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In: The Journal of Economic Asymmetries.
RePEc:eee:joecas:v:14:y:2016:i:pa:p:78-92.Full description at Econpapers || Download paper
- International portfolio diversification and multilateral effects of correlations. (2016). Pyun, Ju Hyun ; Bergin, Paul ; Hyun, JU.
In: Journal of International Money and Finance.
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- Earnings news, expected earnings, and aggregate stock returns. (2016). Kalay, Alon ; Sadka, Gil ; Ho, Jung.
In: Journal of Financial Markets.
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- Industry returns, market returns and economic fundamentals: Evidence for the United States. (2016). laopodis, nikiforos.
In: Economic Modelling.
RePEc:eee:ecmode:v:53:y:2016:i:c:p:89-106.Full description at Econpapers || Download paper
- Cross Economic Determinants of Implied Volatility Smile Dynamics: Three Major European Currency Options. (2016). Han, Qian ; Wu, Boqiang ; Liang, Jufang.
In: European Financial Management.
RePEc:bla:eufman:v:22:y:2016:i:5:p:817-852.Full description at Econpapers || Download paper
- Multifactor Risk Models and Heterotic CAPM. (2016). Yu, Willie ; Kakushadze, Zura.
In: Papers.
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- Heterotic Risk Models. (2016). Kakushadze, Zura.
In: Papers.
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- The relationship between output and asset prices: A time – and frequency – varying approach. (2016). Yao, Zong-Liang ; Su, Chi-Wei ; Chang, Hsu-Ling.
In: Theoretical and Applied Economics.
RePEc:agr:journl:v:xxiii:y:2016:i:1(606):p:57-76.Full description at Econpapers || Download paper
- Causal relationship between stock returns and real economic growth in the pre- and post-crisis period: evidence from China. (2015). Guo, Jin.
In: Applied Economics.
RePEc:taf:applec:v:47:y:2015:i:1:p:12-31.Full description at Econpapers || Download paper
- Custom v. Standardized Risk Models. (2015). Liew, Jim Kyung-Soo ; Kakushadze, Zura.
In: Risks.
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- Uncertainty shocks and policymakers’ behavior: evidence from the subprime crisis era. (2015). Donadelli, Michael.
In: Journal of Economic Studies.
RePEc:eme:jespps:v:42:y:2015:i:4:p:578-607.Full description at Econpapers || Download paper
- Frequency domain causality analysis of stock market and economic activity in India. (2015). Tiwari, Aviral ; Mutascu, Mihai Ioan ; Kyophilavong, Phouphet ; Albulescu, Claudiu.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:39:y:2015:i:c:p:224-238.Full description at Econpapers || Download paper
- The troika of business cycle, efficiency and volatility. An East Asian perspective. (2015). Rizvi, Syed Aun R. ; Rizvi, Syed Aun R., ; Arshad, Shaista.
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:419:y:2015:i:c:p:158-170.Full description at Econpapers || Download paper
- Credit conditions and stock return predictability. (2015). Gallmeyer, Michael ; Chava, Sudheer ; Park, Heungju .
In: Journal of Monetary Economics.
RePEc:eee:moneco:v:74:y:2015:i:c:p:117-132.Full description at Econpapers || Download paper
- Investor mood and demand for stocks: Evidence from popular TV series finales. (2015). Lepori, Gabriele M..
In: Journal of Economic Psychology.
RePEc:eee:joepsy:v:48:y:2015:i:c:p:33-47.Full description at Econpapers || Download paper
- Aggregate earnings and why they matter. (2015). Ball, Ray ; Sadka, Gil.
In: Journal of Accounting Literature.
RePEc:eee:joacli:v:34:y:2015:i:c:p:39-57.Full description at Econpapers || Download paper
- Do stock prices reflect their fundamentals? New evidence in the aftermath of the financial crisis. (2015). Velinov, Anton ; Chen, Wenjuan.
In: Journal of Economics and Business.
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- The effects of surprise and anticipated technology changes on international relative prices and trade. (2015). Wang, Jian ; Nam, Deokwoo .
In: Journal of International Economics.
RePEc:eee:inecon:v:97:y:2015:i:1:p:162-177.Full description at Econpapers || Download paper
- The impact of macroeconomic and financial stress on the U.S. financial sector. (2015). Hassan, M. Kabir ; Hippler, William J.
In: Journal of Financial Stability.
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- Are stock prices related to the political uncertainty index in OECD countries? Evidence from the bootstrap panel causality test. (2015). Nguyen, Duc Khuong ; GUPTA, RANGAN ; Chang, Tsangyao ; Chen, Wen-Yi.
In: Economic Systems.
RePEc:eee:ecosys:v:39:y:2015:i:2:p:288-300.Full description at Econpapers || Download paper
- Empirical evidence of conditional asset pricing in the Indian stock market. (2015). Das, Sudipta .
In: Economic Systems.
RePEc:eee:ecosys:v:39:y:2015:i:2:p:225-239.Full description at Econpapers || Download paper
- Correlations between oil and stock markets: A wavelet-based approach. (2015). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen.
In: Economic Modelling.
RePEc:eee:ecmode:v:50:y:2015:i:c:p:212-227.Full description at Econpapers || Download paper
- Hodrick-Prescott filtering of Large, emerging Economies and Analysis of Russian GDP Growth. (2015). Mezentceva, Olga V.
In: Athens Journal of Business & Economics.
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- 4-Factor Model for Overnight Returns. (2015). Kakushadze, Zura.
In: Papers.
RePEc:arx:papers:1410.5513.Full description at Econpapers || Download paper
- Custom v. Standardized Risk Models. (2015). Liew, Jim Kyung-Soo ; Kakushadze, Zura.
In: Papers.
