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Explaining the Variance of Price Dividend Ratios

Cochrane, John H. - 1989

This paper presents a bound on the variance of the price-dividend ratio and a decomposition of the variance of the price-dividend ratio into components that reflect variation in expected future discount rates and variation in expected future dividend growth. Unobserved discount rates needed to...

Persistent link: https://www.econbiz.de/10012475884

Forecasting stock volatility using pseudo-out-of-sample information

Li, Xiaodan; Gong, Xue; Ge, Futing; Huang, Jingjing - In: International review of economics & finance : IREF 90 (2024), pp. 123-135

Persistent link: https://www.econbiz.de/10014446892

Testing the long-memory features in return and volatility of NSE index

Ahamed, Naseem; Kalita, Mamoni; Tiwari, Aviral Kumar - In: Theoretical economics letters 5 (2015) 3, pp. 431-440

Persistent link: https://www.econbiz.de/10011396558

An empirical investigation of the Fama-French five-factor model

Paliienko, Oleksandr; Naumenkova, Svitlana; Mishchenko, … - In: Investment management and financial innovations 17 (2020) 1, pp. 143-155

Persistent link: https://www.econbiz.de/10012300519

A quantile regression approach and nonlinear analysis with Archimedean copulas to explain the movements of residential real estate prices

Almeshal, Khalid; Naifar, Nader - In: Afro-Asian Journal of Finance and Accounting : AAJFA 6 (2016) 4, pp. 374-395

Persistent link: https://www.econbiz.de/10011719674

Predicting stock market volatility using MODWT with HyFIS and FS.HGD models

Alenezy, Abdullah H.; Mohd Tahir Ismail; Sadam Al-Wadi; … - In: Risks : open access journal 11 (2023) 7, pp. 1-16

We enhance the precision of predicting daily stock market price volatility using the maximum overlapping discrete …

Persistent link: https://www.econbiz.de/10014335933

Modeling price dynamics and risk forecasting in Tehran stock exchange : conditional variance heteroscedasticity hidden Markov models

Nilchi, Moslem; Farid, Daryush; Peymany, Moslem; … - In: Iranian journal of finance 7 (2023) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10014429053

The speed of convergence to market efficiency on NASDAQ hedging stocks

Huang, Han-Ching; Su, Yong-chern; Yang, Ming-yu - In: Investment management and financial innovations 10 (2013) 2, pp. 84-92

Persistent link: https://www.econbiz.de/10010201089

When the US stock market becomes extreme?

Aboura, Sofiane - In: Risks : open access journal 2 (2014) 2, pp. 211-225

real estate bubble burst, credit crunch and banking panics. As a response, extreme value theory (EVT) provides a set of …

Persistent link: https://www.econbiz.de/10010399734

Asymmetric connectedness of stocks : how does bad and good volatility spill over the US stock market?

Barunik, Jozef; Kočenda, Evžen; Vácha, Lukáš - 2014

Asymmetries in volatility spillovers are highly relevant to risk valuation and portfolio diversification strategies in … volatility may spill over at different magnitudes. This paper fills this gap with two contributions. One, we suggest how to … quantify asymmetries in volatility spillovers due to bad and good volatility. Two, using high frequency data covering most …

Persistent link: https://www.econbiz.de/10010407529