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Covariance Forecasting in Equity Markets

Symitsi, Efthymia - 2018

We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...

Persistent link: https://www.econbiz.de/10012915984

Gold, oil, and stocks

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

in specific correlation dynamics. A strong implication emerges: during the period under research, and from a different …

Persistent link: https://www.econbiz.de/10010407524

Correcting Microstructure Comovement Biases for Integrated Covariance

Yeh, Jin-Huei - 2010

Finding a precise variance-covariance matrix is the building block of empirical finance. While microstructure-noise-robust methods for realized volatility are in the mainstream of financial econometrics, little if any attention has been devoted to estimating a noise-free realized covariance for...

Persistent link: https://www.econbiz.de/10013138934

The stock-bond correlation

Czasonis, Megan; Kritzman, Mark; Turkington, David - 2020 - This version: April 27, 2020

Investors rely on the stock-bond correlation for a variety of tasks, such as forming optimal portfolios, designing … hedging strategies, and assessing risk. Most investors estimate the stock-bond correlation simply by extrapolating the … historical correlation of monthly returns and assume that this correlation best characterizes the correlation of future, annual …

Persistent link: https://www.econbiz.de/10012225162

Do stock markets react to soccer games? : a meta-regression analysis

Geyer-Klingeberg, Jerome; Hang, Markus; Walter, Matthias; … - In: Applied economics 50 (2018) 19, pp. 2171-2189

Persistent link: https://www.econbiz.de/10011850114

Evaluating asset pricing anomalies : evidence from Latin America

Berggrun, Luis; Cardona, Emilio; Lizarzaburu, Edmundo - In: Research in international business and finance 70 (2024) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10015056299

Langfristige Perspektiven von Anlagen in Sachwerten

Bräuninger, Michael; Stiller, Silvia; Vöpel, Henning - 2009

Die erheblichen Turbulenzen an den Finanzmärkten, die Talfahrten von Aktienkursen sowie die Veränderung der relativen Attraktivität unterschiedlicher Anlageformen beeinflussen die Investitionsentscheidungen von Anlegern. In der Studie untersucht das HWWI die Rentabilität von Investitionen in...

Persistent link: https://www.econbiz.de/10009156655

Langfristige Perspektiven von Anlagen in Sachwerten

Bräuninger, Michael - 2009

Persistent link: https://www.econbiz.de/10013444591

Dependency relations among international stock market indices

Sandoval Junior, Leonidas; Mullokandov, Asher; Kenett, … - In: Journal of risk and financial management : JRFM 8 (2015) 2, pp. 227-265

We develop networks of international stock market indices using information and correlation based measures. We use 83 … stock market indices of a diversity of countries, as well as their single day lagged values, to probe the correlation and … one day coincides to same day correlation between them. …

Persistent link: https://www.econbiz.de/10011545240

A study of the effect of macroeconomic variables on stock market : Saudi perspective

Samontaray, Durga Prasad; Nugali, Sultan; Sasidhar, Bokkasam - In: International journal of financial research 5 (2014) 4, pp. 120-127

Persistent link: https://www.econbiz.de/10010459123

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