If we intend to support sustainability in the financial markets, research and analysis must come first. In the last 30 years, the groundwork has been laid by the Ethical Environmental Research Group (Forschungsgruppe Ethisch-Ökologisches Rating) leading to a rating system for Impact Investing....

In this article, we apply the Log Periodic Power Law (LPPL), introduced by Johansen <italic>et al.</italic> (2000), for capturing the recent stock market crash in the German stock index (Deutscher Aktien Index, DAX). The contribution of this article consists not only in describing the historical crash by the...

We examine the asymptotic properties of the coefficient of determination, R2, in models with α-stable   random variables. If the regressor and error term share the same index of stability α2, we show that the R2  statistic does not converge to a constant but has a nondegenerate distribution...

In this paper, we consider a combined forecast using an optimal combination weight in a generalized autoregression framework. The generalized autoregression provides not only a combined forecast but also an optimal combination weight for combining forecasts. By simulation, we find that short-...

Hill estimation (Hill, 1975), the most widespread method for estimating tail thickness of heavy-tailed financial data, suffers from two drawbacks. One is that the optimal number of tail observations to use in the estimation is a function of the unknown tail index being estimated, which...

In this paper, we quantify the dynamics of absolute excess returns on stock markets depending on three factors: the average of the absolute excess return, the level of the stock price, and stock market volatility. We also argue that the absolute excess return can be regarded as an empirical...