June 2019 - 17 articles
The predictive power of the yield curve slope, or the yield spread is well established in the United States (US) and European Union (EU) countries since 1998. However, there exists a gap in the literature on the predictive power of the yield spread o...
Financial times series, and commodity prices in particular, are known to exhibit fat tails in the distribution of prices. As with many natural resources price series, the arrival of new information can lead to unexpectedly rapid changes—or jump...
This paper employs Granger causality tests to analyze the role of speculators using weekly COTR (commitment of traders reports) data covering the period of August 2014 to July 2017. The paper presents statistically significant evidence that the posit...
A high liquidity, low expense ratio and the possibility to conduct arbitrage allow exchange-traded funds (ETFs) to be used for short sales. Bearish investors can also buy inverse ETFs. This paper aims to outline two investment approaches for bearish...
Given ongoing financial disintermediation and the need for central banks to establish interest rate corridors, commercial banks have increasingly enriched their asset allocation choices, forming an allocation pattern that combines traditional credit...
Using the panel vector autoregression (VAR) method, this paper documents relationships between investor attention and stock market activities; i.e., return, volatility, and trading volume, respectively. In sum, bidirectional dynamic interdependence o...
The paper discusses methodological topics of bankruptcy prediction modelling—unbalanced sampling, sample bias, and unbiased predictions of bankruptcy. Bankruptcy models are typically estimated with the use of non-random samples, which creates s...
Market efficiency has been analyzed through many studies using different linear methods. However, studies on financial econometrics reveal that financial time series exhibit nonlinear patterns because of various reasons. This paper examines market ef...
Stock market prediction has always caught the attention of many analysts and researchers. Popular theories suggest that stock markets are essentially a random walk and it is a fool’s game to try and predict them. Predicting stock prices is a ch...
In this paper, we analyze the main characteristics of European Small and Medium Enterprises (SMEs), related to the demand for and access to external financial resources. We use microdata from an extensive database, elaborated by the European Central...
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