We propose a new investor sentiment index that is aligned with the purpose of predicting the aggregate stock market. By eliminating a common noise component in sentiment proxies, the new index has much greater predictive power than existing sentiment indices both in- and out-of-sample, and the...

This document offers an overview of analytical properties of volatility control indices,including the statistical bias, comparing various volatility estimators and the impact of stochastic interest rates on long-dated volatility target indices

This article reviews the state of the art in real estate price indexing and, related to that, the current state of knowledge about real estate price dynamics, with a primary focus on investment property, income generating commercial properties. Such assets form a large component of the national...

In this paper, we propose a new approach to modelling a real estate price index in Morocco, based on the hedonic approach. The basic idea of ​​this paper is to verify the importance of the characteristics of the real estate in the real estate price. Thus, based on data from the three major...

In the first section, this paper describes the methods employed to calculate the first ever hedonic price index created in the Czech Republic using data from the country's biggest mortgage lenders. This section also presents the wider context of the creation of this index and its practical...

This paper tests the response of bond yield spreads and equity prices to credit rating changes in the Australian financial market. Unlike some earlier studies for foreign markets, we find evidence that both yield spreads and equity prices move in the ‘expected’ direction following rating...