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Real-time macroeconomic data and uncertainty
Glass, Katharina; Fritsche, Ulrich - 2015 - 2nd updated version
Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions of data is an increasingly important source of uncertainty about the state of the economy and offer an alternative channel of uncertainty - data uncertainty. This paper adds on...
Persistent link: https://www.econbiz.de/10011298898
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Term structures of asset prices and returns
Backus, David; Boyarchenko, Nina; Chernov, Mikhail - 2016
We explore the term structures of claims to a variety of cash flows: U.S. government bonds (claims to dollars), foreign government bonds (claims to foreign currency), inflation-adjusted bonds (claims to the price index), and equity (claims to future equity indexes or dividends). Average term...
Persistent link: https://www.econbiz.de/10011457568
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Asymmetry in Stock Comovements : An Entropy Approach
Jiang, Lei - 2020
We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market …. Moreover, our approach also provides an entropy-based measure of downside asymmetric comovement. In the cross-section of stock …
Persistent link: https://www.econbiz.de/10012856552
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Women's potential earnings distributions
Maasoumi, Esfandiar; Wang, Le - In: Essays in honor of M. Hashem Pesaran : panel modeling, …, (pp. 229-252). 2022
Persistent link: https://www.econbiz.de/10013194128
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Impact of monetary policy on financial markets efficiency under speculative bubbles : a non-normal and non-linear entropy-based approach
Alonso-Rivera, Angélica; Cruz-Aké, Salvador; … - In: Análisis económico 34 (2019) 86, pp. 157-178
Persistent link: https://www.econbiz.de/10012229558
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Asymmetry in stock comovements : an entropy approach
Jiang, Lei; Wu, Ke; Zhou, Guofu - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 4, pp. 1479-1507
Persistent link: https://www.econbiz.de/10011930502
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Did Zipf anticipate socio-economic spatial networks?
Reggiani, Aura; Nijkamp, Peter - 2012
-economic network theories (e.g. entropy maximization, spatial interaction theory, etc.); (ii) the nature of the analytical relationship …
Persistent link: https://www.econbiz.de/10011731610
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Gravitational analysis in regional science and spatial economics : a vector gradient approach to trade
Nijkamp, Peter; Ratajczak, Waldemar - In: International regional science review : IRSR ; an … 44 (2021) 3/4, pp. 400-431
Persistent link: https://www.econbiz.de/10012592652
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Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio
Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409
Persistent link: https://www.econbiz.de/10014311645
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A generalized entropy approach to portfolio selection under a hidden markov model
MacLean, Leonard C.; Yu, Lijun; Zhao, Yonggan - In: Journal of risk and financial management : JRFM 15 (2022) 8, pp. 1-25
Rényi entropy criterion, which summarizes the uncertainty in portfolio returns. Assuming asset returns are projected by a … regime-switching regression model on the two market risk factors, we develop an entropy-based dynamic portfolio selection … empirical Sharpe and return to entropy ratios, the dynamic portfolio under the proposed strategy is much improved in contrast …
Persistent link: https://www.econbiz.de/10013375264