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An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015

limiting behaviour of the statistic under a multivariate fads model and under a moderately explosive bubble process: these … linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

Persistent link: https://www.econbiz.de/10010496122

An Investigation into Multivariate Variance Ratio Statistics and Their Application to Stock Market Predictability

Hong, Seok Young - 2016

Persistent link: https://www.econbiz.de/10013006601

An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - In: Journal of financial econometrics : official journal of … 15 (2017) 2, pp. 173-222

Persistent link: https://www.econbiz.de/10011987413

An investigation into multivariate variance ratio statistics and their application to stock market predictability

Hong, Seok Young; Linton, Oliver; Zhang, Hui Jun - 2015

Persistent link: https://www.econbiz.de/10011455529

Sparse Multivariate Modeling for Stock Returns Predictability

Bernardi, Mauro; Bianchi, Daniele; Bianco, Nicolas - 2021

substantially improve both the statistical and economic out-of-sample performance of multivariate models for return predictability …

Persistent link: https://www.econbiz.de/10013239660

Variance Risk Premium in Individual Stocks : Aggregating Factor Variance Risk

Pyun, Sungjune - 2020

The risk premium of stocks due to priced variance risk is summarized to two variables -- the stock-specific price of variance risk (the difference between realized and option-implied variance) and the quantity (i.e., how stock prices respond to their variance shocks) of variance risk....

Persistent link: https://www.econbiz.de/10012855216

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is …-series momentum, which strengthens in bad times, increases with disagreement, and crashes after sharp market rebounds. We provide …

Persistent link: https://www.econbiz.de/10011721618

Review on efficiency and anomalies in stock markets

Woo, Kai-yin; Mai, Chulin; McAleer, Michael; Wong, Wing … - In: Economies : open access journal 8 (2020) 1/20, pp. 1-51

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …

Persistent link: https://www.econbiz.de/10012237439

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Gatarek, Lukasz; Hoogerheide, Lennart; Dijk, Herman K. van - 2014

In this paper we consider two cases of pairs trading strategies: a conditional statistical arbitrage method and an implicit statistical arbitrage method. We use a simulation-based Bayesian procedure for predicting stable ratios, defined in a cointegration model, of pairs of stock prices. We show...

Persistent link: https://www.econbiz.de/10010259626

Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock prices

Ardia, David; Gatarek, Lukasz T.; Hoogerheide, Lennart; … - In: Econometrics : open access journal 4 (2016) 1, pp. 1-19

We investigate the direct connection between the uncertainty related to estimated stable ratios of stock prices and risk and return of two pairs trading strategies: a conditional statistical arbitrage method and an implicit arbitrage one. A simulation-based Bayesian procedure is introduced for...

Persistent link: https://www.econbiz.de/10011505854