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A latent dynamic factor approach to forecasting multivariate stock market volatility : conference paper

Gribisch, Bastian - 2013

This paper proposes a latent dynamic factor model for low- as well as high-dimensional realized covariance matrices of stock returns. The approach is based on the matrix logarithm and allows for flexible dynamic dependence patterns by combining common latent factors driven by HAR dynamics and...

Persistent link: https://www.econbiz.de/10010341025

The relation between overreaction in forecasts and uncertainty : a nonlinear approach ; conference paper

Leppin, Julian Sebastian - 2014 - This version: February 2014

This paper examines if overreaction of oil price forecasters is affected by uncertainty. Furthermore, it takes into account joint effects of uncertainty and oil price returns on forecast changes. The panel smooth transition regression model from Gonz alez et al. (2005) is applied with univariate...

Persistent link: https://www.econbiz.de/10010480543

Security market imperfections in worldwide equity markets

Keim, Donald B. (contributor); … - 2000

Persistent link: https://www.econbiz.de/10000968945

Identifying volatility signals from time-varying simultaneous stock market interaction : conference paper

Strohsal, Till; Weber, Enzo - 2013

In the academic literature, the economic interpretation of stock market volatility is inherently ambivalent, being … volatility-dependent cross-market spillovers. If higher volatility in one market leads to higher (lower) reactions in another … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

Persistent link: https://www.econbiz.de/10010339937

Volatility : risk and uncertainty in financial markets

Schwartz, Robert A. (contributor); … - 2011

Persistent link: https://www.econbiz.de/10008760187

Handbook of security analyst forecasting and asset allocation

Guerard, John Baynard (ed.); … - 1993

Persistent link: https://www.econbiz.de/10013382531

The value of the revolving door : political appointees and the stock market ; conference paper

Lüchinger, Simon; Moser, Christoph - 2014

We analyze stock market reactions to announcements of political appointments from the private sector and corporate appointments of former government officials. Using unique data on corporate affiliations and announcements of all Senate-confirmed U.S. Defense Department appointees of six...

Persistent link: https://www.econbiz.de/10010490694

Behavioral Finance and Asset Prices : The Influence of Investor's Emotions

Bourghelle, David (ed.); Grandin, Pascal (ed.); … - IEAP Meeting: Investor Emotions & Asset Pricing <1., … - 2023

Countries -- Chapter 2. Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Forecasting Experiment … levels of volatility. This volatility is too strong to be fully justified simply by changes in fundamentals. This volume …

Persistent link: https://www.econbiz.de/10014248040

Financial market history : reflections on the past for investors today

Chambers, David (ed.); Dimson, Elroy (ed.) - Financial Market History <Veranstaltung> <2015, Cambridge> - 2016

Persistent link: https://www.econbiz.de/10011750576

Contemporary trends and challenges in finance : proceedings from the 2nd Wroclaw International Conference in Finance

Jajuga, Krzysztof (ed.); Orłowski, Lucjan T. (ed.); … - Wrocław International Conference in Finance <2., 2016, … - 2017

Persistent link: https://www.econbiz.de/10011822847

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