18 results with keyword: 'stock market returns volatility and future output'
For these two sample periods, I find that excess returns actually drive out variance in forecast- ing output growth; moreover, only return terms are statistically significant if I
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2017 – 2020 Member, Doctor of Nursing Practice Program Curriculum Subcommittee 2016 – 2019 Co-Leader, Leadership in Health Care Systems Faculty Committee 2014 – 2016 Member,
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Guo (2006) finds a positive risk-return relation by controlling for CAY in the forecasting equation of stock market returns, and his results also suggest an omitted variables problem:
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Transport av olje og gass, det vil si transporttjenesten fra sokkelgrense til mottaksterminal i utlandet, inngår som direkte eksport og beregnes av næringsansvarlig
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12 30 – 12 45 Kachniarz M., Szewczyk R., Bieńkowski A.; Industrial Research Institute for Automation and Measurements PIAP, Warsaw, Poland/Warsaw University of Technology, Poland:
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Following Angrist and Pischke (2009), we estimate the so-called ATT (Average Treatment Effect on the Treated), i.e. the average effect of treatment on the treated. The ATT
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This paper develops a framework to analyze the business cycle movements of stock market returns, volatility and volatility risk-premia. In our model, the aggregate stock market
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by estimating Model 2 with the conditional volatility of the MSCI World stock market index. and Model 3 with the conditional volatility of domestic stock
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Classification matrix based on linear discriminant analysis of Procrustes coordinates derived from adult male Blueback Herring caught in North Carolina (Chowan and Yeopim rivers)
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In particular, we apply Hamilton's (1989) Markov switching model to the time series of monthly stock market returns and examine the variation in volatility in different return
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study reveals that coefficients linking conditional market returns to conditional volatility are positive but statistically insignificant. This result is conform to
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markets returns, while increases in the volatility of policy uncertainty lead to negative stock market.. returns and
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Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is
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The results of both GARCH model and EGARCH model are consistent as both can eliminate the conditional heteroskedasticity and the preholiday still shows higher returns than
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By using a sample of 730 A-share IPOs during 2009 and 2011 in Chinese IPO markets, and after controlling the traditional IPO underpricing factors, I use newly increased numbers
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We conclude that in the index future market, the middle-term and long-term volatility has larger impact on future volatility and the stock index futures market in
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