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Conditional equity risk premia and realized variance jump risk

Wang, Zhanglong; Wang, Kent; Pan, Zheyao - In: Australian journal of management 40 (2015) 2, pp. 295-317

Persistent link: https://www.econbiz.de/10011342801

Market sentiment and paradigm shifts

Chu, Liya; He, Xue-zhong; Li, Kai; Tu, Jun - 2015

Persistent link: https://www.econbiz.de/10011344305

Feasible earnings momentum in the U.S. stock market : an investor's perspective

Krauss, Christopher; Beerstecher, Daniel; Krüger, Tom - 2015

This paper examines earnings momentum strategies in the U.S. stock universe from an investor's perspective. Specifically, we use the software Stock Investor Pro from the American Association of Individual Investors (AAII) to obtain the composition of the U.S. stock universe from 2005-2015 on a...

Persistent link: https://www.econbiz.de/10011346692

Can we trust financial analysts? : reliability of stock recommendations and firm-specific characteristics

Santosuosso, Pierluigi - In: International journal of economics and finance 7 (2015) 9, pp. 313-321

Persistent link: https://www.econbiz.de/10011347203

Nonparametric predictive regression

Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494

Persistent link: https://www.econbiz.de/10011348962

Implied idiosyncratic volatility and stock return predictability

Mateus, Cesario; Konsilp, Worawuth - In: Journal of mathematical finance 4 (2014) 5, pp. 338-352

Persistent link: https://www.econbiz.de/10011312407

Time-variation in the impact of news sentiment

Smales, Lee A. - In: International review of financial analysis 37 (2015), pp. 40-50

Persistent link: https://www.econbiz.de/10011316615

Cross-section stock return and implied covariance between jump and diffusive volatility

Ze-To, Samuel Yau Man - In: Journal of forecasting 34 (2015) 5, pp. 379-390

Persistent link: https://www.econbiz.de/10011318319

On the modeling of financial time series

Kutergin, Aleksey; Filimonov, Vladimir - In: Financial econometrics and empirical market microstructure, (pp. 131-151). 2015

Persistent link: https://www.econbiz.de/10011326692

Stock index volatility forecasting with high frequency data

Hol Uspensky, Eugenie; Koopman, Siem Jan - 2002

The increasing availability of financial market data at intraday frequencies has not only led to the development of improved ex-post volatility measurements but has also inspired research into their potential value as an informa-tion source for longer horizon volatility forecasts. In this paper...

Persistent link: https://www.econbiz.de/10011326944