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Asymmetry in Liquidity Pricing in the Cross-Section and Time Series of Corporate Bond Returns

Dienemann, Fabian - 2020

downside liquidity for corporate bonds. While the evidence of illiquidity on risk premium in the cross-section of corporate … bonds is mixed, the aggregate liquidity asymmetry has a high explanatory power for the time series of market returns. It is … statistically and economically more significant than the innovation in traditional roundtrip liquidity costs. Some evidence suggests …

Persistent link: https://www.econbiz.de/10012835834

Detecting contagion with correlation : volatility and timing matter

Dungey, Mardi H.; Yalama, Abdullah - 2010

Persistent link: https://www.econbiz.de/10009384425

A nonparametric test for granger causality in distribution with application to financial contagion

Candelon, Bertrand; Tokpavi, Sessi - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 240-253

Persistent link: https://www.econbiz.de/10011691324

Analyzing contagion effect in markets during financial crisis using stochastic autoregressive canonical vine model

Goel, Anubha; Mehra, Aparna - In: Computational economics 53 (2019) 3, pp. 921-950

Persistent link: https://www.econbiz.de/10012135103

Multivariate Score-Driven Models for Count Time Series To Assess Financial Contagion

Agosto, Arianna - 2022

This paper develops a multivariate model for count time series, in which the time-varying intensity parameter determining the probability that an event occurs evolves according to general autoregressive score (GAS) models (see Creal et al., 2013; Harvey, 2013).The model is particularly suitable to...

Persistent link: https://www.econbiz.de/10013406167

Spatial contagion between financial markets : new evidence of asymmetric measures

Miled, Wafa; Ftiti, Zied; Sahut, Jean-Michel - In: Risk management decisions and value under uncertainty, (pp. 1183-1220). 2022

Persistent link: https://www.econbiz.de/10013342100

Additional Evidence on Information Variables and Equity Premium Predictability

Chrétien, Stéphane - 2017

This paper presents the most comprehensive out-of-U.S.-sample examination of information variables and equity premium predictability by focusing on Canada to reassess the growing U.S.-based evidence casting doubt on predictability. Using monthly data for 36 variables from 1950 to 2013, we test...

Persistent link: https://www.econbiz.de/10012967389

The Forecast Dispersion Anomaly Revisted : Time-Series Forecast Dispersion and the Cross-Section of Stock Returns

Kim, Dongcheol - 2017

Previous studies use cross-sectional forecast dispersion in examining the relation between forecast dispersion and future stock returns and report an anomalous negative dispersion-return relation. This paper examines how time-series forecast dispersion is distinct in the relation to stock...

Persistent link: https://www.econbiz.de/10012972903

Short Interest Ratio and Equity Market Return : Causality and Impulse Response Functions

Sum, Vichet - 2015

This study examines the causal link between short interest ratio and equity market return and their respective impulse response functions. Based on the analysis of monthly data from 1931M6 to 2012M12, the results reveal that there is a causal link between NYSE short interest ratio and the...

Persistent link: https://www.econbiz.de/10013035005

Equity Premium Prediction by Sparse Pooling of Parsimonious State-Dependent Models

de Almeida, Daniel - 2018

A large set of macroeconomic variables have been suggested as equity risk premium predictors in the literature. This paper proposes a forecasting approach for the equity risk premium with two novel features. First, individual month-ahead forecasts are obtained from parsimonious threshold...

Persistent link: https://www.econbiz.de/10012913585