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subject:"Forecasting model"
subject:"United States"
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Forecasting model
United States
Estimation
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75
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International review of financial analysis
Working paper / National Bureau of Economic Research, Inc.
463
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388
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104
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97
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93
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ECONIS (ZBW)
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1
A new view of risk contagion by decomposition of dependence structure : Empirical analysis of Sino-US stock markets
Zheng, Yanting
;
Luan, Xin
;
Xin, Lu
;
Liu, Jiaming
- In:
International review of financial analysis
90
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014470629
Saved in:
2
Forecasting stock volatility with economic policy uncertainty : a smooth transition GARCH-MIDAS model
Li, Dongxin
;
Zhang, Li
;
Li, Lihong
- In:
International review of financial analysis
88
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471874
Saved in:
3
Have the predictability of oil changed during the COVID-19 pandemic : evidence from international stock markets
Ding, Hui
;
Huang, Yisu
;
Wang, Jiqian
- In:
International review of financial analysis
87
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014460444
Saved in:
4
A comprehensive investigation on the predictive power of economic policy uncertainty from non-U.S. countries for U.S. stock market returns
Huang, Yisu
;
Ma, Feng
;
Bouri, Elie
;
Huang, Dengshi
- In:
International review of financial analysis
87
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014460616
Saved in:
5
Good volatility, bad volatility, and the cross section of cryptocurrency returns
Zhang, Zehua
;
Zhao, Ran
- In:
International review of financial analysis
89
(
2023
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014464825
Saved in:
6
Forecasting European stock volatility : the role of the UK
Gao, Jun
;
Gao, Xiang
;
Gu, Chen
- In:
International review of financial analysis
89
(
2023
),
pp. 1-8
Persistent link: https://www.econbiz.de/10014464832
Saved in:
7
Predicting inflation expectations : a habit-based explanation under hedging
Dunbar, Kwamie
;
Owusu-Amoako, Johnson
- In:
International review of financial analysis
89
(
2023
),
pp. 1-18
Persistent link: https://www.econbiz.de/10014467052
Saved in:
8
Less is more? : new evidence from stock market volatility predictability
Lu, Fei
;
Ma, Feng
;
Guo, Qiang
- In:
International review of financial analysis
89
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014467087
Saved in:
9
Forecasting Value-at-Risk using functional volatility incorporating an exogenous effect
Pourkhanali, Armin
;
Tafakori, Laleh
;
Bee, Marco
- In:
International review of financial analysis
89
(
2023
),
pp. 1-15
Persistent link: https://www.econbiz.de/10014467094
Saved in:
10
Tracking investor gambling intensity
Zhu, Hongbing
;
Yang, Lihua
;
Xu, Changxin
- In:
International review of financial analysis
86
(
2023
),
pp. 1-24
Persistent link: https://www.econbiz.de/10014248291
Saved in:
11
On the right jump tail inferred from the VIX market
Li, Zhenxiong
;
Yao, Xingzhi
;
Izzeldin, Marwan
- In:
International review of financial analysis
86
(
2023
),
pp. 1-19
Persistent link: https://www.econbiz.de/10014248409
Saved in:
12
Climate transition risk in U.S. loan portfolios : are all banks the same?
Nguyen, Quyen
;
Diaz-Rainey, Ivan
;
Kuruppuarachchi, Duminda
- In:
International review of financial analysis
85
(
2023
),
pp. 1-39
Persistent link: https://www.econbiz.de/10014235027
Saved in:
13
Exploring the transmission mechanism of speculative and inventory arbitrage activity to commodity price volatility : novel evidence for the US economy
Yao, Wei
;
Alexiou, Constantinos
- In:
International review of financial analysis
80
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013366201
Saved in:
14
Investor sentiment and stock volatility : new evidence
Gong, Xue
;
Zhang, Weiguo
;
Wang, Junbo
;
Wang, Chao
- In:
International review of financial analysis
80
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013366314
Saved in:
15
What drives cross-market correlations during the United States Q.E.?
Pick Schen Yip
;
Brooks, Robert
;
Do, Hung Xuan
;
Xuan Vinh Vo
- In:
International review of financial analysis
83
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013460973
Saved in:
16
Forecasting stock-market tail risk and connectedness in advanced economies over a century : the role of gold-to-silver and gold-to-platinum price ratios
Salisu, Afees A.
