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Local demand shocks, excess comovement and return predictability

Broman, Markus S. - In: Journal of banking & finance 119 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012521271

Effects of multiple financial news shocks on tourism demand volatility modelling and forecasting

Zhang, Yuruixian; Choo, Wei Chong; Yuhanis Abdul Aziz; … - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-47

economics and financial markets, the effects of combining multiple news shocks on the volatility of tourism demand have not yet … GJRGARCH-FFNSs model is the best model for Malaysian tourism demand volatility forecasting accuracy. Furthermore, KLCI and Gold … asymmetry impacts on tourism demand volatility. …

Persistent link: https://www.econbiz.de/10013369139

New evidence on the price and liquidity effects of the FTSE 100 index revisions

Mazouz, Khelifa; Saadouni, Bharim - In: International review of financial analysis 16 (2007) 3, pp. 223-241

Persistent link: https://www.econbiz.de/10003510451

A recursive modelling appoach to predicting UK stock returns

Pesaran, M. Hashem; Timmermann, Allan - 1996

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UK stock and government bond markets : firm size, predictability and the term structure

Fraser, Patricia - 1992

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International stock return predictability under model uncertainty

Schrimpf, Andreas (contributor) - 2008

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

Persistent link: https://www.econbiz.de/10003728591