RePEc:arx:papers:1409.2575.Full description at Econpapers || Download paper
- Nonlinear dynamic interrelationships between real activity and stock returns. (2015). Nyberg, Henri ; Lanne, Markku.
In: CREATES Research Papers.
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- The Stock Market, the Real Economy and Contagion. (2014). Baur, Dirk ; Miyakawa, Isaac .
In: Working Paper Series.
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- Can the Sharia-based Islamic stock market returns be forecasted using large number of predictors and models?. (2014). Simo-Kengne, Beatrice Desiree ; Hammoudeh, Shawkat ; GUPTA, RANGAN ; Simo -Kengne, Beatrice D. ; Sarafrazi, Soodabeh.
In: Applied Financial Economics.
RePEc:taf:apfiec:v:24:y:2014:i:17:p:1147-1157.Full description at Econpapers || Download paper
- A Nonlinear Model to Estimate the Long Term Correlation between Market Capitalization and GDP per capita in Eastern EU Countries. (2014). Lupu, Radu ; Calin, Adrian Cantemir ; Albu, Lucian.
In: Working Papers of Institute for Economic Forecasting.
RePEc:rjr:wpiecf:141115.Full description at Econpapers || Download paper
- How do Macroeconomic Changes Impact Islamic and Conventional Equity Prices? Evidence from Developed and Emerging Countries. (2014). Rizvi, Syed Aun R. ; Masih, Abul ; Bacha, Obiyathulla ; Dewandaru, Ginanjar ; Sarkar, Kabir .
In: MPRA Paper.
RePEc:pra:mprapa:59587.Full description at Econpapers || Download paper
- Momentum Trading, Return Chasing, and Predictable Crashes. (2014). Jagannathan, Ravi ; Ghysels, Eric ; Chabot, Benjamin.
In: NBER Working Papers.
RePEc:nbr:nberwo:20660.Full description at Econpapers || Download paper
- Do global factors impact BRICS stock markets? A quantile regression approach. (2014). Reboredo, Juan ; Nguyen, Duc Khuong ; Mensi, walid ; Hammoudeh, Shawkat.
In: Working Papers.
RePEc:ipg:wpaper:2014-159.Full description at Econpapers || Download paper
- Shock and Volatility Transmissions between Bank Stock Returns in Romania: Evidence from a VARGARCH Approach. (2014). Chaibi, Anissa ; Ulici, Maria .
In: Working Papers.
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- Momentum Trading, Return Chasing and Predictable Crashes. (2014). Jagannathan, Ravi ; Chabot, Benjamin ; Ghysels, Eric.
In: Working Paper Series.
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- Impact of uncertainty on high frequency response of the U.S. stock markets to the Feds policy surprises. (2014). Marfatia, Hardik.
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:54:y:2014:i:3:p:382-392.Full description at Econpapers || Download paper
- Who mimics whom in the equity fund market? Evidence from the Korean equity fund market. (2014). Lee, Bong-Soo ; Kim, Young-Min.
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:29:y:2014:i:c:p:199-218.Full description at Econpapers || Download paper
- Advance information and asset prices. (2014). Miao, Jianjun ; Albuquerque, Rui .
In: Journal of Economic Theory.
RePEc:eee:jetheo:v:149:y:2014:i:c:p:236-275.Full description at Econpapers || Download paper
- The forward looking information content of equity and bond markets for aggregate investments. (2014). Gallegati, Marco ; Ramsey, James B..
In: Journal of Economics and Business.
RePEc:eee:jebusi:v:75:y:2014:i:c:p:1-24.Full description at Econpapers || Download paper
- Time-varying expected momentum profits. (2014). Min, Byoung-Kyu ; Roh, Tai-Yong ; Byun, Suk-Joon ; Kim, Dongcheol .
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:49:y:2014:i:c:p:191-215.Full description at Econpapers || Download paper
- The interactions between China and US stock markets: New perspectives. (2014). Ye, George L..
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:31:y:2014:i:c:p:331-342.Full description at Econpapers || Download paper
- European business cycles and stock return predictability. (2014). Zhu, Xiaoneng .
In: Finance Research Letters.
RePEc:eee:finlet:v:11:y:2014:i:4:p:446-453.Full description at Econpapers || Download paper
- Do global factors impact BRICS stock markets? A quantile regression approach. (2014). Reboredo, Juan ; Nguyen, Duc Khuong ; Mensi, walid ; Hammoudeh, Shawkat.
In: Emerging Markets Review.
RePEc:eee:ememar:v:19:y:2014:i:c:p:1-17.Full description at Econpapers || Download paper
- Excess volatility and the cross-section of stock returns. (2014). Ma, Jinpeng ; Wang, Yuming .
In: The North American Journal of Economics and Finance.
RePEc:eee:ecofin:v:27:y:2014:i:c:p:1-16.Full description at Econpapers || Download paper
- Growth-returns nexus: Evidence from three Central and Eastern European countries. (2014). Lyócsa, Štefan.
In: Economic Modelling.
RePEc:eee:ecmode:v:42:y:2014:i:c:p:343-355.Full description at Econpapers || Download paper
- Momentum Trading, Return Chasing, and Predictable Crashes. (2014). Jagannathan, Ravi ; Chabot, Benjamin ; Ghysels, Eric.
In: CEPR Discussion Papers.
RePEc:cpr:ceprdp:10234.Full description at Econpapers || Download paper
- Some Recent Developments in Nonparametric Finance. (2013). Hong, Yongmiao ; CAI, ZONGWU.
In: Working Papers.
RePEc:wyi:wpaper:002011.Full description at Econpapers || Download paper
- The Synchronisation of ASEAN-5 Stock Markets with the Growth Rate Cycles of Selected Emerging and Developed Economies. (2013). .
