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A moving average heterogeneous autoregressive model for forecasting the realized volatility of the US stock market : evidence from over a century of data
Salisu, Afees A.; Gupta, Rangan; Ogbonna, Ahamuefula E. - In: International journal of finance & economics : IJFE 27 (2022) 1, pp. 384-400
Persistent link: https://www.econbiz.de/10012814585
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Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? : new evidence
Wang, Jiqian; Huang, Yisu; Ma, Feng; Chevallier, Julien - In: Energy economics 91 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012518664
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Risk spillover between the US and the remaining G7 stock markets using time-varying copulas with Markov switching : evidence from over a century of data
Ji, Qiang; Liu, Bing-Yue; Cuñado Eizaguirre, Juncal; … - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012658792
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What affects the relationship between oil prices and the U.S. stock market? : a mixed-data sampling copula approach
Gong, Yuting; Bu, Ruijun; Chen, Qiang - In: Journal of financial econometrics 20 (2022) 2, pp. 253-277
Persistent link: https://www.econbiz.de/10013187978
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Asymmetric adjustment and smooth breaks in dividend yields : evidence from international stock markets
Chen, Shyh-Wei; Xie, Zixiong - In: International review of economics & finance : IREF 48 (2017), pp. 339-354
Persistent link: https://www.econbiz.de/10011747311
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Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model
Delle Monache, Davide - 2020
estimation of the state vector and of the time-varying parameters. We use this method to study the time-varying relationship … between the price dividend ratio, expected stock returns and expected dividend growth in the US since 1880. We find a … significant increase in the long-run equilibrium value of the price dividend ratio over time, associated with a fall in the long …
Persistent link: https://www.econbiz.de/10012842441
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Testing the long-memory features in return and volatility of NSE index
Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440
Persistent link: https://www.econbiz.de/10011396558
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A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices
Almeshal, Khalid; Naifar, Nader - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 4, pp. 374-395
Persistent link: https://www.econbiz.de/10011719674
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Volatility nexus between Stock Market and macroeconomic variables in Bangladesh : an extended GARCH approach
Hasan, Md. Abu; Zaman, Anita - In: Scientific Annals of Economics and Business 64 (2017) 2, pp. 233-243
Persistent link: https://www.econbiz.de/10011865998
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Fractional integration and asymmetric volatility in European, American and Asian bull and bear markets : application to high-frequency stock data
Yaya, OlaOluwa S.; Gil-Alaña, Luis A.; Shittu, … - In: International journal of finance & economics : IJFE 20 (2015) 3, pp. 276-290
Persistent link: https://www.econbiz.de/10011348408