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Empirical Analysis of the Causality between Indian and U.S. Stock Markets’ Conditional Volatility : Further Evidence

Kumar, Rakesh - 2016

This paper is an attempt to investigate the dynamic relationship between U.S. and Indian stock markets through the conditional volatility of two stock markets, during the 1995-2007 period, using the monthly data of BSE listed BSE 100 and NYSE listed S & P 500 indices. The research methodology...

Persistent link: https://www.econbiz.de/10013002313

Time-varying risk premium in large cross-sectional equidity datasets

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2011

We develop an econometric methodology to infer the path of risk premia from large unbalanced panel of individual stock returns. We estimate the time-varying risk premia implied by conditional linear asset pricing models where the conditioning includes instruments common to all assets and asset...

Persistent link: https://www.econbiz.de/10009313026

Credit Risk and Market Risk : Analyzing U.S. Credit Spreads

Gatfaoui, Hayette - 2009

We disentangle U.S. credit spreads' evolution into two distinct parts resulting from market risk and default risk influences. We consider credit spreads (versus Treasury yields) as a credit risk proxy and S&P500 stock index as a market/systematic risk proxy. Such data allow for achieving a...

Persistent link: https://www.econbiz.de/10013159814

On the network topology of variance decompositions : measuring the connectedness of financial firms

Diebold, Francis X.; Yılmaz, Kamil - 2011

We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...

Persistent link: https://www.econbiz.de/10009310942

Testing CAPM with a large number of assets

Pesaran, M. Hashem; Yamagata, Takashi - 2012

This paper is concerned with testing the time series implications of the capital asset pricing model (CAPM) due to … evidence against Sharpe-Lintner CAPM is found mainly during the recent financial crisis. Furthermore, a strong negative … during episodes of market inefficiencies. -- CAPM ; testing for alpha ; market efficiency ; long/short equity returns ; large …

Persistent link: https://www.econbiz.de/10009535779

Multiple tests for the performance of different investment strategies

Frahm, Gabriel; Wickern, Tobias; Wiechers, Christof - 2010

In the context of modern portfolio theory, we compare the out-of-sample performance of 8 investment strategies which are based on statistical methods with the out-of-sample performance of a family of trivial strategies. A wide range of approaches is considered in this work, including the...

Persistent link: https://www.econbiz.de/10008939375

Tail-dependence in stock-return pairs

Fortin, Ines; Kuzmics, Christoph - 2002

The empirical joint distribution of return-pairs on stock indices displays high tail-dependence in the lower tail and low tail-dependence in the upper tail. The presence of tail-dependence is not compatible with the assumption of (conditional) joint normality. The presence of asymmetric-tail...

Persistent link: https://www.econbiz.de/10009725481

Firm Ratings, Momentum Investing Strategy, and Market Crisis : Evidence from US and Taiwan Markets

Lee, Nicholas Rueilin - 2009

This paper considers a link between momentum profitability and firm ratings. Credit risks for naïve momentum strategies present a U-shaped pattern across momentum portfolios. Due to firms ratings containing valuable information and predicting the cross-sectional stock returns, firm ratings...

Persistent link: https://www.econbiz.de/10013156905

Return, volatility and risk spillover from oil prices and the US dollar exchange rate to the Indian industrial sectors

Kumar, Dilip; Maheswaran, S. - In: Margin: the journal of applied economic research 7 (2013) 1, pp. 61-91

Persistent link: https://www.econbiz.de/10009738171

Estimation of the ex ante distribution of returns for a portfolio of U.S. treasury securities via deep learning

Foresti, Andrea - 2019

This paper presents different deep neural network architectures designed to forecast the distribution of returns on a portfolio of U.S. Treasury securities. A long short-term memory model and a convolutional neural network are tested as the main building blocks of each architecture. The models...

Persistent link: https://www.econbiz.de/10012008287

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