In: Margin: The Journal of Applied Economic Research.
RePEc:sae:mareco:v:7:y:2013:i:1:p:1-28.Full description at Econpapers || Download paper
- Can the Sharia-Based Islamic Stock Market Returns be Forecasted Using Large Number of Predictors and Models?. (2013). Simo-Kengne, Beatrice Desiree ; Hammoudeh, Shawkat ; GUPTA, RANGAN ; Simo -Kengne, Beatrice D. ; Sarafrazi, Soodabeh.
In: Working Papers.
RePEc:pre:wpaper:201381.Full description at Econpapers || Download paper
- Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test. (2013). Nguyen, Duc Khuong ; GUPTA, RANGAN ; Chang, Tsangyao ; Chen, Wen-Yi.
In: Working Papers.
RePEc:pre:wpaper:201360.Full description at Econpapers || Download paper
- The Pronounced Impact of Macroeconomic Stress on the Financial Sector: Implications for Real Sector Growth. (2013). Hassan, M. Kabir ; Hippler, William J..
In: NFI Working Papers.
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- Financial Market Shocks and the Macroeconomy. (2013). Titman, Sheridan ; Subrahmanyam, Avanidhar.
In: NBER Working Papers.
RePEc:nbr:nberwo:19383.Full description at Econpapers || Download paper
- Oil and stock market activity when prices go up and down: the case of the oil and gas industry. (2013). Bugshan, Turki ; Al-Khyal, Tawfeek ; Mohanty, Sunil ; Akhigbe, Aigbe.
In: Review of Quantitative Finance and Accounting.
RePEc:kap:rqfnac:v:41:y:2013:i:2:p:253-272.Full description at Econpapers || Download paper
- Are Stock Prices Related to Political
Uncertainty Index in OECD Countries?
Evidence from Bootstrap Panel
Causality Test. (2013). Chang, Tsang Yao ; Chen, Wen-Yi.
In: Working Papers.
RePEc:ipg:wpaper:36.Full description at Econpapers || Download paper
- Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test. (2013). Nguyen, Duc Khuong ; GUPTA, RANGAN ; Chang, Tsangyao ; Yi, Wen.
In: Working Papers.
RePEc:ipg:wpaper:2013-36.Full description at Econpapers || Download paper
- Are Stock Prices Related to Political Uncertainty Index in OECD Countries? Evidence from Bootstrap Panel Causality Test. (2013). Gupta, Rangan ; Chen, Wen-Yi ; Chang, Tsangyao.
In: Working Papers.
RePEc:ipg:wpaper:2013-036.Full description at Econpapers || Download paper
- Do U.S. macroeconomic surprises influence equity returns? An exploratory analysis of developed economies. (2013). Nejadmalayeri, Ali ; lucey, brian ; Singh, Manohar .
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:53:y:2013:i:4:p:476-485.Full description at Econpapers || Download paper
- Can US economic variables predict the Chinese stock market?. (2013). Tu, Jun ; Jiang, Fuwei ; Wang, Yuchen ; Goh, Jeremy C..
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:22:y:2013:i:c:p:69-87.Full description at Econpapers || Download paper
- Is market integration associated with informational efficiency of stock markets?. (2013). Lim, Kian-Ping ; Hooy, Chee-Wooi.
In: Journal of Policy Modeling.
RePEc:eee:jpolmo:v:35:y:2013:i:1:p:29-44.Full description at Econpapers || Download paper
- Valuation of VIX derivatives. (2013). Sentana, Enrique ; Mencia, Javier.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:108:y:2013:i:2:p:367-391.Full description at Econpapers || Download paper
- Oil price asymmetric effects: Answering the puzzle in international stock markets. (2013). Veiga, Helena ; Ramos, Sofia.
In: Energy Economics.
RePEc:eee:eneeco:v:38:y:2013:i:c:p:136-145.Full description at Econpapers || Download paper
- A core–periphery framework in stock markets of the euro zone. (2013). Ramos, Sofia ; Dias, Jose G..
In: Economic Modelling.
RePEc:eee:ecmode:v:35:y:2013:i:c:p:320-329.Full description at Econpapers || Download paper
- Correlations between oil and stock markets : a wavelet-based approach. (2013). Veiga, Helena ; Ramos, Sofia ; Martin-Barragan, Belen.
In: DES - Working Papers. Statistics and Econometrics. WS.
RePEc:cte:wsrepe:ws130504.Full description at Econpapers || Download paper
- What Do Management Earnings Forecasts Convey About the Macroeconomy?. (2013). Bozanic, Zahn ; Bonsall, Samuel B ; Fischer, Paul E.
In: Journal of Accounting Research.
RePEc:bla:joares:v:51:y:2013:i:2:p:225-266.Full description at Econpapers || Download paper
- Bank and Non-Bank Financial Deepening and Economic Growth: The Nigerian Experience (1981–2010). (2013). Iyoboyi, Martins.
In: Economic Notes.
RePEc:bla:ecnote:v:42:y:2013:i:3:p:247-272.Full description at Econpapers || Download paper
- Stock returns and real activity: the dynamic conditional lagged correlation approach. (2012). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan.
In: MPRA Paper.
RePEc:pra:mprapa:43307.Full description at Econpapers || Download paper
- Breakdowns and revivals: the long-run relationship between the stock market and real economic activity in the G-7 countries. (2012). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan.
In: MPRA Paper.
RePEc:pra:mprapa:43306.Full description at Econpapers || Download paper
- Do macro-economic variables explain stock-market returns? Evidence using a semi-parametric approach. (2012). Singh, Harminder ; Mishra, Sagarika.
In: Journal of Asset Management.
