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Time series analysis of the relationships among (macro) economic variables, the dividend yield and the price level of the S&P 500 Index

Serfling, Matthew A.; Miljkovic, Dragan - In: Applied financial economics 21 (2011) 13/15, pp. 1117-1134

Persistent link: https://www.econbiz.de/10009317431

Dynamic analysis between the US stock returns and the macroeconomic variables

Ratanapakorn, Orawan; Sharma, Subash C. - In: Applied financial economics 17 (2007) 4/6, pp. 369-377

Persistent link: https://www.econbiz.de/10003446037

Central Bank policies and stock returns : the US case

Giménez, Eduardo L.; Orozco, Pablo - In: Stock returns : cyclicity, prediction and economic …, (pp. 221-229). 2009

Persistent link: https://www.econbiz.de/10003945033

Predicting returns and volatility with macroeconomic variables : evidence from tests of encompassing

Sollis, Robert - In: Journal of forecasting 24 (2005) 3, pp. 221-231

Persistent link: https://www.econbiz.de/10002749178

The COVID-19 Pandemic and the Degree of Persistence of US Stock Prices and Bond Yields

Caporale, Guglielmo Maria; Gil-Alana, Luis A.; Poza, Carlos - 2021

This paper analyses the possible effects of the Covid-19 pandemic on the degree of persistence of US monthly stock prices and bond yields using fractional integration techniques. The model is estimated first over the period January 1966-December 2020 and then a recursive approach is taken to...

Persistent link: https://www.econbiz.de/10013235116