Similar Search Results

Calendar cycles, infrequent decisions and the cross-section of stock returns

Jagannathan, Ravi; Takehara, Hitoshi; Wang, Yong - 2007

Persistent link: https://www.econbiz.de/10003681335

International stock return predictability : statistical evidence and economic significance

Giot, Pierre (contributor); Petitjean, Mikael (contributor) - 2006

Persistent link: https://www.econbiz.de/10003386818

The impact of news on higher moments

Jondeau, Eric (contributor); Rockinger, Michael (contributor) - 2006

In this paper, we extend the concept of News Impact Curve developed by Engle and Ng (1993) to the higher moments of the multivariate returns' distribution, thereby providing a tool to investigate the impact of shocks on the characteristics of the subsequent distribution. For this purpose, we...

Persistent link: https://www.econbiz.de/10003394353

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, M. Hashem - 2010

Persistent link: https://www.econbiz.de/10003981032

A duration hidden Markov model for the identification of regimes in stock market returns

Ntantamis, Christos - 2010

Persistent link: https://www.econbiz.de/10008651655

Dependence of stock returns in bull and bear markets

Dobrić, Jadran; Frahm, Gabriel; Schmid, Friedrich - 2007

Pearson's correlation coefficient is typically used for measuring the dependence structure of stock returns. Nevertheless, it has many shortcomings often documented in the literature. We suggest to use a conditional version of Spearman's rho as an alternative dependence measure. Our approach is...

Persistent link: https://www.econbiz.de/10003875336

On the sources of U.S. stock market comovement

Weber, Enzo - 2010

Persistent link: https://www.econbiz.de/10003943740

Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

Modelling of conditional volatilities and correlations across asset returns is an integral part of portfolio decision making and risk management. Over the past three decades there has been a trend towards increased asset return correlations across markets, a trend which has been accentuated...

Persistent link: https://www.econbiz.de/10003965868

Size, value and liquidity : do they really matter on an emerging stock market?

Lischewski, Judith; Voronkova, Svitlana - 2010

Schwellenländern erklären. Sie fokussiert auf den polnischen Aktienmarkt, der bisher in diesem Forschungsbereich nicht berücksichtigt …, Unternehmensgröße und Buch-zu-Marktwert analysieren wir daher, inwiefern Liquidität bei der Preisbildung auf dem polnischen Aktienmarkt … Aktienmarkt relevant sind. Im Gegensatz zu den Erwartungen bezüglich des Einflusses des Liquiditätsfaktors finden wir keinen …

Persistent link: https://www.econbiz.de/10008660508

The influence of environmental performance on stock returns : an empirical investigation in the German stock market

Locarek-Junge, Hermann; Loßagk, Sven; Mihm, Max - 2011

Persistent link: https://www.econbiz.de/10009230670