RePEc:pal:assmgt:v:13:y:2012:i:2:d:10.1057_jam.2011.11.Full description at Econpapers || Download paper
- International Portfolio Diversification and Multilateral Effects of Correlations. (2012). Pyun, Ju Hyun ; Bergin, Paul.
In: NBER Working Papers.
RePEc:nbr:nberwo:17907.Full description at Econpapers || Download paper
- The Impact of Macroeconomic Variables on Stock Prices:The Case of Tehran Stock Exchange. (2012). Hassanzadeh, Ali ; Kianvand, Mehran.
In: Journal of Money and Economy.
RePEc:mbr:jmonec:v:6:y:2012:i:2:p:171-190.Full description at Econpapers || Download paper
- A partisan effect in the efficiency of the US stock market. (2012). Rodriguez, E. ; Alvarez-Ramirez, J. ; Espinosa-Paredes, G..
In: Physica A: Statistical Mechanics and its Applications.
RePEc:eee:phsmap:v:391:y:2012:i:20:p:4923-4932.Full description at Econpapers || Download paper
- Real aggregate activity and stock returns. (2012). Du, Ding ; Zhao, Xiaobing ; Denning, Karen .
In: Journal of Economics and Business.
RePEc:eee:jebusi:v:64:y:2012:i:5:p:323-337.Full description at Econpapers || Download paper
- Mutual fund flows, expected returns, and the real economy. (2012). Jank, Stephan.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:36:y:2012:i:11:p:3060-3070.Full description at Econpapers || Download paper
- Earnings dispersion and aggregate stock returns. (2012). Jorgensen, Bjorn ; Li, Jing ; Sadka, Gil.
In: Journal of Accounting and Economics.
RePEc:eee:jaecon:v:53:y:2012:i:1:p:1-20.Full description at Econpapers || Download paper
- When does investor sentiment predict stock returns?. (2012). Hung, Chi-Hsiou ; Chung, San-Lin ; Yeh, Chung-Ying .
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:19:y:2012:i:2:p:217-240.Full description at Econpapers || Download paper
- Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence. (2012). Teulon, Frédéric ; sahut, Jean-Michel ; Mili, Mehdi.
In: Economic Modelling.
RePEc:eee:ecmode:v:29:y:2012:i:3:p:734-741.Full description at Econpapers || Download paper
- What is the linkage between real growth in the Euro area and global financial market conditions?. (2012). Teulon, Frédéric ; sahut, Jean-Michel ; Mili, Medhi .
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-11-00511.Full description at Econpapers || Download paper
- Modeling relations between selected macroeconomic processes and the Warsaw Stock Exchange index. (2012). Fiszeder, Piotr ; Rowinski, Sebastian .
In: Ekonomia i Prawo.
RePEc:cpn:umkeip:v:10:y:2012:i:3:p:153-167.Full description at Econpapers || Download paper
- Modeling relations between selected macroeconomic processes and the Warsaw Stock Exchange index. (2012). Piotr Fiszeder, Sebastian Rowiñski, .
In: Ekonomia i Prawo.
RePEc:cpn:umkeip:2012:v3:p:153-167.Full description at Econpapers || Download paper
- Valuation of vix derivatives. (2012). Sentana, Enrique ; Mencia, Javier.
In: Working Papers.
RePEc:bde:wpaper:1232.Full description at Econpapers || Download paper
- Disaster Risk and Business Cycles. (2012). Gourio, Francois.
In: American Economic Review.
RePEc:aea:aecrev:v:102:y:2012:i:6:p:2734-66.Full description at Econpapers || Download paper
- Stock Market Development and Economic Growth an Empirical Analysis. (2012). Antonios, Adamopoulos ; Athanasios, Vazakidis .
In: American Journal of Economics and Business Administration.
RePEc:abk:jajeba:ajebasp.2012.135.143.Full description at Econpapers || Download paper
- Mutual fund flows, expected returns, and the real economy. (2011). Jank, Stephan.
In: CFR Working Papers.
RePEc:zbw:cfrwps:1104.Full description at Econpapers || Download paper
- Asset Prices, Booms and Recessions. (2011). Semmler, Willi.
In: Springer Books.
RePEc:spr:sprbok:978-3-642-20680-1.Full description at Econpapers || Download paper
- The US Stock Market Leads the Federal Funds Rate and Treasury Bond Yields. (2011). Zhou, Wei-Xing ; Sornette, Didier ; Cheng, Si-Wei ; Guo, Kun.
In: PLOS ONE.
RePEc:plo:pone00:0022794.Full description at Econpapers || Download paper
- Stock, Energy and Currency Effects on the Asymmetric Wheat Market. (2011). Sariannidis, Nikolaos.
In: International Advances in Economic Research.
RePEc:kap:iaecre:v:17:y:2011:i:2:p:181-192:10.1007/s11294-011-9298-z.Full description at Econpapers || Download paper
- Stock, Energy and Currency Effects on the Asymmetric Wheat Market. (2011). Sariannidis, Nikolaos.
In: International Advances in Economic Research.
RePEc:kap:iaecre:v:17:y:2011:i:2:p:181-192.Full description at Econpapers || Download paper
- Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios. (2011). Panayotov, George ; Bakshi, Gurdip ; Skoulakis, Georgios .
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:100:y:2011:i:3:p:475-495.Full description at Econpapers || Download paper
- Equity prices and macroeconomic fundamentals: International evidence. (2011). Laopodis, Nikiforos.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:21:y:2011:i:2:p:247-276.Full description at Econpapers || Download paper
- Do stock returns lead real economic activity? Evidence from seasonal cointegration analysis. (2011). Hepsag, Aycan ; Goktas, Ozlem .
In: Economics Bulletin.
