Directory UMM :Data Elmu:jurnal:J-a:Journal of Empirical Finance (New):Vol7.Issue1-2.2000:
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and the return on the market index. The Switching Regime Beta Model SRBM is a sort of market model or better a single factor model in the APT framework where the return of a
document that the conditional variances, covariances, and correlations of bond excess returns are significantly larger on macroeconomic announcement days. The excess returns of
The attractiveness of floor trading versus anonymous electronic trading systems for traders is analysed. We hypothesize that in times of low information intensity, the insight into
macroeconomic announcement effects in the US Treasury bond market 37 Bowden, R.J., The ordered mean difference as a portfolio performance measure 195 Brockman, P.. Chung, An
The DDMS model considered in this study is only a two-state model, however, it acts like a large N state model in that it can capture a broad range of volatility levels
This paper examines the correlation across a number of international stock market indices. As correlation is not observable, we assume it to be a latent variable whose dynamics must
In this paper we have two goals: first, we want to represent monthly stock market fluctuations by constructing a non-linear coincident financial indicator. The indicator is
a long-run equilibrium between yields, default rates, and Treasuries , mutual fund flows, minor bond ratings, debt subordination measures, a stock index, and a January
