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A regime-switching model of stock returns with momentum and mean reversion

Giner, Javier; Zakamulin, Valeriy - In: Economic modelling 122 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014388630

Forecasting stock return volatility : realized volatility-type or duration-based estimators

Fei, Tianlun; Liu, Xiaoquan; Wen, Conghua - In: Journal of forecasting 42 (2023) 7, pp. 1594-1621

Persistent link: https://www.econbiz.de/10014432725

Forecasting volatility of commodity, currency, and stock markets : evidence from Markov switching multifractal models

Liu, Ruipeng; Segnon, Mawuli; Cepni, Oguzhan; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014448138

Suisse stock return, macro factors, and efficient market hypothesis : evidence from ARDL model

Neifar, Malika - In: Research in business and management 9 (2022) 1, pp. 21-42

Persistent link: https://www.econbiz.de/10013532219

Stock Return Predictability in Frequency Domain

Kang, Jie; Jiang, Fuwei; Dai, Zhifeng - 2023

Using the long-term wavelet component of monthly S&P500 excess returns as supervision information, we employ a partial least squares method to extract the common predictive information of 14 prevalent macroeconomic variables, and construct a new macroeconomic index aligned for predicting stock...

Persistent link: https://www.econbiz.de/10014257499