RePEc:ebl:ecbull:eb-10-00784.Full description at Econpapers || Download paper
- News driven business cycles and data on asset prices in estimated DSGE models. (2011). Avdjiev, Stefan.
In: BIS Working Papers.
RePEc:bis:biswps:358.Full description at Econpapers || Download paper
- The US stock market leads the Federal funds rate and Treasury bond yields. (2011). Sornette, Didier ; Zhou, Wei-Xing ; Cheng, Si-Wei ; Guo, Kun.
In: Papers.
RePEc:arx:papers:1102.2138.Full description at Econpapers || Download paper
- Asymmetric Volatility Spillovers between Stock Market and Real Activity: Evidence from the UK and the US. (2010). Papadopoulos, Athanasios ; Kanas, Angelos ; Giannellis, Nikolaos.
In: Panoeconomicus.
RePEc:voj:journl:v:57:y:2010:i:4:p:429-445.Full description at Econpapers || Download paper
- Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: CIRJE F-Series.
RePEc:tky:fseres:2010cf744.Full description at Econpapers || Download paper
- Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: CIRJE F-Series.
RePEc:tky:fseres:2010cf705.Full description at Econpapers || Download paper
- Credit risk and Disaster risk. (2010). Gourio, Francois.
In: 2010 Meeting Papers.
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- QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles. (2010). Nyberg, Henri.
In: MPRA Paper.
RePEc:pra:mprapa:23724.Full description at Econpapers || Download paper
- Investor preferences for oil spot and futures based on mean-variance and stochastic dominance. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: Econometric Institute Research Papers.
RePEc:ems:eureir:19455.Full description at Econpapers || Download paper
- Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: Econometric Institute Research Papers.
RePEc:ems:eureir:18038.Full description at Econpapers || Download paper
- The business cycle and the equity risk premium in real time. (2010). Pierdzioch, Christian ; Kizys, Renatas.
In: International Review of Economics & Finance.
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- Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed. (2010). Bernstein, Asaf ; Weidenmier, Marc D. ; Hughson, Eric.
In: Journal of Financial Economics.
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- Market efficiency of oil spot and futures: A mean-variance and stochastic dominance approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: Energy Economics.
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- Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: CARF F-Series.
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- Market Efficiency of Oil Spot and Futures: A Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: CARF F-Series.
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- Investor Preferences for Oil Spot and Futures Based on Mean-Variance and Stochastic Dominance. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: Working Papers in Economics.
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- Market Efficiency of Oil Spot and Futures: A Mean-Variance and Stochastic Dominance Approach. (2010). Wong, Wing-Keung ; McAleer, Michael ; Lean, Hooi Hooi.
In: Working Papers in Economics.
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- Predicting Stock Market Returns with Aggregate Discretionary Accruals. (2010). Liu, Qiao ; Kang, Qiang ; Qi, Rong .
In: Journal of Accounting Research.
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- Bread, peace and the attrition of power: Economic events and German election results. (2009). Sieg, Gernot ; Batool, Irem.
In: Economics Department Working Paper Series.
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- Can macroeconomic variables explain long-term stock market movements? A comparison of the US and Japan. (2009). Humpe, Andreas ; Macmillan, Peter.
In: Applied Financial Economics.
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- Disaster risk and business cycles. (2009). Gourio, Francois.
In: 2009 Meeting Papers.
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- Predictive Content of Output and Inflation For Stock Returns and Volatility: Evidence from Selected Asian Countries. (2009). Habibullah, Muzafar Shah ; Abdul Hamid, Baharom ; Baharom, A. H. ; Fong, Kin Hing .
In: MPRA Paper.
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- Disasters Risk and Business Cycles. (2009). Gourio, Francois.
In: NBER Working Papers.
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- Inflation Hedging for Long-Term Investors. (2009). Attie, Alexander P ; Roache, Shaun K.
In: IMF Working Papers.
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- Non-linear predictability in stock and bond returns: when and where is it exploitable?. (2009). Hyde, Stuart ; Guidolin, Massimo ; McMillan, David ; Ono, Sadayuki .
In: Working Papers.
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- The impact of individual and institutional investor sentiment on the market price of risk. (2009). Verma, Rahul ; Soydemir, Gokce.
In: The Quarterly Review of Economics and Finance.
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- Stock returns and economic activity in mature and emerging markets. (2009). Tsouma, Ekaterini.
In: The Quarterly Review of Economics and Finance.
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- Mapping the Presidential Election Cycle in US stock markets. (2009). Wong, Wing-Keung ; McAleer, Michael.
In: Mathematics and Computers in Simulation (MATCOM).
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- Predictability and the earnings-returns relation. (2009). Sadka, Gil.
In: Journal of Financial Economics.
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- Accruals, cash flows, and aggregate stock returns. (2009). Teoh, Siew Hong ; Hou, Kewei ; Hirshleifer, David.
In: Journal of Financial Economics.
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- Financial variables and euro area growth: A non-parametric causality analysis. (2009). Panopoulou, Ekaterini.
In: Economic Modelling.
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- Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model. (2009). Chang, Kuang-Liang.
In: Economic Modelling.
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- The information content of market liquidity: An empirical analysis of liquidity at the Oslo Stock Exchange?. (2009). Skjeltorp, Johannes ; Ødegaard, Bernt.
In: Working Paper.
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- CHANGE IN VOLATILITY REGIMES AND DIVERSIFICATION IN EMERGING STOCK MARKETS. (2009). Li, Leon.
In: South African Journal of Economics.
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- Aggregate Earnings and Asset Prices. (2009). Ball, Ray ; Sadka, Gil.
In: Journal of Accounting Research.
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- Uncertainty, Irreversibility, Durable Consumption and the Great Depression. (2009). JOÃO MIGUEL EJARQUE, .
