Correlations between Momentum and Term Structure Returns
QCD prediction of jet structure in 2D trigger-associated momentum correlations and implications for multiple parton interactions
... jet structure is most ob- ...and correlations from high- energy nuclear collisions and explicit phenomenology of event-wise-reconstructed jets and dijets in p-p, A-A, and e + -e − ...TA correlations ...
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Angular Correlations of Particle Momentum in the Hot Dense Medium
... the momentum correlations between particles moving in the opposite direction in the hot ...particles’ momentum. After they move out of the hot medium, their momentum angular is NOT pi ...
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Energy-momentum correlations for Abelian Higgs cosmic strings
... (Dated: July 17, 2020) We report on the energy-momentum correlators obtained with recent numerical simulations of the Abelian Higgs model, essential for the computation of cosmic microwave background and matter ...
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Calculating light-cone correlations on lattice using large-momentum effective theory
... momentum observables in lattice calculations provide an approach to calculating all parton physics.. Large momentum effective theory, or LaMET.[r] ...
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Commodity strategies based on momentum, term structure, and idiosyncratic volatility
... pairwise correlations and significance p-values are reported in Table ...portfolio returns are essentially uncorrelated with the S&P 500 index returns and with Barclays bond index ...correlation ...
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On commodity trading strategies: momentum, term structure, maturity, indexation
... the momentum and term structure signals enhances the abnormal performance of either of the individual single-sort ...profitable momentum-only and TS-only strategies earn on average an abnormal ...
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Tactical allocation in commodity futures markets: Combining momentum and term structure signals
... the momentum and term structure signals enhances the abnormal performance of either of the individual single-sort ...profitable momentum-only and TS-only strategies earn on average an abnormal ...
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Production-Based Term Structure of Equity Returns
... accumulation and allows q K,t+1 to react positively to long-run shocks. As noted by Croce (2008), convex adjustment costs mitigate the general equilibrium effect and enhance the equity premium, but at the cost of ...
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Dynamic correlations and forecasting of term structure slopes in eurocurrency market
... lagged correlations among slopes, we have also examined the extent to which the explanatory power across countries could be translated into improved ...relationship between slopes needs to be predicted in ...
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The term structure of implied dividend yields and expected returns
... Index returns, yet the empirical evidence is ...difference between the expected return and the expected dividend growth ( Campbell and Shiller, 1988 ); when such two variables are positively correlated, the ...
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The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market
... metal returns, we employ the following two variables: lagged ...excess returns on gold and silver, which are statistically significant at the 1% level, except for gold in the upper quantile 5 ...excess ...
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The Impact of the 2008 Crisis on BM&FBovespa’s Term Structure of Conditional Correlations
... and the Post-Crisis Period, between 07/01/2009 and 12/31/2011, with 560 returns for each index. These periods were chosen according to the Business Cycle dating Dating Committee of the National Bureau of ...
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Time-varying Correlations of Russian and U.S. Equity Returns
... by looking at the change in correlation between 13 stocks in the RTS index and the S&P 500 index. All the prices are obtained from Datastrem. In order to calculate the country risk premium we use the spread ...
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Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach
... Correlation Structure between Inflation and Oil Futures Returns: An Equilibrium Approach Abstract We use an equilibrium model of a monetary economy to understand the economics behind the correlation ...
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Long-Term Global Market Correlations
... correlation structure of world equity market over the period from 1850 to the present using the largest available sample of time-series data we can ...equity correlations change dramatically through time, ...
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Simulation of Long-term Returns with Stochastic Correlations
... The recent sovereign crisis in Europe (2009-2011) has deeply affected previous financial markets conditions leading to a phase of unprecedented monetary easing and low interest rates, which unlike in the past, were not ...
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Stock Returns and the Term Structure
... In each table the excess return on 2-month bills, 20-year bonds or stock over 1-month bills is regressed on five sets of variables: a constant and the short interest rate in each row, al[r] ...
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Three essays on momentum returns
... in momentum returns between SSE and SZSE appears to be related to firm size since SZSE is dominated by small ...large momentum returns before the Global financial crisis and negative ...
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The advantages of using excess returns to model the term structure
... 4.3. Preliminary cross-section tests Our empirical tests start by examining the cross-sectional behaviour of yields, log prices and returns using a conventional three factor model. At this stage we only consider ...
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Conditional Correlations and Volatility Spillovers Between Crude Oil and Stock Index Returns
... Second, each common stock price in the stock index is not affected equally or contemporaneously by fluctuations in oil prices. The service sectors, namely media, entertainment, support services, hotel and transportation, ...
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