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Recession Prediction Using Yield Curve and Stock Market Liquidity Deviation Measures
Erdogan, Oral - 2016
including the stock market macro liquidity deviation factor. We use a probit framework to predict US business cycles, as defined … by the NBER between 1959Q1 and 2011Q4. We find that combining the yield curve parameter with the stock market liquidity … monitoring not only the yield curve but also stock market depth and liquidity, and their deviation from one another …
Persistent link: https://www.econbiz.de/10013007569
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Altman’s Z-Score Models of Predicting Corporate Distress : Evidence from the Emerging Sri Lankan Stock Market
Samarakoon, Lalith P. - 2010
This study investigates the ability of three versions of Altman's Z-Score model (Z, Z', and Z”) of distress prediction developed in the U.S. to predict the corporate distress in the emerging market of Sri Lanka. The results show that these models have a remarkable degree of accuracy in...
Persistent link: https://www.econbiz.de/10013152873
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Estimating the probability of financial distress in European markets : prediction models and empirical applications
Cerri, Andrea; Gigante, Gimede - In: Bank performance, risk and securitisation, (pp. 37-88). 2013
Persistent link: https://www.econbiz.de/10010240297
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US stock market uncertainty and cross-market European stock returns
Sarwar, Ghulam - In: Journal of multinational financial management 28 (2014), pp. 1-14
Persistent link: https://www.econbiz.de/10011297727
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On modelling and forecasting predictable components in European stock markets
Kiani, Khurshid M. - In: Computational economics 48 (2016) 3, pp. 487-502
Persistent link: https://www.econbiz.de/10011712528
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Forecasting volatility of European and Asian equity indices with Hansen's skew-t and fat tailed distributions, as well as with non-linear asymmetric effects
Gabrielsen, Alexandros; Sarmpezoudis, Sotirios - In: International journal of economic research 9 (2012) 2, pp. 243-263
Persistent link: https://www.econbiz.de/10009685246
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Forecasting European stock volatility : the role of the UK
Gao, Jun; Gao, Xiang; Gu, Chen - In: International review of financial analysis 89 (2023), pp. 1-8
Persistent link: https://www.econbiz.de/10014464832
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Predicting stock returns : some European evidence
Peiro, Amado - In: Applied economics 54 (2022) 57, pp. 6596-6604
Persistent link: https://www.econbiz.de/10013494191
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Does the US stock market information matter for European equity market volatility : a multivariate perspective?
Tang, Yusui; Ma, Feng; Wahab, M. I. M.; Wei, Yu - In: Applied economics 54 (2022) 58, pp. 6726-6743
Persistent link: https://www.econbiz.de/10013494246
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Default prediction around the world : the effect of constraints on pessimistic trading
Maffett, Mark; Owens, Edward; Srinivasan, Anand - 2013
We examine how equity-market frictions that restrict pessimistic trading, such as short-sale constraints, affect assessments of default risk. We find that these frictions decrease the usefulness of equity-market variables for identifying defaulting firms but increase their usefulness for...
Persistent link: https://www.econbiz.de/10010250688