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Bond variance risk premia
Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012
Persistent link: https://www.econbiz.de/10009552228
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2017
Persistent link: https://www.econbiz.de/10011817412
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A three-state Markov model for predicting movements of asset returns of a Nigerian Bank
Raheem, Maruf A.; Ezepue, Patrick Oseloka - In: CBN journal of applied statistics 7 (2016) 2, pp. 1-23
We present in this paper an alternative approach to determining and predicting the fluctuations in the daily prices and stock returns of a first-generation bank in the Nigerian Stock Market (NSM). The approach uses a three-state Markov to estimate the expected duration of the asset returns in...
Persistent link: https://www.econbiz.de/10011661502
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Impact of consumer sentiment on defensive and aggressive stock returns : Indian evidence
Yelamanchili, Rama Krishna - In: International journal of economics and financial issues … 9 (2019) 4, pp. 109-114
Persistent link: https://www.econbiz.de/10012150127
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Deep learning in asset pricing
Chen, Luyang; Pelger, Markus; Zhu, Jason - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 714-750
Persistent link: https://www.econbiz.de/10014513601
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Predicting long-run risk factors of stock returns : evidence from Australia
Banerjee, Rajabrata; Cavoli, Tony; McIver, Ron; Meng, … - In: Australian economic papers 62 (2023) 3, pp. 377-395
Persistent link: https://www.econbiz.de/10014380845
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An application of a short memory model with random level shifts to the volatility of Latin American stock market returns
Rodríguez, Gabriel; Tramontana, Roxana - 2015
Persistent link: https://www.econbiz.de/10011290816
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Nonlinearity, data-snooping, and stock index ETF return predictability
Yang, Jian; Cabrera, Juan; Wang, T'ao - In: European journal of operational research : EJOR 200 (2009/10) 2, pp. 498-507
Persistent link: https://www.econbiz.de/10003897177
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Aggregate earnings and expected stock returns in emerging markets
Demirtas, K. Ozgur; Zirek, Duygu - In: Emerging markets finance & trade : a journal of the … 47 (2011) 3, pp. 4-22
Persistent link: https://www.econbiz.de/10009313732
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Efficiency of heterogeneity measures : an asset pricing perspective
Qin, Lu; Zhu, Hongquan - In: China finance review international 5 (2015) 4, pp. 371-385
Persistent link: https://www.econbiz.de/10011391759