Narrow search
Showing 1 - 10 of 2,838
Cover Image
Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates
Rossi, Francesco - 2011
We study the behavior and interaction of systematic and idiosyncratic components of risk in a cross-section of U ….K. stocks. We find no clear evidence of a trend in any component of total risk, but we document different “regimes” in the … behavior of each component of total risk, in their correlation patterns and thus in their contribution to aggregate risk …
Persistent link: https://www.econbiz.de/10015231990
Cover Image
An inflation expectations horserace
Guzman, Giselle C. - 2010
For decades, the academic literature has focused on three survey measures of expected inflation: the Livingston Survey, the Survey of Professional Forecasters, and the Michigan Survey. While these measures have been useful in developing models of forecasting inflation, the data are low frequency...
Persistent link: https://www.econbiz.de/10015230546
Cover Image
The case for higher frequency inflation expectations
Guzman, Giselle C. - 2011
I present evidence that higher frequency measures of inflation expectations outperform lower frequency measures of inflation expectations in tests of accuracy, predictive power, and rationality. For decades, the academic literature has focused on three survey measures of expected inflation: the...
Persistent link: https://www.econbiz.de/10015230637
Cover Image
US stock market regimes and oil price shocks
Angelidis, Timotheos; Degiannakis, Stavros; Filis, George - 2015
predictive information on the state (high/low risk environment) of the US stock market returns and volatility. The disaggregation …
Persistent link: https://www.econbiz.de/10015256947
Cover Image
Efficient Market Hypothesis: Evidence from the JSE equity and bond markets
Guduza, Sinazo; Phiri, Andrew - 2017
This study investigates weak form efficiency for 4 stock and 7 bond market return under the Johannesburg Stock Exchange (JSE) using monthly data spanning from 2002 to 2016. Our empirical strategy consists of using both individual and panel based unit root testing procedures. Moreover, we split...
Persistent link: https://www.econbiz.de/10015258713
Cover Image
Structural changes in exchange rate-stock returns dynamics in South Africa: Examining the role of crisis and new trading platform
Phiri, Andrew - 2018
The 2007 sub-prime crisis and the adoption of Millennium trading platform represent two of the most important recent structural developments for the Johannesburg Stock Exchange (JSE). Under an environment of flexible and volatile exchange rates, this study seeks to examine the effects of these...
Persistent link: https://www.econbiz.de/10015259944
Cover Image
The effects of oil price shocks on stock market volatility: Evidence from European data
Degiannakis, Stavros; Filis, George; Kizys, Renatas - 2014
The paper investigates the effects of oil price shocks on stock market volatility in Europe by focusing on three measures of volatility, i.e. the conditional, the realised and the implied volatility. The findings suggest that supply-side shocks and oil specific demand shocks do not affect...
Persistent link: https://www.econbiz.de/10015265289
Cover Image
Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model
Van Heerden, Dorathea; Rodrigues, Jose; Hockly, Dale; … - 2013
This study deviates from the conventional use of a linear approach in testing for the efficiency market hypothesis (EMH) for the Johannesburg Stock Exchange (JSE) between the periods 2001:01 to 2013:07. By making use of a threshold autoregressive (TAR) model and corresponding asymmetric unit...
Persistent link: https://www.econbiz.de/10015239096
Cover Image
Exploring volatility of crude oil intra-day return curves: a functional GARCH-X Model
Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian - 2021
Crude oil intra-day return curves collected from the commodity futures market often appear to be serially uncorrelated and long-range dependent. Existing functional GARCH models, while able to accommodate short range conditional heteroscedasticity, are not designed to capture long-range...
Persistent link: https://www.econbiz.de/10015251400
Cover Image
Exploring volatility of crude oil intra-day return curves: a functional GARCH-X model
Rice, Gregory; Wirjanto, Tony; Zhao, Yuqian - 2021
Crude oil intra-day return curves collected from the commodity futures market often appear to be serially uncorrelated and long-range dependent. Existing functional GARCH models, while able to accommodate short range conditional heteroscedasticity, are not designed to capture long-range...
Persistent link: https://www.econbiz.de/10015252494