In: Economica.
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- Increasing Derivatives Market Activity in Emerging Markets and Exchange Rate Exposure. (2008). Guldi, Melanie ; Aysun, Uluc.
In: Working papers.
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- Business conditions and nonrandom walk behaviour of US stocks and bonds returns. (2008). Jirasakuldech, B. ; Lee, Unro ; Emekter, Riza .
In: Applied Financial Economics.
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- Can a Lender of Last Resort Stabilize Financial Markets? Lessons from the Founding of the Fed. (2008). Weidenmier, Marc ; Bernstein, Asaf ; Hughson, Eric.
In: NBER Working Papers.
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- Rule Britannia!: British Stock Market Returns, 1825-1870. (2008). Ye, Qing ; Turner, John D ; Hickson, Charles R ; Acheson, Graeme G.
In: Working Papers.
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- Productivity and equity market fundamentals: 80 years of evidence for 11 OECD countries. (2008). Madsen, Jakob ; Davis, E.
In: Journal of International Money and Finance.
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- Bank stock returns and economic growth. (2008). Cole, Rebel ; Moshirian, Fariborz ; Wu, Qiongbing.
In: Journal of Banking & Finance.
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- Are survey forecasts of individual and institutional investor sentiments rational?. (2008). Verma, Rahul.
In: International Review of Financial Analysis.
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- Wavelet analysis of stock returns and aggregate economic activity. (2008). Gallegati, Marco.
In: Computational Statistics & Data Analysis.
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- Asymmetric Volatility Spillovers Î’etween Stock Market and Real Activity: Evidence from UK and US. (2008). Papadopoulos, Athanasios ; Kanas, Angelos ; Giannellis, Nikolaos.
In: Working Papers.
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- MONETARY POLICY INDICATORS AS PREDICTORS OF STOCK RETURNS. (2008). Becher, David ; Jensen, Gerald R. ; Mercer, Jeffrey M..
In: Journal of Financial Research.
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- STOCK RETURNS, ASYMMETRIC VOLATILITY, RISK AVERSION, AND BUSINESS CYCLE: SOME NEW EVIDENCE. (2008). Lee, Bong-Soo ; Kim, Sei-Wan.
In: Economic Inquiry.
RePEc:bla:ecinqu:v:46:y:2008:i:2:p:131-148.Full description at Econpapers || Download paper
- Dynamic analysis between the US stock returns and the macroeconomic variables. (2007). Sharma, Subhash ; Ratanapakorn, Orawan.
In: Applied Financial Economics.
RePEc:taf:apfiec:v:17:y:2007:i:5:p:369-377.Full description at Econpapers || Download paper
- Can macroeconomic variables explain long term stock market movements? A comparison of the US and Japan. (2007). Humpe, Andreas ; Macmillan, Peter.
In: CDMA Working Paper Series.
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- Accruals and Aggregate Stock Market Returns. (2007). Teoh, Siew Hong ; Hou, Kewei ; Hirshleifer, David.
In: MPRA Paper.
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- Macro Economic Uncertainty of 1990s and Volatility at Karachi Stock Exchange. (2007). Mamoon, Dawood.
In: MPRA Paper.
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- Bank stock returns and economic growth. (2007). Cole, Rebel ; Moshirian, Fari ; Wu, Qionbing.
In: MPRA Paper.
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- On the relationship between changes in stock prices and bond yields in the G7 countries: Wavelet analysis. (2007). In, Francis ; Kim, Sangbae.
In: Journal of International Financial Markets, Institutions and Money.
RePEc:eee:intfin:v:17:y:2007:i:2:p:167-179.Full description at Econpapers || Download paper
- Understanding Stock Price Volatility: The Role of Earnings. (2007). Sadka, Gil.
In: Journal of Accounting Research.
RePEc:bla:joares:v:45:y:2007:i:1:p:199-228.Full description at Econpapers || Download paper
- PARTISAN POLITICS, INTEREST RATES AND THE STOCK MARKET: EVIDENCE FROM AMERICAN AND BRITISH RETURNS IN THE TWENTIETH CENTURY. (2007). Mukherjee, Bumba ; Leblang, David.
In: Economics and Politics.
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- Regional Integration of Stock Markets in MENA Countries. (2006). .
In: Journal of Emerging Market Finance.
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- Looking far in the past:Revisiting the growth-returns nexus with non-parametric tests. (2006). pittis, nikitas ; Panopoulou, Ekaterini ; Kalyvitis, Sarantis.
In: Economics, Finance and Accounting Department Working Paper Series.
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- Random walk hypothesis in exchange rate reconsidered. (2006). Chu, Chia-Shang J. ; Lu, Hsin-Min.
In: Journal of Forecasting.
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- The predictive content of financial variables: Evidence from the euro area. (2006). Panopoulou, Ekaterini.
In: The Institute for International Integration Studies Discussion Paper Series.
RePEc:iis:dispap:iiisdp178.Full description at Econpapers || Download paper
- Looking far in the past: Revisiting the growth-returns nexus with non-parametric tests. (2006). pittis, nikitas ; Panopoulou, Ekaterini ; Kalyvitis, Sarantis.
In: The Institute for International Integration Studies Discussion Paper Series.
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- Linkages between extreme stock market and currency returns. (2006). Kouwenberg, Roy ; Cumperayot, Phornchanok ; Keijzer, Tjeert.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:25:y:2006:i:3:p:528-550.Full description at Econpapers || Download paper
- System identification in noisy data environments: An application to six Asian stock markets. (2006). Los, Cornelis.
In: Journal of Banking & Finance.
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- On the Role of Stock Market for Real Economic Activity. (2006). Siliverstovs, Boriss ; Duong, Manh Ha.
