric conceptions of news impacts are well-established in the disciplines of economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet been delved into or gauged in any tourist destination....

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

Forecasting stock volatility using time-distance weighting fundamental’s shocks

Mei, Xueting; Wang, Xinyu - In: Finance research letters 65 (2024), pp. 1-10

Persistent link: https://www.econbiz.de/10014564298

A reconsideration of the failure of an S-shaped response of TFP to technological diffusion news

Nam, Deokwoo; Li, Xiaole - In: Journal of economic research 27 (2022) 3, pp. 255-291

Persistent link: https://www.econbiz.de/10014229405

Semiparametric approaches to the prediction of conditional correlation matrices in finance

Golosnoy, Vasyl (contributor); Herwartz, Helmut (contributor) - 2006

We consider the problem of ex-ante forecasting conditional correlation patterns using ultra high frequency data … correlation matrices and exogenous factors. The Fisher-z transformation guarantees robustness of correlation estimators under … prominent parametric and nonparametric alternatives to correlation modeling. Based on economic performance criteria, we …

Persistent link: https://www.econbiz.de/10003516408

Prognostizierbarkeit von Aktienrenditen : die Ursachen von Bewertungsanomalien am deutschen Aktienmarkt

Garz, Hendrik - 2000

Persistent link: https://www.econbiz.de/10001467539