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Leverage as a predictor for real activity and volatility
Kollmann, Robert; Zeugner, Stefan - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1267-1283
Persistent link: https://www.econbiz.de/10009655682
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Market timing of corporate debt issuance : prediction or reaction?
Zhou, Bilei; Guo, Jie Michael; Chen, Xiaohong; Yang, Tian - In: Applied financial economics 22 (2012) 19/21, pp. 1753-1769
Persistent link: https://www.econbiz.de/10009715926
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Latent Accounting Growth, Corporate Financing Decisions, and Return Predictability
Oad Rajput, Suresh Kumar - 2014
We analyse interactions of simultaneous shifts in comprehensive balance sheet items annually and identify common (latent) factors, which are consistent across years. Five factors are interpreted to reflect five major decisions in businesses: Financial Flexibility, Short-term Credit, Long-term...
Persistent link: https://www.econbiz.de/10013066402
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The impact of jumps and leverage in forecasting co-volatility
Asai, Manabu; McAleer, Michael - 2015
The paper investigates the impact of jumps in forecasting co-volatility, accommodating leverage effects. We modify the … definite. Using this approach we can disentangle the estimates of the integrated co-volatility matrix and jump variations from … the co-jumps of two assets have a significant impact on future co-volatility, but that the impact is negligible for …
Persistent link: https://www.econbiz.de/10010477100
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Forecasting holding periods for Leveraged ETFs using decay thresholds : theory and applications
Trainor, William J.; Carroll, Mark G. - In: Inventi impact: microfinance & banking (2013) 3, pp. 179-190
Persistent link: https://www.econbiz.de/10010193177
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The impact of jumps and leverage in forecasting covolatility
Asai, Manabu; McAleer, Michael - In: Econometric reviews 36 (2017) 6/9, pp. 638-650
Persistent link: https://www.econbiz.de/10011795307
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Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility
Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014250993
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The predictability, volatility persistence, and leverage effects in stock market returns : a study of BRICS stock market indices
Joo, Bashir Ahmad; Ghulam, Younis Ahmed - In: American journal of finance and accounting 7 (2023) 3/4, pp. 188-213
Persistent link: https://www.econbiz.de/10014490945
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Modelling financial time series
Taylor, Stephen - 2007 - 2. edition
Persistent link: https://www.econbiz.de/10003553502
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Market impact under a new regulatory regime : credit rating agencies in Europe
Alsakka, Rasha; Ap Gwilym, Owain; Klusak, Patrycja; Tran, Vu - In: Economic notes : economic review of Banca Monte dei … 44 (2015) 2, pp. 275-307
Persistent link: https://www.econbiz.de/10011401072