In: Discussion Papers of DIW Berlin.
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- The effect of OPEC policy decisions on oil and stock prices. (2006). Tarbert, Heather ; Russell, Alexander ; Marco G. D. Guidi, .
In: OPEC Energy Review.
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- Realâ€Time Risk Pricing Over the Business Cycle: Some Evidence for the UK. (2006). Alan, ; Evans, Kevin P.
In: Journal of Business Finance & Accounting.
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- Do European Stock Markets Affect Latin American Stock Markets?. (2005). Verma, Rahul ; Albuquerque, Pedro ; Rivas, Andres ; Rodriguez, Antonio .
In: Finance.
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- Koniunktura na rynku akcji a przyszły poziom aktywności gospodarczej. (2005). On, Eryk.
In: Gospodarka Narodowa.
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- Explaining Returns with Cash-Flow Proxies. (2005). Hecht, Peter ; Vuolteenaho, Tuomo .
In: NBER Working Papers.
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- Equity Return and Short-Term Interest Rate Volatility : Level Effects and Asymmetric Dynamics. (2005). Suardi, Sandy ; Olekalns, Nilss ; Henry, Ólan.
In: Department of Economics - Working Papers Series.
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- A Reexamination of the Wealth Effect and Uncertainty Effect. (2005). McGarrity, Joseph ; He, Ling.
In: International Advances in Economic Research.
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- A Reexamination of the Wealth Effect and Uncertainty Effect. (2005). McGarrity, Joseph ; He, Ling .
In: International Advances in Economic Research.
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- Stock prices and exchange rate dynamics. (2005). Phylaktis, Kate ; Ravazzolo, Fabiola.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:24:y:2005:i:7:p:1031-1053.Full description at Econpapers || Download paper
- System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets. (2004). Los, Cornelis.
In: International Finance.
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- Stock Prices, News and Economic Fluctuations. (2004). Portier, Franck ; Beaudry, Paul.
In: NBER Working Papers.
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- Equity Prices, Productivity Growth, and the New Economy. (2004). Madsen, Jakob ; Davis, E.
In: EPRU Working Paper Series.
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- Data errors in small data sets can determine empirical findings. (2004). .
In: Atlantic Economic Journal.
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- The determinants of stock returns in a small open economy. (2004). Isakov, Dusan ; Hoesli, Martin ; Cauchie, Severine.
In: International Review of Economics & Finance.
RePEc:eee:reveco:v:13:y:2004:i:2:p:167-185.Full description at Econpapers || Download paper
- Stock returns and real activity in the G-7 countries: did the relationship change during the 1980s?. (2004). Binswanger, Mathias.
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:44:y:2004:i:2:p:237-252.Full description at Econpapers || Download paper
- Is presidential cycle in security returns merely a reflection of business conditions?. (2003). Booth, Lena Chua .
In: Review of Financial Economics.
RePEc:wly:revfec:v:12:y:2003:i:2:p:131-159.Full description at Econpapers || Download paper
- Financial variables and real activity in Canada. (2003). Hassapis, Christis.
In: Canadian Journal of Economics/Revue canadienne d'économique.
RePEc:wly:canjec:v:36:y:2003:i:2:p:421-442.Full description at Econpapers || Download paper
- Do Stock Market Returns Predict Changes to Output? Evidence from a Nonlinear Panel Data Model. (2003). Olekalns, Nilss ; Henry, Ólan ; Thong, Jonathan.
In: Department of Economics - Working Papers Series.
RePEc:mlb:wpaper:868.Full description at Econpapers || Download paper
- Is presidential cycle in security returns merely a reflection of business conditions?. (2003). Booth, James R..
In: Review of Financial Economics.
RePEc:eee:revfin:v:12:y:2003:i:2:p:131-159.Full description at Econpapers || Download paper
- Are correlations of stock returns justified by subsequent changes in national outputs?. (2003). Harvey, Campbell ; Dumas, Bernard ; Ruiz, Pierre.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:22:y:2003:i:6:p:777-811.Full description at Econpapers || Download paper
- Rational speculators and equity volatility as a measure of ex ante risk. (2003). Kia, Amir.
In: Global Finance Journal.
RePEc:eee:glofin:v:14:y:2003:i:2:p:135-157.Full description at Econpapers || Download paper
- Stock returns and output growth in emerging and advanced economies. (2003). Mauro, Paolo.
In: Journal of Development Economics.
RePEc:eee:deveco:v:71:y:2003:i:1:p:129-153.Full description at Econpapers || Download paper
- The Relationship Between Financial Variables and Real Economic Activity: Evidence From Spectral and Wavelet Analyses. (2003). In, Francis Haeuck ; Kim, Sangbae.
In: Studies in Nonlinear Dynamics & Econometrics.
RePEc:bpj:sndecm:v:7:y:2003:i:4:n:4.Full description at Econpapers || Download paper
- Stochastic Trends and Cycles in National Stock Market Indices: Evidence from the U.S., the U.K. and Switzerland. (2002). Westermann, Frank.
In: Swiss Journal of Economics and Statistics (SJES).
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- Macroeconomic Factors Do Influence Aggregate Stock Returns. (2002). Flannery, Mark ; Protopapadakis, Aris A..
In: Review of Financial Studies.
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- THE CONSUMPTION-WEALTH AND BOOK-TO-MARKET RATIOS IN A DYNAMIC ASSET PRICING CONTEXT. (2002). Nieto, Belen ; Rodriguez-Barrera, Rosa.
In: Working Papers. Serie EC.
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- Modeling Stock Returns in the South African Stock Exchange: a Nonlinear Approach. (2002). Bonga-Bonga, Lumengo.
In: EcoMod2010.
