In our opinion, if a variable exhibits significant forecasting power for stock market returns, there should be a conditioning asset pricing model on that variable with

2017 – 2020 Member, Doctor of Nursing Practice Program Curriculum Subcommittee 2016 – 2019 Co-Leader, Leadership in Health Care Systems Faculty Committee 2014 – 2016 Member,

Table 2 shows that changes in the oil price has strong predictive power for both nominal and real returns and for both actual and excess returns.. Nominal oil price changes fore-

Cremers, M. Deviations from put-call parity and stock return predictability.. Liquidity, information, and infrequently traded stocks. Srinivas, 1998, Option Volume and Stock

MV is realized stock market variance; IV is the CAPM-based average idiosyncratic variance constructed using the 100 largest stocks; V_IVF is realized variance of the hedging

Our findings indicate that real oil prices are useful predictors of the direction of stock returns in a number of markets over and above commonly used predictors, but results

Therefore, based on the theory put forward by Christoffersen and Diebold (2006), we consider only these two volatility models when constructing return sign forecasts.. We

In addition to the comparisons based on the out-of-sample R-squared, defined as one minus the ratio of the mean squared prediction error (MSPE) from the Fed model with Taylor rule

With the additional pressure, Tiffany glances and takes note of the other aircrafts on the radar, just to make sure, before she sends the new information to the waiting

Given that the EGARCH-SVI and the EGARCH models produce the best volatility forecasts among all competing models under consideration, we now further explore whether we can exploit

While only United States stock market assets were used in the analysis, this project did examine how significant political events which occurred in foreign countries can affect

Ciner (2001) investigates the relationship between oil prices and the stock market in the United States using daily data and find the evidence that oil shocks affect stock

We analyze the predictability of US aggregate stock market return volatility using a measure of credit conditions, credit standards (Standards), from the Federal Reserve Board’s

1 Extended version of this paper is available online.. The following sample selection criteria are imposed: 1) Full information (daily basis) for trade options, 2) Daily stock

The findings confirm the impact of idiosyncratic volatility on stock returns predictability; the best predictor among the different volatility measures used is the

GRIGLIA INTERNA CR130/CR195 INTERNAL SHELF FOR CR130/CR195 FILONCINO PER BALCONCINO PORTA METAL RETEINER CR130 RIPIANO IN VETRO GLASS SHELF CR130 SET 2pz CASSETTO PORTAVERDURE

Panel A reports the out-of-sample forecasting results for the open-to-close daytime stock returns on Shanghai stock exchange (SSE) index, which are generated by the recursive

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