;
Pierdzioch, Christian
;
Gupta, Rangan
; …
- In:
International review of financial analysis
83
(
2022
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013461648
Saved in:
17
Innovation links, information diffusion, and return predictability : evidence from China
Zeng, Kailin
;
Tang, Ting
;
Liu, Fangbiao
;
Mills, …
- In:
International review of financial analysis
83
(
2022
),
pp. 1-13
Persistent link: https://www.econbiz.de/10013454944
Saved in:
18
Are carry, momentum and value still there in currencies?
Hutchinson, Mark
;
Kyziropoulos, Panagiotis E.
;
O'Brien, John
- In:
International review of financial analysis
83
(
2022
),
pp. 1-11
Persistent link: https://www.econbiz.de/10013455045
Saved in:
19
A study of cross-industry return predictability in the Chinese stock market
Ellington, Michael
;
Stamatogiannis, Michalis P.
;
Zheng, …
- In:
International review of financial analysis
83
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013455047
Saved in:
20
A new method for measuring ceo overconfidence : evidence from acquisitions
Ismail, Ahmad
;
Mavis, Christos P.
- In:
International review of financial analysis
79
(
2022
),
pp. 1-19
Persistent link: https://www.econbiz.de/10013350010
Saved in:
21
Stock market return predictability : a combination forecast perspective
Lv, Wendai
;
Qi, Jipeng
- In:
International review of financial analysis
84
(
2022
),
pp. 1-8
Persistent link: https://www.econbiz.de/10013472792
Saved in:
22
Does investor sentiment predict bitcoin return and volatility? : a quantile regression approach
Dias, Ishanka K.
;
Fernando, J. M. Ruwani
;
Fernando, P. …
- In:
International review of financial analysis
84
(
2022
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013472880
Saved in:
23
Evaluating the performance of futures hedging using factors-driven realized volatility
Yu, Xing
;
Li, Yanyan
;
Gong, Xue
;
Zhang, Nan
- In:
International review of financial analysis
84
(
2022
),
pp. 1-14
Persistent link: https://www.econbiz.de/10013472972
Saved in:
24
Adjusted dividend-price ratios and stock return predictability : evidence from China
Yin, Libo
;
Nie, Jing
- In:
International review of financial analysis
73
(
2021
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012803441
Saved in:
25
Stock returns, quantile autocorrelation, and volatility forecasting
Zhao, Yixiu
;
Upreti, Vineet
;
Cai, Yuzhi
- In:
International review of financial analysis
73
(
2021
),
pp. 1-21
Persistent link: https://www.econbiz.de/10012803612
Saved in:
26
Predicting stock returns : a risk measurement perspective
Dai, Zhifeng
;
Kang, Jie
;
Wen, Fenghua
- In:
International review of financial analysis
74
(
2021
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012803806
Saved in:
27
Crude oil market and stock markets during the COVID-19 pandemic : evidence from the US, Japan, and Germany
Zhang, Wenting
;
Hamori, Shigeyuki
- In:
International review of financial analysis
74
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012803936
Saved in:
28
Forecasting crude oil volatility with geopolitical risk : do time-varying switching probabilities play a role?
Wang, Lu
;
Ma, Feng
;
Hao, Jianyang
;
Gao, Xinxin
- In:
International review of financial analysis
76
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10012804675
Saved in:
29
Predicting equity premium using news-based economic policy uncertainty : not all uncertainty changes are equally important
Nonejad, Nima
- In:
International review of financial analysis
77
(
2021
),
pp. 1-20
Persistent link: https://www.econbiz.de/10012805880
Saved in:
30
International stock return predictability
Smith, Simon C.
- In:
International review of financial analysis
78
(
2021
),
pp. 1-15
Persistent link: https://www.econbiz.de/10013255884
Saved in:
31
A comprehensive look at stock return predictability by oil prices using economic constraint approaches
Ma, Feng
;
Wang, Ruoxin
;
Lu, Xinjie
;
Wahab, M. I. M.
- In:
International review of financial analysis
78
(
2021
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013252647
Saved in:
32
Up or down? : short-term reversal, momentum, and liquidity effects in cryptocurrency markets
Zaremba, Adam
;
Bilgin, Mehmet Huseyin
;
Long, Huaigang
; …
- In:
International review of financial analysis
78
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10013253483
Saved in:
33
Commodity prices and GDP growth
Ge, Yiqing
;
Tang, Ke
- In:
International review of financial analysis
71
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012435803
Saved in:
34
Crude oil price volatility and equity return predictability : a comparative out-of-sample study
Nonejad, Nima
- In:
International review of financial analysis
71
(
2020
),
pp. 1-18
Persistent link: https://www.econbiz.de/10012436278
Saved in:
35
Predicting stock returns in the presence of COVID-19 pandemic : the role of health news
Salisu, Afees A.
