Zobrazeno 1 - 10
of 144
pro vyhledávání: '"Riza Demirer"'
Publikováno v:
Quantitative Finance and Economics, Vol 7, Iss 3, Pp 475-490 (2023)
We examine the potential of gold and other precious metals as safe havens during negative market shocks caused by the Global Financial Cycle (GFCy). We analyze a vast global vector autoregressive (GVAR) model that includes developing and emerging mar
Externí odkaz:
https://doaj.org/article/9a0a31b5a74e4f7b88886634fb080dfc
Autor:
Riza Demirer, Shrikant Jategaonkar
Publikováno v:
Applied Finance Letters, Vol 9 (2020)
We show that time-varying risk aversion serves as a significant predictor of stock market momentum in the U.S. and globally. Risk aversion is found to be a robust predictor of momentum returns even after controlling for various well established stock
Externí odkaz:
https://doaj.org/article/565ae80d3b8a43f5b88740027a73c319
Publikováno v:
Risks, Vol 9, Iss 9, p 168 (2021)
The aim of this study is to understand the effect of the recent novel coronavirus pandemic on investor herding behavior in global stock markets. Utilizing a daily newspaper-based index of financial uncertainty associated with infectious diseases, we
Externí odkaz:
https://doaj.org/article/22a9e156e67c411b91949c1c518ce914
Publikováno v:
Mathematics, Vol 9, Iss 8, p 915 (2021)
This paper introduces a new methodology to estimate time-varying alphas and betas in conditional factor models, which allows substantial flexibility in a time-varying framework. To circumvent problems associated with the previous approaches, we intro
Externí odkaz:
https://doaj.org/article/66d63cc1fe924576a189004b77eb2200
Publikováno v:
Mathematics, Vol 8, Iss 12, p 2255 (2020)
This paper examines the role of non-cash flow factors over correlation jumps in financial markets. Utilizing time-varying risk aversion measure as a proxy for investor sentiment and the cross-quantilogram method applied to intraday data, we show that
Externí odkaz:
https://doaj.org/article/7523c42464774f2eb1cfa6163841f745
Publikováno v:
Energies, Vol 13, Iss 16, p 4090 (2020)
We examine the predictive power of a daily newspaper-based index of uncertainty associated with infectious diseases (EMVID) for oil-market volatility. Using the heterogeneous autoregressive realized volatility (HAR-RV) model, we document a positive e
Externí odkaz:
https://doaj.org/article/4f5f75d8ae434bed803658ee48f04197
Publikováno v:
Economies, Vol 8, Iss 1, p 18 (2020)
This paper examines the predictive power of time-varying risk aversion over payoffs to the carry trade strategy via the cross-quantilogram methodology. Our analysis yields significant evidence of directional predictability from risk aversion to daily
Externí odkaz:
https://doaj.org/article/a5321a0b771c477c883946a63d0fd62d
Publikováno v:
Journal of Economic Behavior & Organization. 211:31-48
Publikováno v:
The Quarterly Review of Economics and Finance. 88:295-302
Publikováno v:
Journal of Forecasting
This paper examines the predictive power of interest rate uncertainty over pre-provision net revenues (PPNR) in a large panel of bank holding companies (BHC). Utilizing a linear dynamic panel model based on Bayes predictor, we show that supplementing