We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...

This paper applies the GARCH-MIDAS (Mixed Data Sampling) model to examine whether information contained in macroeconomic variables can help to predict short-term and long-term components of the return variance. A principal component analysis is used to incorporate the information contained in...

We employ spatial econometrics techniques to investigate to what extentcountries’ economic and geographical relations affect their stock market comovements.We propose an econometric model that is particularly suitable for financial data, where common time trends prevail. In general, among the...

Current models for predicting volatility do not incorporate information flow and are solely based on historical volatilities. We suggest a method to quantify the semantic content of words in news articles about a company and use this as a predictor of its stock volatility. The results show that...

We employ spatial econometrics techniques to investigate to what extent countries’ economic and geographical relations affect their stock market co-movements. Among the relations that we analyze, bilateral trade proves to be best suited to capture co-variations in returns. We find a strong...

Current models for predicting volatility do not incorporate information flow and are solely based on historical volatilities. We suggest a method to quantify the semantic content of words in news articles about a company and use this as a predictor of its stock volatility. The results show that...

We explore the relation between institutional quality, trust and stock-market participation. In our theoretical model, agents update their beliefs in a Bayesian manner based on observations on frauds and choose whether to invest in the stock market. The corresponding empirical model shows that...

We investigate the long-run stock-bond correlation using a novel model that combines the dynamic conditional correlation model with the mixed-data sampling approach. The long-run correlation is affected by both macro-finance variables (historical and forecasts) and the lagged realized...

This article seeks to find factors that can account for the determinants of common variations in returns for a small open economy where the Swedish stock market serves as an example. The importance of the candidate factors is first analyzed by looking at the standard deviation of their mimicking...