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Time-series momentum : a Monte-Carlo approach
Cheng, Enoch; Struck, Clemens - 2019
This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …
Persistent link: https://www.econbiz.de/10011990919
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Yield curve momentum
Sihvonen, Markus - 2021
autocorrelation in bond risk premia and because unexpected bond return shocks increase the premium. Yield curve momentum is primarily …
Persistent link: https://www.econbiz.de/10012665285
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Regime shifts, risk premiums in the term structure, and the business cycle
Bansal, Ravi; Tauchen, George Eugene; Zhou, Hao - In: Journal of business & economic statistics : JBES ; a … 22 (2004) 4, pp. 396-409
Persistent link: https://www.econbiz.de/10002372889
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Regime-shifts, risk premiums in the term structure, and the business cycle
Bansal, Ravi; Tauchen, George Eugene; Zhou, Hao - 2003
Persistent link: https://www.econbiz.de/10001764084
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An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market
Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99
This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models. Results reveal the presence of ARCH effect in B2 and B3 equity returns. In addition, the estimated models could not find evidence of leverage effect. On evaluating the estimated...
Persistent link: https://www.econbiz.de/10011843494
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Time-Series and Cross-Section of Risk Premia Expectations : A Bottom-Up Approach
Bastianello, Federico - 2022
correlations with many model-based expected risk premium measures, and imply a larger discount rate channel than CFOs' and … square of the VIX index (VIX^2). Sell-side analysts' expected market risk premia forecasts are also able to predict realised … stock market risk premia. Using sell-side analysts’ excess return forecasts, CAPM and Fama-French multi-factor models fit …
Persistent link: https://www.econbiz.de/10013491683
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Time-frequency forecast of the equity premium
Faria, Gonçalo; Verona, Fabio - 2020
Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We...
Persistent link: https://www.econbiz.de/10012208225
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Specification analysis of international treasury yield curve factors
Pegoraro, Fulvio; Siegel, Andrew F.; Tiozzo 'Pezzoli, Luca - 2014
Persistent link: https://www.econbiz.de/10010438246
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Are shadow rate models of the Treasury yield curve structurally stable?
Kim, Don H.; Priebsch, Marcel A. - 2020
Persistent link: https://www.econbiz.de/10012389081
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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 …
Persistent link: https://www.econbiz.de/10012835834