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Macroeconomic news and market reaction : surprise indexes meet nowcasting
Caruso, Alberto - In: International journal of forecasting 35 (2019) 4, pp. 1725-1734
Persistent link: https://www.econbiz.de/10012305522
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Forecasting the equity risk premium in the Korean stock market : a factor analysis approach
Chun, Sungju - In: Global business and finance review 26 (2021) 4, pp. 77-89
Purpose: This article investigates stock return predictability in the Korean stock market using the methodology of dynamic factor analysis. Design/methodology/approach: This article collects monthly data on the equity risk premium on the KOSPI and twelve financial and macroeconomic variables...
Persistent link: https://www.econbiz.de/10013197293
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Asset prices and real economic activity : revisiting the international cases and the evidence from Japan
Tsuji, Chikashi - In: International business and finance issues, (pp. 103-132). 2007
Persistent link: https://www.econbiz.de/10003708898
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Forecasting GDP growth with financial market data in Finland : revisiting stylized facts in a small open economy during the financial crisis
Kuosmanen, Petri; Vataja, Juuso - In: Review of financial economics : RFE 23 (2014) 2, pp. 90-97
Persistent link: https://www.econbiz.de/10010442588
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Forecasting stock returns with large dimensional factor models
Giovannelli, Alessandro; Massacci, Daniele; Soccorsi, … - In: Journal of empirical finance 63 (2021), pp. 252-269
Persistent link: https://www.econbiz.de/10013259267
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Forecasting stock returns with large dimensional factor models
Giovannelli, Alessandro; Massacci, Daniele; Soccorsi, … - 2020
Persistent link: https://www.econbiz.de/10012299362
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Factor GARCH-Itô models for high-frequency data with application to large volatility matrix prediction
Kim, Donggyu; Fan, Jianqing - In: Journal of econometrics 208 (2019) 2, pp. 395-417
Persistent link: https://www.econbiz.de/10012145042
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Financial information and macroeconomic forecasts
Chen, Sophia; Rancière, Romain - In: International journal of forecasting 35 (2019) 3, pp. 1160-1174
Persistent link: https://www.econbiz.de/10012305242
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Forecasting real activity using cross-sectoral stock market information
Chatelais, Nicolas; Stalla-Bourdillon, Arthur; Chinn, … - In: Journal of international money and finance 131 (2023), pp. 1-20
Persistent link: https://www.econbiz.de/10014248856
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Forecasting equity index volatility by measuring the linkage among component stocks
Qiu, Yue; Xie, Tian; Yu, Jun; Zhou, Qiankun - In: Journal of financial econometrics 20 (2022) 1, pp. 160-186
Persistent link: https://www.econbiz.de/10012878191