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Mixed-frequency macrofinancial spillovers
Cotter, John; Hallam, Mark; Yılmaz, Kamil - 2017
Persistent link: https://www.econbiz.de/10011609428
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News Co-Occurrence, Attention Spillover, and Return Predictability
Guo, Li - 2018
We examine the effect of investor attention spillover on stock return predictability. Using a novel measure, the News Network Triggered Attention index (NNTA), we find that NNTA negatively predicts market returns with a monthly in(out)-of-sample R-square of 5.97% (5.80%). In the cross-section, a...
Persistent link: https://www.econbiz.de/10012934530
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Cross-country uncertainty spillovers : evidence from international survey data
Beckmann, Joscha; Davidson, Sharada Nia; Koop, Gary; … - In: Journal of international money and finance 130 (2023), pp. 1-17
Persistent link: https://www.econbiz.de/10014248782
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How does inter-industry spillover improve the performance of volatility forecasting?
Liu, Bin; Xiao, Wen; Zhu, Xingting - In: The North American journal of economics and finance : a … 65 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014309851
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Back to the future : counterfactual scenarios - challenges, methodology and an empirical test
Mönnig, Anke; Hohmann, Frank - 2020
Persistent link: https://www.econbiz.de/10012231931
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Predicting R&D investment with "ex ante" productivity
Bednarek, Ziemowit - In: Applied economics letters 21 (2014) 13/15, pp. 1079-1082
Persistent link: https://www.econbiz.de/10010418203
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Forecasting the Malmquist Productivity Index
Daskovska, Alexandra; Van Bellegem, Sébastien; Simar, … - 2008
The Malmquist Productivity Index (MPI) suggests a convenient way of measuring the productivity change of a given unit …. However, this approach hides a potentially valuable information given by the evolution of productivity over time. In this …
Persistent link: https://www.econbiz.de/10014217663
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Forecasting the Malmquist Productivity Index
Daskovska, Alexandra; Simar, Léopold; Van Bellegem, … - 2009
Persistent link: https://www.econbiz.de/10009762634
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On Equity Risk Prediction and Tail Spillovers
Pouliasis, Panos K. - 2019
This paper studies the impact of modelling time-varying variances of stock returns in terms of risk measurement and extreme risk spillover. Using a general class of regime-dependent models, we find that volatility can be disaggregated into distinct components: a persistent stable process with...
Persistent link: https://www.econbiz.de/10012893236