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Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of … restriction on the relative magnitude of these two dimensions of the panel. The test is formed from the high‐frequency returns at …

Persistent link: https://www.econbiz.de/10012042424

Topics in applied time series analysis and panel econometrics

Gorenflo, Marcel - 2013

Persistent link: https://www.econbiz.de/10009744295

The relation between overreaction in forecasts and uncertainty : a nonlinear approach

Leppin, Julian Sebastian - 2014 - This version: November 2014

account impacts from oil price return and oil price volatility on forecast changes. The panel smooth transition regression …

Persistent link: https://www.econbiz.de/10010438928

Revisiting profit persistence and the stock market in Japan

Tsoulfidis, Lefteris; Alexiou, Constantinos; … - In: Structural change and economic dynamics : SC+ED 33 (2015), pp. 10-24

Persistent link: https://www.econbiz.de/10011563961

The cross-section and time-series effects of individual stock sentiment on stock prices

Li, Jinfang; Yang, Chunpeng - In: Applied economics 49 (2017) 47, pp. 4806-4815

Persistent link: https://www.econbiz.de/10011844801

Are stock prices stationary? : some new evidence from a panel data approach

Shen, Xin; Holmes, Mark J. - In: Studies in economics and finance 31 (2014) 4, pp. 387-405

Persistent link: https://www.econbiz.de/10011339594

Analyzing heterogeneous stock price comovements through hybrid approaches

Chlibi, Souhir; Jawadi, Fredj; Sellami, Mohamed - In: Open economies review 27 (2016) 3, pp. 541-559

Persistent link: https://www.econbiz.de/10011716947

Dynamic relationships between price and net asset value for Asian real estate stocks

Liow, Kim Hiang; Yeo, Sherry - In: International Journal of Financial Studies : open … 6 (2018) 1, pp. 1-17

This paper examines short- and long-term behavior of the price-to net asset value ratio in six Asian public real estate markets. We find mean-reverting behavior of the ratio and spillover effects, where each of the examined public real estate markets correlates with other markets. Additionally,...

Persistent link: https://www.econbiz.de/10011857268

Accuracy of European stock target prices

Almeida, Joana; Gaspar, Raquel M. - In: Journal of risk and financial management : JRFM 14 (2021) 9, pp. 1-27

of the biggest (larger capitalisation) European stocks over a 15-year period, from 2004 to 2019, and using a panel data … consensus target prices have no predictive power over future market prices. Our panel results are robust to company fixed …

Persistent link: https://www.econbiz.de/10012628539

Stock prices and economic activity nexus in OECD countries : new evidence from an asymmetric panel Granger causality test in the frequency domain

Yilanci, Veli; Ozgur, Onder; Gorus, Muhammed Sehid - In: Financial innovation : FIN 7 (2021), pp. 1-22

Granger causality in the frequency domain in the panel setting by decomposing the symmetric and asymmetric fluctuations. This … the panel setting. However, economic activity has more reliable information for stock prices for negative components …

Persistent link: https://www.econbiz.de/10012429266