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Mean reversions in major developed stock markets : recent evidence from unit root, spectral and abnormal return studies
Nguyen, James; Li, Wei-Xuan; Chen, Clara Chia Sheng - In: Journal of risk and financial management : JRFM 15 (2022) 4, pp. 1-20
We revisited the issue of return predictability in three major developed markets (USA, UK and Japan) using a unique dataset from the Wharton Research Data Services database and a comprehensive set of traditional and recent statistical methods. We specifically employed a variety of traditional...
Persistent link: https://www.econbiz.de/10013272993
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - In: Journal of empirical finance 45 (2018), pp. 228-242
Persistent link: https://www.econbiz.de/10012102423
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Forecasting stock market returns by summing the frequency-decomposed parts
Faria, Gonçalo; Verona, Fabio - 2017
Persistent link: https://www.econbiz.de/10011817412
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A new method for dynamic stock clustering based on spectral analysis
Li, Zhaoyuan; Tian, Maozai - In: Computational economics 50 (2017) 3, pp. 373-392
Persistent link: https://www.econbiz.de/10011783319
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Analysing dynamic dependence between gold and stock returns : evidence using stochastic and full-range tail dependence copula models
Boako, Gideon; Tiwari, Aviral Kumar; Ibrahim, Muazu; … - In: Finance research letters 31 (2019), pp. 391-397
Persistent link: https://www.econbiz.de/10012421744
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A comparison of tail dependence estimators
Supper, Hendrik; Irresberger, Felix; Weiß, Gregor - In: European journal of operational research : EJOR 284 (2020) 2, pp. 728-742
Persistent link: https://www.econbiz.de/10012238789
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When does the stock market listen to economic news? : new evidence from copulas and news wires
Medovikov, Ivan - In: Journal of banking & finance 65 (2016), pp. 27-40
Persistent link: https://www.econbiz.de/10011634320
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Impact of nonstationarity on estimating and modeling empirical copulas of daily stock returns
Wollschläger, Marcel; Schäfer, Rudi - In: Journal of risk 19 (2016) 1, pp. 1-23
Persistent link: https://www.econbiz.de/10011579750
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On the dynamic dependence between equity markets, commodity futures and economic uncertainty indexes
Berger, Theo; Uddin, Mohammed Gazi Salah - In: Energy economics 56 (2016), pp. 374-383
Persistent link: https://www.econbiz.de/10011664267
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Dependence structure of volatility and illiquidity on Vienna and Warsaw stock exchanges
Gurgul, Henryk; Syrek, Robert - In: Finance a úvěr 69 (2019) 3, pp. 198-221
Persistent link: https://www.econbiz.de/10012137438