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Chitsiripanich, Soros; Paolella, Marc S.; Polak, Pawel; … - 2022

We construct a momentum factor that identifies cross-sectional winners and losers based on a weighting scheme that incorporates all the price data, over the entire lookback period, as opposed to only the first and last price points of the window. The weighting scheme is derived from the...

Persistent link: https://www.econbiz.de/10014236192

Price Dividend Ratio and Long-Run Stock Returns : A Score Driven State Space Model

Delle Monache, Davide - 2020

In this paper we develop a general framework to analyze state space models with time-varying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012842441

Time varying spillovers between the online search volume and stock returns : case of CESEE markets

Škrinjarić, Tihana - In: International Journal of Financial Studies : open … 7 (2019) 4/59, pp. 1-30

existing research consists of estimating the aforementioned relationship between return, volatility and the search volume …

Persistent link: https://www.econbiz.de/10012150478

Price dividend ratio and long-run stock returns : a score driven state space model

Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020

In this paper we develop a general framework to analyze state space models with timevarying system matrices where time variation is driven by the score of the conditional likelihood. We derive a new filter that allows for the simultaneous estimation of the state vector and of the time-varying...

Persistent link: https://www.econbiz.de/10012156426

Stock and sovereign returns linkages : time-varying causality and extreme-quantile determinants

Afonso, António; Alves, José; Grabowski, Wojciech; … - 2025

periods of heightened volatility. We also measure causality in volatilities extending well-known approaches analyzing … volatility transmission. We find significant cross-market relationships between U.S. and German stock and bond markets …

Persistent link: https://www.econbiz.de/10015197299

Predicting multi-scale positive and negative stock market bubbles in a panel of G7 countries : the role of oil price uncertainty

Van Eyden, Reneé; Gupta, Rangan; Sheng, Xin; Nielsen, … - In: Economies : open access journal 13 (2025) 2, pp. 1-25

While there is a large body of literature on oil uncertainty-equity prices and/or returns nexus, an associated important question of how oil market uncertainty affects stock market bubbles remains unanswered. In this paper, we first use the Multi-Scale Log-Periodic Power Law Singularity...

Persistent link: https://www.econbiz.de/10015210403

Oil Price Shocks and Stock Market Returns : Evidence from Oil-Importing and Oil-Exporting Countries

Yang, Li - 2012

While the relationship between oil prices and stock markets is of great interest to economists, previous studies do not differentiate oil-exporting countries from oil-importing countries when they investigate the effects of oil price shocks on stock market returns. In this paper, we address this...

Persistent link: https://www.econbiz.de/10013096494

Investigating the Asymmetric Impact of Oil Prices on GCC Stock Markets

Ben Cheikh, Nidhaleddine; Ben Naceur, Samy; Kanaan, … - 2021

This paper investigates the presence of asymmetric relationship between oil price movements and Gulf Cooperation Council (GCC) stock markets. We propose the implementation of nonlinear vector smooth transition regression (VSTR) models which offer a greater flexibility when modelling the possible...

Persistent link: https://www.econbiz.de/10013314986

Oil and Stock Market Returns : Direction, Volatility, or Liquidity?

Kinateder, Harald - 2017

-importing countries. Apart from oil price direction, we also consider oil market volatility and liquidity. Analysis of daily returns … implied oil market volatility negatively affect stocks, this effect is significantly asymmetric, and declining oil market …

Persistent link: https://www.econbiz.de/10012941582

The Impact of Oil Price Shocks on the Stock Market Return and Volatility Relationship

Kang, Wensheng - 2014

market volatility. We construct from daily data on return and volatility the covariance of return and volatility at monthly … frequency. The measures of daily volatility are realized-volatility at high frequency (normalized squared return), conditional-volatility … recovered from a stochastic volatility model, and implied-volatility deduced from options prices. Positive shocks to aggregate …

Persistent link: https://www.econbiz.de/10013044308