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Using Sentiment Surveys to Predict GDP Growth and Stock Returns

Guzman, Giselle - 2012

This study sheds new light on the question of whether or not sentiment surveys, and the expectations derived from them, are relevant to forecasting economic growth and stock returns, and whether they contain information that is orthogonal to macroeconomic and financial data. I examine 16...

Persistent link: https://www.econbiz.de/10013110732

Global Finance Liquidity Risk Revisited : Development of a Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and Us Head of Portfolio Construction Teams

Malhotra, Yogesh - 2022

GLOBAL FINANCE LIQUIDITY RISK REVISITED: Development of A Framework for Liquidity Assessment in Portfolio Construction Process: Presentations to the JP Morgan Global Head of Quant Research & Analytics and US Head of Portfolio Construction Teams:Presentations To: JP Morgan Global Head of Quant...

Persistent link: https://www.econbiz.de/10013403261

Volatility in Gold Price Returns : An Investigation from International Market

Ahmad, Nawaz - 2013

The research was conducted in order to study the volatility in gold price returns and its investigation. The data has … results investigate volatility. Econometrically speaking, an unequal spread of residuals is referred as heteroskedasticity. In … was concluded that there has been volatility in gold prices …

Persistent link: https://www.econbiz.de/10013076098

The Economics of Bitcoins -- Market Characteristics and Price Jumps

Gronwald, Marc - 2015

This paper deals with the economics of Bitcoins in two ways. First, it broadens the discussion on how to capture Bitcoins using economic terms. Center stage in this analysis take the discussion of some unique characteristics of this market as well as the comparison of Bitcoins and gold. Second,...

Persistent link: https://www.econbiz.de/10013030485

Equity market contagion in return volatility during Euro Zone and global financial crises : evidence from FIMACH model

Quoreshi, A. M. M. Shahiduzzaman; Uddin, Reaz; … - In: Journal of risk and financial management : JRFM 12 (2019) 2/94, pp. 1-18

volatility, which has not been studied earlier. The study examines squared stock index returns of equity in 35 markets, including … of volatility. Results from the conditional heteroskedasticity long memory model show the evidence of long memory in the …

Persistent link: https://www.econbiz.de/10012022043

Return and volatility properties : stylized facts from the universe of cryptocurrencies and NFTs

Ghosh, Bikramaditya; Bouri, Elie; Wee, Jung Bum; … - In: Research in international business and finance 65 (2023), pp. 1-16

Persistent link: https://www.econbiz.de/10014432708

The impact of a financial transaction tax on stylized facts of price returns : evidence from the lab

Huber, Jürgen; Kleinlercher, Daniel; Kirchler, Michael - In: Journal of economic dynamics & control 36 (2012) 8, pp. 1248-1266

Persistent link: https://www.econbiz.de/10009655683

ExtremeBounds : Extreme Bounds Analysis in R

Hlavac, Marek - 2017

This article introduces the R package ExtremeBounds to perform extreme bounds analysis (EBA), a sensitivity test that examines how robustly the dependent variable of a regression model is related to a variety of possible determinants. ExtremeBounds supports Leamer's EBA that focuses on the upper...

Persistent link: https://www.econbiz.de/10012973518

Managing Political Risk in International Portfolios

Pagliardi, Giovanni; Lotfi, Somayyeh; Paparoditis, … - 2021

We show that internationally diversified portfolios carry sizeable political risk premia. We use a tail-risk portfolio selection model to obtain political efficient frontiers from skewed return distributions and manage political risk, and design an inference test to draw conclusions. We find...

Persistent link: https://www.econbiz.de/10013218378

Ripple Effects : Sarbanes Oxley’s Impact upon Investor Risk in a Global Economy

Vakkur, Nicholas V. - 2012

Persistent link: https://www.econbiz.de/10013107974