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Predicting stock market movements with a time-varying consumption-aggregate wealth ratio

Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467

Persistent link: https://www.econbiz.de/10012203261

The role of economic and financial uncertainties in predicting commodity futures returns and volatility : evidence from a nonparametric causality-in-quantiles test

Bahloul, Walid; Balcilar, Mehmet; Cuñado Eizaguirre, Juncal - In: Journal of multinational financial management 45 (2018), pp. 52-71

Persistent link: https://www.econbiz.de/10012055774

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208

The variance risk premium : components, term structures, and stock return predictability

Li, Junye; Zinna, Gabriele - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 3, pp. 411-425

Persistent link: https://www.econbiz.de/10012249166

Bond variance risk premia

Mueller, Philippe; Vedolin, Andrea; Yen, Yu-min - 2012

Persistent link: https://www.econbiz.de/10009552228

Excess stock returns and news : evidence from European markets

Malliaropulos, Dimitrios - In: European financial management : the journal of the … 4 (1998) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10001244084

Excess Stock Returns and News : Evidence from European Markets

Malliaropulos, Dimitris - 2022

This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...

Persistent link: https://www.econbiz.de/10014236921

Using fundamental earnings factors to forecast equity market volatility

Mozes, Haim A.; Steffens, John Launny - In: The journal of trading 11 (2016) 2, pp. 5-10

Persistent link: https://www.econbiz.de/10011697443

Using fundamental earnings factors to forecast equity market volatility

Mozes, Haim A.; Steffens, John Launny - In: The journal of trading 13 (2018) 4, pp. 14-19

Persistent link: https://www.econbiz.de/10012016573

The role of monetary policy uncertainty in predicting equity market volatility of the United Kingdom : evidence from over 150 years of data

Gupta, Rangan; Wohar, Mark E. - In: Economics and Business Letters : EBL 8 (2019) 3, pp. 138-146

Persistent link: https://www.econbiz.de/10012156567