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What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?
Ma, Jun; Vivian, Andrew; Wohar, Mark E. - In: Oxford Bulletin of Economics and Statistics 82 (2019) 2, pp. 311-330
Persistent link: https://www.econbiz.de/10012095530
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Is there a national housing market bubble brewing in the United States?
Gupta, Rangan; Ma, Jun; Theodoridis, Konstantinos; … - 2020
We use a time-varying parameter dynamic factor model with stochastic volatility (DFM-TV-SV) estimated using Bayesian methods to disentangle the relative importance of the common component in FHFA house price movements from state-specific shocks, over the quarterly period of 1975Q2 to 2017Q4. We...
Persistent link: https://www.econbiz.de/10012875998
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Global factors and equity market valuations : Do country characteristics matter?
Ma, Jun; Vivian, Andrew; Wohar, Mark E. - In: International Journal of Finance & Economics 23 (2018) 4, pp. 427-441
Persistent link: https://www.econbiz.de/10012082633
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Determining what drives stock returns : proper inference is crucial ; evidence from the UK
Ma, Jun; Wohar, Mark E. - In: International review of economics & finance : IREF 33 (2014), pp. 371-390
Persistent link: https://www.econbiz.de/10010532715
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A Bayesian analysis of weak identification in stock price decompositions
Balke, Nathan S.; Ma, Jun; Wohar, Mark E. - In: Macroeconomic dynamics 19 (2015) 4, pp. 728-752
Persistent link: https://www.econbiz.de/10011309216
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The contribution of economic fundamentals to movements in exchange rates
Balke, Nathan S.; Ma, Jun; Wohar, Mark E. - In: Journal of international economics 90 (2013) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10009751223
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An unobserved components model that yields business and medium-run cycles
Ma, Jun; Wohar, Mark E. - In: Journal of money, credit and banking : JMCB 45 (2013) 7, pp. 1351-1373
Persistent link: https://www.econbiz.de/10010197461
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Expected returns and expected dividend growth : time to rethink an established empirical literature
Ma, Jun; Wohar, Mark E. - In: Applied economics 46 (2014) 19/21, pp. 2462-2476
Persistent link: https://www.econbiz.de/10010417214
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Stock return and inflation : an analysis based on the state-space framework
Levant, Jared; Ma, Jun; Wohar, Mark E. - In: Recent advances in estimating nonlinear models : with …, (pp. 1-13). 2014
Persistent link: https://www.econbiz.de/10011406755
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Recent advances in estimating nonlinear models : with applications in economics and finance
Ma, Jun (contributor); Wohar, Mark E. (contributor) - 2014
Persistent link: https://www.econbiz.de/10011385393