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On the economic determinants of optimal stock-bond portfolios: International evidence

Conrad, Christian; Stürmer, Karin - 2017

Using a modified DCC-MIDAS specification that allows the long-term correlation component to be a function of multiple explanatory variables, we show that the stock-bond correlation in the US, the UK, Germany, France, and Italy is mainly driven by inflation and interest rate expectations as well...

Persistent link: https://www.econbiz.de/10011853171

The memory of beta factors

Becker, Janis; Hollstein, Fabian; Prokopczuk, Marcel; … - 2019

Researchers and practitioners employ a variety of time-series processes to forecast betas, using either short-memory models or implicitly imposing infinite memory. We find that both approaches are inadequate: beta factors show consistent long-memory properties. For the vast majority of stocks,...

Persistent link: https://www.econbiz.de/10012213531

The cross-section of conditional mutual fund performance in European stock markets

Banegas, Ayelen; Gillen, Ben; Timmermann, Allan; … - 2012

This paper implements strategies that use macroeconomic variables to select European equity mutual funds, including Pan-European, country, and sector funds. We find that several macro-variables are useful in locating funds with future outperformance, and that countryspecific mutual funds provide...

Persistent link: https://www.econbiz.de/10010311654

Mutual fund performance in changing economic conditions: Evidence from an emerging economy

Agarwal, Pankaj K.; Pradhan, H. K. - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-24

Traditional measures of assessment of mutual fund performance (alpha) are based mostly on Capital Assets Pricing Model which presupposes fixed sensitivity of risk exposure of a fund to its market proxy (beta). However, changing economic conditions will alter this relationship. In conditional...

Persistent link: https://www.econbiz.de/10014001560

Mutual Fund Bets on Market Power

Jaspersen, Stefan - 2021

Taking a firm's competitive position into account benefits investors who are better at evaluating this qualitative information. I find that fund managers who overweight companies with market power outperform their peers. Placebo exercises and an exogenous shock to product market competition...

Persistent link: https://www.econbiz.de/10012428169

The effects of Dollar/Sterling exchange rate volatility of futures markets for coffee and cocoa

Jumah, Adusei; Kunst, Robert M. - 1999

shown to be specific for commodity and market. A forecasting comparison on the basis of the identified models suggests that …

Persistent link: https://www.econbiz.de/10010291928

The effects of exchange-rate exposures on equity asset markets

Jumah, Adusei; Kunst, Robert M. - 2001

in forecasting from using bivariate models remained small otherwise. …

Persistent link: https://www.econbiz.de/10010292735

Gold Price Forecasts in a Dynamic Model Averaging Framework – Have the Determinants Changed Over Time?

Baur, Dirk G.; Beckmann, Joscha; Czudaj, Robert - 2014

, inflation expectations, exchange rate changes and stock market volatility among others. Hence, forecasting the price of gold is … allows both the forecasting model and the coefficients to change over time. Based on this framework, we systematically … measure of the forecasting performance. We carefully assess which predictors are relevant for forecasting at different points …

Persistent link: https://www.econbiz.de/10010420994

The contribution of realized covariance models to the economic value of volatility timing

Bauwens, Luc; Xu, Yongdeng - 2023

realized covariance matrices through a GARCH-type structure. We compare the forecasting performance of several such models in …

Persistent link: https://www.econbiz.de/10014480607

Modelling and forecasting multivariate realized volatility

Chiriac, Roxana; Voev, Valeri - 2008

This paper proposes a methodology for modelling time series of realized covariance matrices in order to forecast multivariate risks. The approach allows for flexible dynamic dependence patterns and guarantees positive definiteness of the resulting forecasts without imposing parameter...

Persistent link: https://www.econbiz.de/10010266934