In this study, we examine stock market shocks using a Global Vector Autoregressive (GVAR) model encompassing 26 countries from January 1999 to June 2022. Our findings reveal that i) shocks originating from advanced economies (AD) exhibit greater persistence in generating fluctuations compared to...

The Baker and Wurgler (2006) sentiment index purports to measure irrational investor sentiment, while the University of Michigan Consumer Sentiment Index is designed to largely reflect fundamentals. Removing this fundamental component from the Baker and Wurgler index creates an index of investor...

In this paper, we used the GARCH (1,1) and GARCH-M (1,1) models to investigate volatility and persistence at daily frequency for European and US financial markets. In the study we included fourteen stock indices (twelve Europeans and two Americans), during March 2013 - January 2017. The results...

This paper introduces a new algorithm for exploiting time-series predictability-based patterns to obtain an abnormal return, or alpha, with respect to a given benchmark asset pricing model. The algorithm proposes a deterministic daily market timing strategy that decides between being fully...

Nowadays, modeling and forecasting the volatility of stock markets have become central to the practice of risk management; they have become one of the major topics in financial econometrics and they are principally and continuously used in the pricing of financial assets and the Value at Risk,...

This paper proposes a novel approach to the combination of conditional covariance matrix forecasts based on the use of the Generalized Method of Moments (GMM). It is shown how the procedure can be generalized to deal with large dimensional systems by means of a two-step strategy. The finite...

Common approaches to test for the economic value of directional forecasts are based on the classical Chi-square test for independence, Fisher’s exact test or the Pesaran and Timmerman (1992) test for market timing. These tests are asymptotically valid for serially independent observations....

In this paper a comparative study is conducted to evaluate the out-of-sample performance of mean-variance portfolios when three different variance models are considered. We use the common framework of orthogonal factors to specify the conditional covariance matrix structure. A key advantage of...

We employ a battery of model evaluation tests for a broad-set of GARCH-MIDAS models and account for data snooping bias. We document that inferences based on standard tests for GM variance components can be misleading. Our data mining free results show that the gains of macro-variables in...

The low-risk anomaly challenges traditional financial theory by stating that less volatile stocks generate higher risk-adjusted returns. This paper explores how various portfolio construction choices influence the performance of low-risk portfolios. We show that methodological decisions...