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Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models

Xue, Wen-Jun; Zhang, Li-Wen - In: Economic modelling 60 (2017), pp. 391-401

Persistent link: https://www.econbiz.de/10011734259

Does the predictive power of variable moving average rules vanish over time and can we explain such tendencies?

Strobel, Marcus; Auer, Benjamin R. - In: International review of economics & finance : IREF 53 (2018), pp. 168-184

Persistent link: https://www.econbiz.de/10011791732

Stock return autocorrelations and predictability in the Chinese stock market : evidence from threshold quantile autoregressive models

Xue, Wen-Jun; Zhang, Li-Wen - 2016

Persistent link: https://www.econbiz.de/10011617906

Seasonalities in the German stock market

Hofmann, Daniel; Keiber, Karl Ludwig - In: Financial markets and portfolio management 35 (2021) 2, pp. 151-192

Persistent link: https://www.econbiz.de/10012588317

Stock return predictability : evaluation based on interval forecasts

Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: Bulletin of economic research 74 (2022) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10013188680

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

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

Predicting Momentum

Ma, Siyuan - 2022

This paper examines to what extent the momentum spread ratio (MSR) can predict momentum profits. The momentum spread ratio as a potential proxy of investor underreaction can significantly predict the momentum, industry momentum, and residual momentum, especially after 1994, suggesting that...

Persistent link: https://www.econbiz.de/10013404733

Predicting stock realized variance based on an asymmetric robust regression approach

Zhang, Yaojie; He, Mengxi; Zhao, Yuqi; Hao, Xianfeng - In: Bulletin of economic research 75 (2023) 4, pp. 1022-1047

Persistent link: https://www.econbiz.de/10014435626

Discovering the drivers of stock market volatility in a data-rich world

Chun, Dohyun; Cho, Hoon; Ryu, Doojin - In: Journal of international financial markets, … 82 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014245870

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