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Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash

Pesaran, Bahram; Pesaran, M. Hashem - 2010

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

Persistent link: https://www.econbiz.de/10003965868

Conditional Volatility and Correlations of Weekly Returns and the VaR Analysis of 2008 Stock Market Crash

Pesaran, Bahram - 2013

Persistent link: https://www.econbiz.de/10013094817

Are securitized real estate returns more predictable than stock returns?

Serrano, Camilo; Hoesli, Martin - 2008

This paper examines whether the predictability of securitized real estate returns differs from that of stock returns. It also provides a cross-country comparison of securitized real estate return predictability. In contrast to most of the literature on this issue, the analysis is not based on a...

Persistent link: https://www.econbiz.de/10003962134

Forecasting Cryptocurrency Returns

Chakraborty, Nilanjana - 2023

This paper studies two cryptocurrencies and finds that their prices can be estimated or forecasted better than their returns because returns being ratios of prices, do not always exhibit the economic relationship that may exist between two price series. However, average returns use multiple...

Persistent link: https://www.econbiz.de/10014350724

Can the Global Economy Activity Predict Cryptocurrency Returns

Cheng, Hui-Pei - 2020

We investigate whether the global economic activity (GEA) index provided by Kilian (2009) can predict the dynamics of the cryptocurrency. First, we find that the lagged two-month GEA index can predict positively the cryptocurrency monthly returns, especially for Bitcoin. It implies that the...

Persistent link: https://www.econbiz.de/10012846727

Stock Return Predictability and Market Integration : The Role of Global and Local Information

McMillan, David G. - 2015

participants who aim to time the market and engage in portfolio and risk management. Third, to those (policy makers and others) who …

Persistent link: https://www.econbiz.de/10013011775

Dividend Yields, Dividend Growth, and Return Predictability in the Cross-Section of Stocks

Maio, Paulo F. - 2015

There is a generalized conviction that variation in dividend yields is exclusively related to expected returns and not to expected dividend growth - e.g. Cochrane's presidential address (Cochrane (2011)). We show that this pattern, although valid for the aggregate stock market, is not true for...

Persistent link: https://www.econbiz.de/10013036406

Forecasting Stock Returns : Do Commodity Prices Help?

Black, Angela J. - 2014

This paper examines the relationship between stock prices and commodity prices and whether this can be used to forecast stock returns. As both prices are linked to expected future economic performance they should exhibit a long-run relationship. Moreover, changes in sentiment towards commodity...

Persistent link: https://www.econbiz.de/10013050821

Predicting Asset Returns in Developed and Emerging Markets

Sharma, Ankit - 2012

This paper investigates the predictability of asset prices among developed and emerging markets. Weekly and monthly stock market indices from developed and emerging market economies are analysed to check the validity of weak-form of Efficient Market Hypothesis (EMH) using various empirical...

Persistent link: https://www.econbiz.de/10013101494

Modelling and Forecasting Noisy Realized Volatility

Asai, Manabu - 2009

Several methods have recently been proposed in the ultra high frequency financial literature to remove the effects of microstructure noise and to obtain consistent estimates of the integrated volatility (IV) as a measure of ex-post daily volatility. Even bias-corrected and consistent (modified)...

Persistent link: https://www.econbiz.de/10013156240