Search Results - subject:"Multi factor models"

The impact of inflation on the U.S. stock market after the COVID-19 pandemic

Thorbecke, Willem - 2025

Inflation remained quiescent for several decades and then surged in 2021 and 2022. Inflation subsequently fell in 2023 and 2024. This paper investigates how the rise and fall in inflation after 2019 affected the U.S. stock market. To do this, it estimates a fully specified multi-factor model...

Persistent link: https://www.econbiz.de/10015338395

Approximate option pricing under a two-factor Heston-Kou stochastic volatility model

El-Khatib, Youssef; Makumbe, Zororo S.; Vives, Josep - In: Computational management science 21 (2024) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10014393433

An examination of linear factor models in U.K. stock returns in the presence of dynamic trading

Fletcher, Jonathan - In: Review of quantitative finance and accounting 63 (2024) 3, pp. 1121-1147

Persistent link: https://www.econbiz.de/10015178476

A comparative study of factor models for different periods of the electricity spot price market

Laudagé, Christian; Aichinger, Florian; Desmettre, Sascha - In: Journal of commodity markets : JCM 36 (2024), pp. 1-29

Persistent link: https://www.econbiz.de/10015162606

Stock market alphas help predict macroeconomic innovations

Hung, Mao-Wei; Yeh, Andy Jia-Yuh - In: Macroeconomic dynamics 28 (2024) 3, pp. 612-646

Persistent link: https://www.econbiz.de/10014519888

Performance and investment styles of international multi-asset funds during market crises

Leite, Paulo - In: Empirica : journal of european economics 51 (2024) 3, pp. 783-805

Persistent link: https://www.econbiz.de/10015078706

Short-term persistence performance of equity mutual fund returns : evidence from India

Veeravel, V. - In: Copernican Journal of Finance & Accounting : CJF&A 12 (2023) 3, pp. 79-92

Persistent link: https://www.econbiz.de/10014632845

Global risk factors of NYSE- and NASDAQ-listed shipping companies' stock returns

Laopodis, Nikiforos - In: Maritime business review 7 (2022) 2, pp. 90-108

Persistent link: https://www.econbiz.de/10013483750

Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling

Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518

Persistent link: https://www.econbiz.de/10012624151

Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility : the case of Brent crude oil

Chen, Jilong; Ewald, Christian; Ouyang, Ruolan; … - In: Financial modeling and risk management of energy and …, (pp. 29-46). 2022

Persistent link: https://www.econbiz.de/10013349908

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