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The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

, including determinants of market and idiosyncratic volatilities. Flexibility in the time varying level of mean reversion …

Persistent link: https://www.econbiz.de/10003821063

Dividend momentum and stock return predictability : a Bayesian approach

Antolín-Díaz, Juan; Petrella, Ivan; Rubio-Ramírez, … - 2021

A long tradition in macro finance studies the joint dynamics of aggregate stock returns and dividends using vector autoregressions (VARs), imposing the cross-equation restrictions implied by the Campbell-Shiller (CS) identity to sharpen inference. We take a Bayesian perspective and develop...

Persistent link: https://www.econbiz.de/10012663774

Are REITs real estate? : evidence from international sector level data

Hoesli, Martin; Oikarinen, Elias - 2012

The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns using international data for the U.S., U.K., and Australia. In contrast to previous research, which has generally relied on overall real estate market...

Persistent link: https://www.econbiz.de/10009558452

Price discovery in tick time

Frijns, Bart; Schotman, Peter C. - In: Journal of empirical finance 16 (2009) 5, pp. 759-776

Persistent link: https://www.econbiz.de/10003900405

Time and the price impact of a trade : a structural approach

Grammig, Joachim; Theissen, Erik; Wünsche, Oliver - 2011

We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread …

Persistent link: https://www.econbiz.de/10008856379

Generalized dynamic factor model + GARCH exploiting multivariate information for univariate prediction

Alessi, Lucia (contributor); Barigozzi, Matteo (contributor) - 2007

We propose a new model for volatility forecasting which combines the Generalized Dynamic Factor Model (GDFM) and the GARCH model. The GDFM, applied to a large number of series, captures the multivariate information and disentangles the common and the idiosyncratic part of each series of returns....

Persistent link: https://www.econbiz.de/10003321460

Time variation in asset price response to macro announcements

Goldberg, Linda S.; Grisse, Christian - 2013

unlikely to be stable. This paper documents the time variation in the responses of yield curves and exchange rates using high …-frequency data from January 2000 through August 2011. Significant time variation in news effects is present for those announcements … that have the largest effects on asset prices. The time variation in effects is explained by economic conditions, including …

Persistent link: https://www.econbiz.de/10009787494