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Adaptive market hypothesis : evidence from the Ghanaian stock market
Gyamfi, Emmanuel Numapau - In: Journal of African business 19 (2018) 2, pp. 195-209
Persistent link: https://www.econbiz.de/10011930385
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Forecasting volatility in the petroleum futures markets : a re-examination and extension
Hasanov, Akram Shavkatovich; Shaiban, Mohammed Sharaf; … - In: Energy economics 86 (2020), pp. 1-12
Persistent link: https://www.econbiz.de/10012511802
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Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks : a comparison of alternative distribution functions
Hasanov, Akram Shavkatovich; Poon, Wai Ching; … - In: Energy economics 70 (2018), pp. 307-333
Persistent link: https://www.econbiz.de/10011942743
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Long run returns predictability and volatility with moving averages
Chang, Chia-Lin; Ilomäki, Jukka; Laurila, Hannu; … - In: Risks : open access journal 6 (2018) 4, pp. 1-18
This paper examines how the size of the rolling window, and the frequency used in moving average (MA) trading strategies, affects financial performance when risk is measured. We use the MA rule for market timing, that is, for when to buy stocks and when to shift to the risk-free rate. The...
Persistent link: https://www.econbiz.de/10011906234
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Out-of-sample volatility prediction : rolling window, expanding window, or both?
Feng, Yuqing; Zhang, Yaojie; Wang, Yudong - In: Journal of forecasting 43 (2024) 3, pp. 567-582
Persistent link: https://www.econbiz.de/10014532353
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Increasing the information content of realized volatility forecasts
Pascalau, Razvan; Poirier, Ryan - In: Journal of financial econometrics 21 (2023) 4, pp. 1064-1098
Persistent link: https://www.econbiz.de/10014391443
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Denoising or distortion : does decomposition-reconstruction modeling paradigm provide a reliable prediction for crude oil price time series?
Xu, Kunliang; Niu, Hongli - In: Energy economics 128 (2023), pp. 1-16
Persistent link: https://www.econbiz.de/10015072677
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Multiscale analysis of the predictability of stock returns
Fiedor, Paweł - In: Risks : open access journal 3 (2015) 2, pp. 219-233
Due to the strong complexity of financial markets, economics does not have a unified theory of price formation in financial markets. The most common assumption is the Efficient-Market Hypothesis, which has been attacked by a number of researchers, using different tools. There were varying...
Persistent link: https://www.econbiz.de/10011300325
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Feasible earnings momentum in the U.S. stock market : an investor's perspective
Krauss, Christopher; Beerstecher, Daniel; Krüger, Tom - 2015
This paper examines earnings momentum strategies in the U.S. stock universe from an investor's perspective. Specifically, we use the software Stock Investor Pro from the American Association of Individual Investors (AAII) to obtain the composition of the U.S. stock universe from 2005-2015 on a...
Persistent link: https://www.econbiz.de/10011346692
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The power of priors : how confirmation bias impacts market prices
Cipriano, Michael C.; Gruca, Thomas S. - In: The journal of prediction markets 8 (2014) 3, pp. 34-56
Persistent link: https://www.econbiz.de/10010530193