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Political uncertainty and behavior of Tunisian stock market cycles : structural unobserved components time series models

Mnif, Afef Trabelsi - In: Research in international business and finance 39 (2017), pp. 206-214

Persistent link: https://www.econbiz.de/10011876467

Stock prices and macroeconomic performance in Pakistan : an analysis

Mukhtar, Saima; Chaudhry, Imran Sharif; Bashir, Furrukh - In: Review of economics and development studies 1 (2015) 2, pp. 119-128

Persistent link: https://www.econbiz.de/10011925274

A state-space modeling of the information content of trading volume

Rzayev, Khaladdin; Ibikunle, Gbenga - In: Journal of financial markets 46 (2019), pp. 1-19

Persistent link: https://www.econbiz.de/10012317879

Reducing transaction costs using intraday forecasts of limit order book slopes

Ahabchane, Chahid; Cenesizoglu, Tolga; Grass, Gunnar; … - 2021

Persistent link: https://www.econbiz.de/10012615644

Changing impact of shocks : a time-varying proxy SVAR approach

Mumtaz, Haroon; Petrova, Katerina - 2018

In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in...

Persistent link: https://www.econbiz.de/10011933414

Impact of Crude Oil Price Volatility on World Equity Markets Behavior

Kumar, Rakesh - 2016

Persistent link: https://www.econbiz.de/10013002318

Volatility Forecasting and the Business Cycle : Evidence from the European Monetary Union

Schwake, Daniel - 2011

-cyclicity, stock price volatility is believed to demonstrate with respect to the state of the economy. It further tests whether such … interdependence is exploitable for volatility forecasting. The sound contribution of this paper is the extension of the in-sample to … ability of an GJR-GARCH-Model, of the implied and historical volatility, the prediction power of macroeconomic and financial …

Persistent link: https://www.econbiz.de/10013125603

Explaining Momentum Strategies Using Intrinsic Price Fluctuations

Baltas, Nick - 2012

This paper focuses on cross-sectional equity momentum patterns by modeling a stock's price path as the interaction between a long-term growth component and a number of fluctuating price components that oscillate around the long-term trend at various distinct frequencies. Using this...

Persistent link: https://www.econbiz.de/10013114193

A Monthly Stock Exchange Index for Ireland, 1864-1930

Grossman, Richard S. - 2013

Information on the performance of equities during the latter part of the globalized long nineteenth century is scarce, particularly for smaller European economies such as Ireland. Using a dataset of over 35,000 price-year observations from the Investor's Monthly Manual, this paper constructs new...

Persistent link: https://www.econbiz.de/10013075044

Fluctuations in Uncertainty

Bloom, Nicholas - 2014

This review article tries to answer four questions: (i) what are the stylized facts about uncertainty over time; (ii) why does uncertainty vary; (iii) do fluctuations in uncertainty matter; and (iv) did higher uncertainty worsen the Great Recession of 2007-2009? On the first question both macro...

Persistent link: https://www.econbiz.de/10013055639

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