Results 21 to 30 of about 11,876 (166)
Journal of Time Series Analysis, EarlyView.ABSTRACT The paper deals with the construction of a synthetic indicator of economic growth, obtained by projecting a quarterly measure of aggregate economic activity, namely gross domestic product (GDP), into the space spanned by a finite number of smooth principal components, representative of the medium‐to‐long‐run component of economic growth of a ...
Alessandro Giovannelli +2 more
wiley +1 more source
Strategic (Inconsistent) Disclosures and Sophisticated Investors: Evidence from Hedge Funds
Journal of Accounting Research, Volume 64, Issue 2, Page 923-978, May 2026.ABSTRACT Recent SEC regulations require that qualified hedge fund advisers provide their investors with narrative disclosures of their business and operations. We find that 40% of these disclosures omit or de‐emphasize information regarding advisers' operational and investment risks when compared to other sources of public information. Funds with such “
YICHANG LIU +2 more
wiley +1 more source
sticky prices and comovement of business cycle [PDF]
A defining characteristic of business cycle is comovements of economic variables across sectors. But it is not easy to replicate these comovements in standard real business cycle models. Traditionally, however, not only the productivity shocks emphasized
Junhee Lee
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Time-Varying Comovements in Developed and Emerging European Stock Markets: Evidence from Intraday Data [PDF]
, 2007 We study comovements between three developed (France, Germany, the United Kingdom) and three emerging (the Czech Republic, Hungary and Poland) European stock markets.
Kocenda, Evûen, Égert, Balázs
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How Does Credit Information Sharing Shape the Cyclicality of Bank Liquidity Creation?
Financial Review, Volume 61, Issue 2, Page 601-628, May 2026.ABSTRACT We investigate the effect of credit information sharing in the banking sector on the fluctuations of bank liquidity creation over the business cycle. Using the Berger and Bouwman comprehensive measure of bank liquidity creation and data representing 354 banks from 40 developing countries between 2012 and 2020, we find that on‐ and off‐balance ...
Jeffrey Ighedosa +2 more
wiley +1 more source
Journal of Forecasting, Volume 45, Issue 3, Page 1110-1128, April 2026.ABSTRACT Pairs trading, a popular algorithmic trading strategy, exploits the short‐term price difference (spread) between two comoving assets. Empirically, the spread distribution of most assets in pairs trading has a fat‐tail characteristic that does not follow a normal distribution.
Yuhee Kwon, Youngsoo Choi
wiley +1 more source
International Macroeconomic Dynamics: a Factor Vector Autoregressive Approach [PDF]
In this paper international comovements among a set of key real and nominal macroeconomic variables for the G-7 countries have been investigated for the 1980-2005 period, using a Factor Vector Autoregressive approach. We present evidence that comovements
Claudio Morana, Fabio C. Bagliano
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The Case of Fleeting Orders and Flickering Quotes
Journal of Futures Markets, Volume 46, Issue 4, Page 629-652, April 2026.ABSTRACT The literature controversially discusses the ambiguous motives and driving forces behind quickly cancelled limit orders (fleeting orders), which are characteristic of high‐frequency markets. In particular, manipulative and dysfunctional characteristics are feared. We analyze top‐of‐book fleeting orders—so‐called flickering quotes—and show with
Markus Ulze +2 more
wiley +1 more source
International comovements, business cycle and inflation: a historical perspective [PDF]
Using a dynamic factor model, we uncover four main empirical or international comovements in a long-run panel of real and nominal variables. First, the countribution of world comovements to domestic output growth has decreased over the post-WWII period ...
Mumtaz, Haroon +2 more
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Identifying the evolution of stock markets stochastic structure after the euro [PDF]
, 2008 Previous studies have investigated the comovements of international equity markets by using correlation, cointegration, common factor analysis, and other approaches.
Caiado, Jorge, Crato, Nuno
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