Showing 1 - 10 of 11,334
Persistent link: https://www.econbiz.de/10013465704
Persistent link: https://www.econbiz.de/10003316303
past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …
Persistent link: https://www.econbiz.de/10014089647
Persistent link: https://www.econbiz.de/10009239675
This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...
Persistent link: https://www.econbiz.de/10003728591
Persistent link: https://www.econbiz.de/10003742243
Persistent link: https://www.econbiz.de/10001244084
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
Persistent link: https://www.econbiz.de/10012117812
Persistent link: https://www.econbiz.de/10011817953