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Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors
Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132
output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …
Persistent link: https://www.econbiz.de/10011555939
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Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
Fu, Man; Bidarkota, Prasad V. - In: Journal of Risk and Financial Management 4 (2011) 1, pp. 97-132
output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …
Persistent link: https://www.econbiz.de/10010699162
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A Study of Stock Market Fluctuations and their Relations to Business Conditions
Fu, Man - 2009
cointegration of stock prices with fundamentals and non-fundamentals. The output gap is introduced to form the non-fundamental part … of stock prices. I use a trivariate Vector Autoregression (TVAR) model and a single equation model to run cointegration … tests between these three variables. Neither of the cointegration tests shows strong evidence of explosive behavior in the …
Persistent link: https://www.econbiz.de/10009460476
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Stock market returns and GDP growth
Fichtner, Ferdinand; Joebges, Heike - 2024 - This version: 2023-10-06
The existing econometric evidence on the relationship between stock indices and real economic activity is inconclusive despite theoretical arguments suggesting a long-term relationship. Previous studies indicate that the link between stock prices and growth became weaker in the 1980s. In this...
Persistent link: https://www.econbiz.de/10014450571
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Stock market returns and GDP growth
Fichtner, Ferdinand; Joebges, Heike - 2024
The existing econometric evidence on the relationship between stock indices and real economic activity is inconclusive despite theoretical arguments suggesting a long-term relationship. Previous studies indicate that the link between stock prices and growth became weaker in the 1980s. In this...
Persistent link: https://www.econbiz.de/10014471551
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No-Arbitrage Near-Cointegrated Var(p) Term Structure Models, Term Premia and GDP Growth
Jardet, Caroline - 2011
The recent macro-finance yield curve literature does not agree neither about term premia empirical properties nor about the importance or even the direction of its relationship with future economic activity. This paper proposes a two-step approach to handle both problems. First, in a VAR...
Persistent link: https://www.econbiz.de/10013132933
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Periodically Collapsing Bubbles in Stock Prices Cointegrated with Broad Dividends and Macroeconomic Factors
Fu, Man - 2011
output gap shows evidence of cointegration in the DJIA and S&P 500 index data. Nonetheless, a sup augmented Dickey …
Persistent link: https://www.econbiz.de/10013119302
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Average crossing time: An alternative characterization of mean aversion and reversion
Donaldson, John B.; Mehra, Rajnish - In: Quantitative Economics 12 (2021) 3, pp. 903-944
This study compares and contrasts the multiple characterizations of mean reversion in financial time series as regards the restrictions they imply. This is accomplished by translating them into statements about an alternative measure, the "Average Crossing Time" or ACT. We argue that the ACT...
Persistent link: https://www.econbiz.de/10013189760
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Average Crossing Time : An Alternative Characterization of Mean Aversion and Reversion
Donaldson, John B. - 2019
We evaluate the properties of mean reversion and mean aversion in asset prices and returns as commonly characterized in the finance literature. The study is undertaken within a class of well-known dynamic stochastic general equilibrium models and shows that the mean reversion/aversion...
Persistent link: https://www.econbiz.de/10012894027
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Future of Finance Beyond 'Flash Boys' : Risk Modeling for Managing Uncertainty in an Increasingly Non-Deterministic Cyber World: Knight Reconsidered: Risk, Uncertainty, and Profit...
Malhotra, Yogesh - 2018
This presentation reconsiders Knight's Risk, Uncertainty, and Profit of 1921 in light of the emergence of the World Wide Web in early-1990s, Emanuel Derman's pioneering work in Model Risk Management at Goldman Sachs in mid-1990s, backlash against quantitative models in aftermath of the Global...
Persistent link: https://www.econbiz.de/10012937355