Results 1 to 10 of about 11,876 (166)
Green Ambiguity Shapes Sustainable Investing
Business Strategy and the Environment, EarlyView.ABSTRACT Green Exchange‐Traded Funds (ETFs) have experienced strong growth in recent years, reflecting increasing investor attention toward sustainability. However, these funds rely on a wide range of environmental metrics that are often weakly aligned, raising concerns about the meaning of greenness in sustainable investing.
Rita Laura D'Ecclesia +2 more
wiley +1 more source
Journal of Forecasting, EarlyView.ABSTRACT Using online job advertisement data improves the timeliness and granularity depth of analysis in the labor market in domains not covered by official data. Specifically, its variation over time may be used as an anticipator of official employment variations.
Pietro Giorgio Lovaglio +1 more
wiley +1 more source
A Deep Learning Framework for Forecasting Medium‐Term Covariance in Multiasset Portfolios
Journal of Forecasting, EarlyView.ABSTRACT Forecasting the covariance matrix of asset returns is central to portfolio construction, risk management, and asset pricing. However, most existing models struggle at medium‐term horizons, several weeks to months, where shifting market regimes and slower dynamics prevail.
Pedro Reis, Ana Paula Serra, João Gama
wiley +1 more source
Forecasting House Prices: The Role of Market Interconnectedness
Journal of Forecasting, EarlyView.ABSTRACT While the existing research uncovers interconnections between various housing markets, it largely ignores the question of whether such linkages can improve house price predictions. To address this issue, we proceed in two steps. First, we forecast disaggregated house price growth rates from Australia and China to determine whether ...
Zac Chen +3 more
wiley +1 more source
Regime‐Dependent Nowcasting of the Austrian Economy
Journal of Forecasting, EarlyView.ABSTRACT We nowcast and forecast economic activity in Austria, namely, real gross domestic product (GDP), consumption, and investment, which are available at a quarterly frequency, using a preselected number of monthly indicators based on a combination of statistical procedures.
Jaroslava Hlouskova, Ines Fortin
wiley +1 more source
The Role of Price‐Volatility Cojumps in Volatility Forecasting
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether simultaneous jumps in prices and volatility improve volatility forecasting. Using up‐to‐date high‐frequency S&P 500 and VIX data, we identify price‐volatility cojumps at the intraday granularity and construct upside, downside, and asymmetric measures.
Kefu Liao
wiley +1 more source
On the Comovement of Contango and Backwardation Across Futures Commodity Markets
Journal of Futures Markets, EarlyView.ABSTRACT We examine the time‐varying nature of the comovement of the slope of the futures curve in major agricultural, metals and energy commodity futures markets in a Global Vector Autoregressive model. We find significant comovement between the slopes, indicating the co‐existence of backwardation and contango in many seemingly unrelated commodity ...
Angelo Luisi +2 more
wiley +1 more source
Forecasting Related Time Series
Journal of Applied Econometrics, EarlyView.ABSTRACT A collection of time series are “related” if they follow similar stochastic processes and/or they are statistically dependent. This paper proposes a related time series (RTS) forecasting model that exploits these relationships. The model's foundation is a set of univariate Gaussian autoregressions, one for each series, which are then augmented
Ulrich K. Müller, Mark W. Watson
wiley +1 more source
ESG Thematic Bonds in Emerging Markets: Risk, Uncertainty, and Ambiguity
European Financial Management, EarlyView.ABSTRACT We examine the impact of risk aversion, ambiguity, and uncertainty (geopolitical and economic) on the ESG thematic bond markets in emerging countries. We analyze ESG sovereign (both USD and local currency denominated) and corporate bond markets on the aggregate and regional levels.
Nebojsa Dimic +3 more
wiley +1 more source
Optimal Hedging Strategies in the Low‐Sulphur Bunker Fuel Landscape
European Financial Management, EarlyView.ABSTRACT The IMO2020 regulation for the green transition in shipping turned the industry into using two compliant bunker fuels: very low‐sulphur fuel oil (VLSFO) and low‐sulphur marine gas oil (LSMGO). VLSFO futures contracts introduced in late 2019 and other energy‐related futures contracts indicate that the VLSFO contracts trading on the Singapore ...
Xiwen Bai +2 more
wiley +1 more source