Showing 1 - 10 of 62
Persistent link: https://www.econbiz.de/10014315305
Purpose: The Group Method of Data Handling (GMDH) neural network has demonstrated good performance in data mining, prediction, and optimization. Scholars have used it to forecast stock and real estate investment trust (REIT) returns in some countries and region, but not in the United States (US)...
Persistent link: https://www.econbiz.de/10014363989
We propose a new investment strategy, the improved cross-asset time-series momentum (I-XTSM) strategy, to improve investment performance. Using data on 25 investment portfolios and common commodities for the period from January 1990 to April 2021, we find that the I-XTSM strategy increases...
Persistent link: https://www.econbiz.de/10014239453
Purpose - Motivated by the significant role of uncertainty in affecting investment decisions and China's economic leadership in Asia, this paper investigates the predictive role of exposure to Chinese economic policy uncertainty at the individual stock level in large Asian markets....
Persistent link: https://www.econbiz.de/10015198264
Global warming, while increasing human demand for water, is reducing water availability by reducing runoff flows and the effective amount of water between seasons, making water scarcity a growing problem globally. Water management plays an important role in mitigating global warming, improving...
Persistent link: https://www.econbiz.de/10012389854
We propose a new predictor - the innovation in the daily return minimum in the U.S. stock market () - for predicting international stock market returns. Using monthly data for a wide range of 17 MSCI international stock markets during the period spanning over half a century from January 1972 to...
Persistent link: https://www.econbiz.de/10015361591
This paper examines the macroeconomic determinants of volatility of commodity futures. The focus of this paper is on two emerging commodity markets, China and India. It covers commodity futures from different sectors, including agricultural commodity futures, metal futures and oil futures. The...
Persistent link: https://www.econbiz.de/10014353333
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