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Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

Can average skewness really predict financial returns? : the euro area case

Annaert, Jan; De Ceuster, Marc J.; Cappellen, Jef van - In: Finance research letters 52 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014472219

Non-linear predictability of stock market returns : comparative evidence from Japan and the US

Humpe, Andreas; Macmillan, Peter - In: Investment management and financial innovations 11 (2014) 4, pp. 36-48

Persistent link: https://www.econbiz.de/10010514142

Predicting stock returns and volatility using consumption-aggregate wealth ratios : a nonlinear approach

Bekiros, Stelios; Gupta, Rangan - In: Economics letters 131 (2015), pp. 83-85

Persistent link: https://www.econbiz.de/10011422667

Nonlinearities in stock return prediction : evidence from South Africa

Hodnett, Kathleen; Hsieh, Heng-hsing; Van Rensburg, Paul - In: The journal of applied business research 28 (2012) 6, pp. 1253-1273

Persistent link: https://www.econbiz.de/10009687872

Heteroeneous forecasters and nonlinear expectation formation in US stock market

Pierdzioch, Christian; Reitz, Stefan; Ruelke, Jan-Christoph - 2015

We use a Panel Smooth Transition Regression (STR) model to study nonlinearities in the expectationformation process in the US stock market. To this end, we use data from the Livingston survey to investigate how the importance of regressive and extrapolative expectations fluctuates over time as...

Persistent link: https://www.econbiz.de/10010479018