Modeling and Forecasting Aggregate Stock Market Volatility in Unstable Environments using Mixture Innovation Regressions
Sign Up to like & getrecommendations! Published in 2017 at "Journal of Forecasting"
DOI: 10.1002/for.2466
Abstract: We examine whether it is possible to improve volatility forecasts by simultaneously accounting for parameter instability and model uncertainty. Changes in the regression coefficients and/or the error variance are driven by mixture distributions for state… read more here.
Keywords: volatility; stock market; modeling forecasting; mixture ... See more keywords
Cash conversion cycle and aggregate stock returns
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Financial Markets"
DOI: 10.1016/j.finmar.2020.100560
Abstract: Abstract In this paper, we empirically evaluate U.S. market return predictability based on an aggregate measure constructed from the bottom-up firm-level cash conversion cycle (CCC) for 1976–2018. We show that in sharp contrast to previous… read more here.
Keywords: conversion cycle; cash; aggregate; cash conversion ... See more keywords