RePEc:ekd:002596:259600034.Full description at Econpapers || Download paper
- Investigating the links between growth and real stock price changes with empirical evidence from the G-7 economies. (2002). Kalyvitis, Sarantis ; Hassapis, Christis.
In: The Quarterly Review of Economics and Finance.
RePEc:eee:quaeco:v:42:y:2002:i:3:p:543-575.Full description at Econpapers || Download paper
- On the propagation of the fluctuations of stock returns on growth: is the global effect important?. (2002). Kalyvitis, Sarantis ; Hassapis, Christis.
In: Journal of Policy Modeling.
RePEc:eee:jpolmo:v:24:y:2002:i:5:p:487-502.Full description at Econpapers || Download paper
- Measuring financial and economic integration with equity prices in emerging markets. (2002). Phylaktis, Kate ; Ravazzolo, Fabiola.
In: Journal of International Money and Finance.
RePEc:eee:jimfin:v:21:y:2002:i:6:p:879-903.Full description at Econpapers || Download paper
- Lets get real about using economic data. (2002). Swanson, Norman ; Ghysels, Eric ; Christoffersen, Peter.
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:9:y:2002:i:3:p:343-360.Full description at Econpapers || Download paper
- Stock selection, style rotation, and risk. (2002). Lucas, Andre ; Kloek, Teun ; Dijk, Ronald van ; van Dijk, Ronald .
In: Journal of Empirical Finance.
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- Smooth Transition Regression Models in UK Stock Returns. (2002). Aslanidis, Nektarios.
In: Working Papers.
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- Why was Stock Market Volatility so High During the Great Depression? Evidence from 10 Countries During the Interwar Period. (2002). Voth, Hans-Joachim.
In: CEPR Discussion Papers.
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- Stock Market, Interest Rate and Output: A Model and Estimation for US Time Series Data. (2002). Semmler, Willi ; Mittnik, Stefan ; Chiarella, Carl ; Zhu, Peiyuan .
In: Studies in Nonlinear Dynamics & Econometrics.
RePEc:bpj:sndecm:v:6:y:2002:i:1:n:2.Full description at Econpapers || Download paper
- Stock Selection, Style Rotation, and Risk. (2001). Lucas, Andre ; Kloek, Teun ; van Dijk, Ronald .
In: Tinbergen Institute Discussion Papers.
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- Lets Get Real about Using Economic Data.. (2001). Swanson, Norman ; Ghysels, Eric ; Christoffersen, Peter.
In: EPRU Working Paper Series.
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- Selecting macroeconomic variables as explanatory factors of emerging stock market returns. (2001). Bilson, Christopher M. ; Hooper, Vincent J. ; Brailsford, Timothy J..
In: Pacific-Basin Finance Journal.
RePEc:eee:pacfin:v:9:y:2001:i:4:p:401-426.Full description at Econpapers || Download paper
- Predicting returns and changes in real activity: evidence from emerging economies. (2001). Rangvid, Jesper .
In: Emerging Markets Review.
RePEc:eee:ememar:v:2:y:2001:i:4:p:309-329.Full description at Econpapers || Download paper
- Economic tracking portfolios. (2001). Lamont, Owen.
In: Journal of Econometrics.
RePEc:eee:econom:v:105:y:2001:i:1:p:161-184.Full description at Econpapers || Download paper
- What explains price volatility changes in commodity markets? Answers from the world palm-oil market. (2001). Voituriez, Tancrede .
In: Agricultural Economics.
RePEc:eee:agecon:v:25:y:2001:i:2-3:p:295-301.Full description at Econpapers || Download paper
- Lets Get Real about Using Economic Data. (2001). Swanson, Norman ; Ghysels, Eric ; Christoffersen, Peter.
In: CIRANO Working Papers.
RePEc:cir:cirwor:2001s-44.Full description at Econpapers || Download paper
- Advance Information and Asset Prices. (2001). Miao, Jianjun ; Albuquerque, Rui.
In: Boston University - Department of Economics - Working Papers Series.
RePEc:bos:wpaper:wp2009-017.Full description at Econpapers || Download paper
- Stock returns and real activity: is there still a connection?. (2000). Binswanger, Mathias.
In: Applied Financial Economics.
RePEc:taf:apfiec:v:10:y:2000:i:4:p:379-387.Full description at Econpapers || Download paper
- Bread and Peace Voting in U.S. Presidential Elections. (2000). Hibbs, Douglas.
In: Public Choice.
RePEc:kap:pubcho:v:104:y:2000:i:1:p:149-180.Full description at Econpapers || Download paper
- Lets Get Real About Using Economic Data. (2000). Swanson, Norman ; Ghysels, Eric ; Christoffersen, Peter.
In: Econometric Society World Congress 2000 Contributed Papers.
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- Economic Tracking Portfolios. (1999). Lamont, Owen.
In: NBER Working Papers.
RePEc:nbr:nberwo:7055.Full description at Econpapers || Download paper
- Does the stock market predict real activity? Time series evidence from the G-7 countries. (1999). Hauser, Shmuel ; Choi, Jongmoo Jay ; Kopecky, Kenneth J..
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:23:y:1999:i:12:p:1771-1792.Full description at Econpapers || Download paper
- Term Spreads and Predictions of Bond and Stock Excess Returns. (1998). Domian, Dale L. ; Reichenstein, William .
In: Financial Services Review.
RePEc:eee:finser:v:7:y:1998:i:1:p:25-44.Full description at Econpapers || Download paper
- Volatility and cross correlation across major stock markets. (1998). Ramchand, Latha ; Susmel, Raul .
In: Journal of Empirical Finance.
RePEc:eee:empfin:v:5:y:1998:i:4:p:397-416.Full description at Econpapers || Download paper
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