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Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations

R.T. Ferreira, Thiago - 2020

Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...

Persistent link: https://www.econbiz.de/10014115594

Stock market volatility and the business cycle

Hamilton, James D.; Lin, Gang - 1996

Persistent link: https://www.econbiz.de/10000937873

Effects of macroeconomic uncertainty upon the stock and bond markets

Asgharian, Hossein; Christiansen, Charlotte; Hou, Ai Jun - 2015

Persistent link: https://www.econbiz.de/10011517001

Information uncertainty and volatility in financial stock markets : commodity price fluctuations and business cycles

DeLarosiere, Jose J. Haspa; Nielsen, Soren - In: Value relevance of accounting information in capital markets, (pp. 207-219). 2017

Persistent link: https://www.econbiz.de/10011638138

Cross-sectional uncertainty and stock market volatility : new evidence

Lu, Fei; Ma, Feng - In: Finance research letters 57 (2023), pp. 1-7

Persistent link: https://www.econbiz.de/10014513322

The uncertainty of fluctuation correlations in global stock markets

Wang, Faming; Rong, Xueyun; Yin, Lei - In: Finance research letters 66 (2024), pp. 1-7

Persistent link: https://www.econbiz.de/10015061211

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

Analysis of stock markets risk spillover with copula models under the background of Chinese financial opening

Du, Jiangze; Chen, Xizhuo; Gong, Jincheng; Lin, Xiao; … - In: International journal of finance & economics : IJFE 28 (2023) 4, pp. 3997-4019

Persistent link: https://www.econbiz.de/10014429264

Futures-based measures of monetary policy and jump risk

Nkwoma, Inekwe John - In: Macroeconomic dynamics 21 (2017) 2, pp. 384-405

Persistent link: https://www.econbiz.de/10011686308

Asset price momentum and monetary policy : time-varying parameter estimation of Taylor Rules

Bhar, Ramaprasad; Malliaris, Anastasios G. - In: Applied economics 48 (2016) 55/57, pp. 5329-5339

Persistent link: https://www.econbiz.de/10011742064

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