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Financial returns, sentiment and market volatility : a dynamic assessment

Borgioli, Stefano; Gallo, Giampiero M.; Ongari, Chiara - 2024

In 1936, John Maynard Keynes proposed that emotions and instincts are pivotal in decision-making, particularly for investors. Both positive and negative moods can influence judgments and decisions, extending to economic and financial choices. Intuitions, emotional states, and biases...

Persistent link: https://www.econbiz.de/10015179749

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012156426

Linear predictability vs. bull and bear market models in strategic asset allocation decisions : evidence from UK data

Guidolin, Massimo; Hyde, Stuart - 2012

Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that … simple but flexible Vector Autoregressive (VAR) models can be expanded to produce portfolio allocations that hedge against … simple Markov switching, by studying the effects of expanding both the order of the VAR and the number/selection of predictor …

Persistent link: https://www.econbiz.de/10009658243

Multivariate variance ratio statistics

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2014

from 1962 to 2013 in three subperiods. We find evidence of a reduction of linear predictability in the most recent period …

Persistent link: https://www.econbiz.de/10010365211

An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015

linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

Persistent link: https://www.econbiz.de/10010496122

Asymmetric volatility effects in risk management: an empirical analysis using a stock index futures

Benavides, Guillermo - 2020

-at-Risk (VaR) of a stock index futures portfolio for several time horizons. The relevance of the asymmetries in the estimated …

Persistent link: https://www.econbiz.de/10012292347

Revolutionizing finance with bitcoin and blockchain : a literature review and research agenda

Lu, Haitian; Wu, Hao - In: China Accounting and Finance Review 26 (2024) 4, pp. 413-430

Purpose Our analysis is targeted at researchers in the fields of economics and finance, and we place emphasis on the incremental contributions of each paper, key research questions, study methodology, main conclusions and data and identification tactics. By focusing on these critical areas, our...

Persistent link: https://www.econbiz.de/10015077482

Stock market valuation in the United States

Bisciari, Patrick; Durré, Alain; Nyssens, Alain - 2003

Persistent link: https://www.econbiz.de/10001828655

Long Memory Persistence in the Factor of Implied Volatility Dynamics

Härdle, Wolfgang - 2017

The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...

Persistent link: https://www.econbiz.de/10012966247