;
Xuan Vinh Vo
- In:
International review of financial analysis
71
(
2020
),
pp. 1-10
Persistent link: https://www.econbiz.de/10012437031
Saved in:
36
Do measures of systemic risk predict U.S. corporate bond default rates?
Kanas, Angelos
;
Molyneux, Philip
- In:
International review of financial analysis
71
(
2020
),
pp. 1-14
Persistent link: https://www.econbiz.de/10012437165
Saved in:
37
Testing the predictive ability of house price bubbles for macroeconomic performance : a meta-analytic approach
Floro, Danvee
- In:
International review of financial analysis
62
(
2019
),
pp. 164-181
Persistent link: https://www.econbiz.de/10012207296
Saved in:
38
Economic constraints and stock return predictability : a new approach
Zhang, Yaojie
;
Wei, Yu
;
Ma, Feng
;
Yi, Yongsheng
- In:
International review of financial analysis
63
(
2019
),
pp. 1-9
Persistent link: https://www.econbiz.de/10012207360
Saved in:
39
Can investor sentiment predict the size premium?
Qadan, Mahmoud
;
Aharon, David Y.
- In:
International review of financial analysis
63
(
2019
),
pp. 10-26
Persistent link: https://www.econbiz.de/10012207362
Saved in:
40
Price range and the cross-section of expected country and industry returns
Zaremba, Adam
- In:
International review of financial analysis
64
(
2019
),
pp. 174-189
Persistent link: https://www.econbiz.de/10012208379
Saved in:
41
A structural break approach to analysing the impact of the QE portfolio balance channel on the US stock market
Shah, Imran
;
Schmidt-Fischer, Francesca
;
Malki, Issam
; …
- In:
International review of financial analysis
64
(
2019
),
pp. 204-220
Persistent link: https://www.econbiz.de/10012208386
Saved in:
42
Forecasting implied volatility risk indexes : international evidence using Hammerstein-ARX approach
Tissaoui, Kais
- In:
International review of financial analysis
64
(
2019
),
pp. 232-249
Persistent link: https://www.econbiz.de/10012208480
Saved in:
43
Modeling local trends with regime shifting models with time-varying probabilities
Focardi, Sergio M.
;
Fabozzi, Frank J.
;
Mazza, Davide
- In:
International review of financial analysis
66
(
2019
),
pp. 1-11
Persistent link: https://www.econbiz.de/10012208942
Saved in:
44
Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates
Bekiros, Stelios
;
Avdoulas, Christos
;
Hassapis, Christis
- In:
International review of financial analysis
55
(
2018
),
pp. 140-155
Persistent link: https://www.econbiz.de/10012006178
Saved in:
45
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
Saved in:
46
"Firm size matters : industry sector, firm age and volatility do too in determining which publicly-listed US firms pay a dividend"
Brawn, Derek A.
;
Šević, Aleksandar
- In:
International review of financial analysis
58
(
2018
),
pp. 132-152
Persistent link: https://www.econbiz.de/10012006426
Saved in:
47
Déjà vol oil? : predicting S&P 500 equity premium using crude oil price volatility : evidence from old and recent time-series data
Nonejad, Nima
- In:
International review of financial analysis
58
(
2018
),
pp. 260-270
Persistent link: https://www.econbiz.de/10012006463
Saved in:
48
FX technical trading rules can be profitable sometimes!
Zarrabi, Nima
;
Snaith, Stuart
;
Coakley, Jerry
- In:
International review of financial analysis
49
(
2017
),
pp. 113-127
Persistent link: https://www.econbiz.de/10011741268
Saved in:
49
Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rate : inter-day versus intra-day data
Degiannakis, Stavros
;
Potamia, Artemis
- In:
International review of financial analysis
49
(
2017
),
pp. 176-190
Persistent link: https://www.econbiz.de/10011741290
Saved in:
50
Gaussian estimation and forecasting of the U.K. yield curve with multi-factor continuous-time models
Tunaru, Diana
- In:
International review of financial analysis
52
(
2017
),
pp. 119-129
Persistent link: https://www.econbiz.de/10011868716
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