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Stock returns predictability with unstable predictors

Calonaci, Fabio; Kapetanios, George; Price, Simon - 2022

Persistent link: https://www.econbiz.de/10012878864

Predictability of return in Pakistan stock market through the application of the threshold quantile autoregressive models

Rasheed, Muhammad Haroon; Gul, Faid; Hashmi, Aijaz Mustafa - In: Iranian economic review : journal of University of Tehran 25 (2021) 4, pp. 815-828

Persistent link: https://www.econbiz.de/10012806683

Forecasting volatility via stock return, range, trading volume and spillover effects : the case of Brazil

Asai, Manabu; Brugal, Ivan - In: The North American journal of economics and finance : a … 25 (2013), pp. 202-213

Persistent link: https://www.econbiz.de/10009779296

A re-examination of the predictability of stock returns and cash flows via the decomposition of VIX

Yun, Jaeho - In: Economics letters 186 (2020), pp. 1-5

Persistent link: https://www.econbiz.de/10012500329

Global investigation of return autocorrelation and its determinants

Jain, Pawan; Xue, Wenjun - 2017

Persistent link: https://www.econbiz.de/10011714586

Cross-autocorrelations in European stock returns

Peiro, Amado - In: Economics and Business Letters : EBL 5 (2016) 1, pp. 30-37

This paper examines lead-lag relationships between monthly index returns from 18 European industries. Several interesting and clear relationships are found that call into question the efficiency of European stock markets. While the Automobiles & Parts sector lags more than half of the other...

Persistent link: https://www.econbiz.de/10011573194

Modeling stock market returns under self-exciting threshold autoregressive model : evidence from West Africa

Gyamfi, Emmanuel Numapau; Kyei, Kwabena A. - In: International journal of economics and financial issues … 6 (2016) 3, pp. 1194-1199

Persistent link: https://www.econbiz.de/10011698077

Inferring the predictability induced by a persistent regressor in a predictive threshold model

Gonzalo, Jesús; Pitarakis, Jean-Yves - In: Journal of business & economic statistics : JBES ; a … 35 (2017) 2, pp. 202-217

Persistent link: https://www.econbiz.de/10011704166

Tests for abnormal returns in the presence of event-induced cross-sectional correlation

Ahlgren, Niklas; Antell, Jan - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 286-301

Persistent link: https://www.econbiz.de/10011987446

Time-series momentum in nearly 100 years of stock returns

Lim, Bryan Y.; Wang, Jiaguo; Yao, Yaqiong - In: Journal of banking & finance 97 (2018), pp. 283-296

Persistent link: https://www.econbiz.de/10011968748

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