Nothing Special   »   [go: up one dir, main page]

create a website
Stock returns and inflation risk: economic versus statistical evidence. (2013). Spierdijk, Laura ; Katzur, Tomek .
In: Applied Financial Economics.
RePEc:taf:apfiec:v:23:y:2013:i:13:p:1123-1136.

Full description at Econpapers || Download paper

Cited: 2

Citations received by this document

Cites: 29

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Relationship between stock returns and inflation: New evidence from the US using wavelet and causality methods. (2022). Tiwari, Aviral ; Roubaud, David ; Awodumi, Olabanji B ; Adewuyi, Adeolu O.
    In: International Journal of Finance & Economics.
    RePEc:wly:ijfiec:v:27:y:2022:i:4:p:4515-4540.

    Full description at Econpapers || Download paper

  2. In search of the determinants of European asset market comovements. (2016). Taamouti, Abderrahim ; Gomes, Pedro.
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:44:y:2016:i:c:p:103-117.

    Full description at Econpapers || Download paper

References

References cited by this document

    References contributed by pko254-28796

  1. Ang, A. and Bekaert, G. (2002) International asset allocation with regime shifts, Review of Financial Studies, 15, 1137–87.

  2. Ang, A. and Bekaert, G. (2007) Stock return predictability: is it there? Review of Financial Studies, 20, 651–707.

  3. Ang, A., Bekaert, G. and Wei, M. (2007) Do macro variables, asset markets, or surveys forecast in?ation better?, Journal of Monetary Economics, 54, 1163–212.

  4. Barberis, N. (2000) Investing for the long run when returns are predictable, Journal of Finance, 55, 225–64.

  5. Barnes, M., Boyd, J. H. and Smith, B. D. (1999) In?ation and asset returns, European Economic Review, 43, 737–54.

  6. Bekaert, G. and Wang, X. S. (2010) In?ation risk and the in?ation risk premium, Economic Policy, 25, 755–806.
    Paper not yet in RePEc: Add citation now
  7. Blake, D. (1996) Ef?ciency, risk aversion and portfolio insurance: an analysis of ?nancial asset portfolios held by investors in the United Kingdom, Economic Journal, 106, 1175–92.

  8. Boudoukh, J. and Richardson, M. (1993) Stock returns and in?ation: a long-horizon perspective, American Economic Review, 83, 1346–55.
    Paper not yet in RePEc: Add citation now
  9. Boudoukh, J., Richardson, M. and Whitelaw, R. F. (2008) The myth of long-horizon predictability, Review of Financial Studies, 21, 1577–1605.

  10. Campbell, J. Y. and Viceira, L. M. (2002) Strategic Asset Allocation: Portfolio Choice for Long-Term Investors, Oxford University Press, Oxford.

  11. Fama, E. F. (1981) Stock returns, real activity, in?ation and money, American Economic Review, 71, 545–65.
    Paper not yet in RePEc: Add citation now
  12. Fama, E. F. and MacBeth, J. D. (1974) Tests of the multiperiod two-parameter model, Journal of Financial Economics, 1, 43–66.

  13. Fama, E. F. and Schwert, G. W. (1977) Asset returns and in?ation, Journal of Financial Economics, 5, 115–46.
    Paper not yet in RePEc: Add citation now
  14. Fisher, I. (1930) The Theory of Interest, MacMillan, New York, NY.
    Paper not yet in RePEc: Add citation now
  15. Fleming, J., Kirby, C. and Ostdiek, B. (2001) The economic value of volatility timing, Journal of Finance, 56, 329–52.

  16. Friend, I. and Blume, M. E. (1975) The demand for risky assets, American Economic Review, 65, 900–22.

  17. Guidolin, M. and Timmermann, A. (2007) Asset allocation under multivariate regime switching, Journal of Economic Dynamics and Control, 31, 3503–44.

  18. Kadiyala, K. R. and Karlsson, S. (1997) Numerical methods for estimation and inference in Bayesian VAR models, Journal of Applied Econometrics, 12, 99–132.

  19. Kandel, S. and Stambaugh, R. F. (1996) On the predictability of stock returns: an asset-allocation perspective, Journal of Finance, 51, 385–424.

  20. Koop, G. and Korobilis, D. (2009) Bayesian multivariate time series methods for empirical macroeconomics, MPRA Paper 20125. Munich University Library, Munich, Germany.

  21. Meyer, D. J. and Meyer, J. (2005) Relative risk aversion: what do we know?, Journal of Risk and Uncertainty, 31, 243–62.

  22. Modigliani, F. and Cohn, R. A. (1979) In?ation, rational valuation and the market, Financial Analyst Journal, 35, 24–34.
    Paper not yet in RePEc: Add citation now
  23. Schmeling, M. and Schrimpf, A. (2011) Expected in?ation, expected stock returns and money illusion. What can we learn from survey expectations, European Economic Review, 55, 702–19.

  24. Schotman, P. C. and Schweitzer, M. (2000) Horizon sensitivity of the in?ation hedge of stocks, Journal of Empirical Finance, 7, 301–15.
    Paper not yet in RePEc: Add citation now
  25. Sims, C. A., Stock, J. H. and Watson, M. W. (1990) Inference in linear time series models with some unit roots, Econometrica, 58, 161–82.

  26. Solnik, B. (1983) The relation between stock prices and in?ationary expectations: the international evidence, Journal of Finance, 38, 35–48.
    Paper not yet in RePEc: Add citation now
  27. Solnik, B. and Solnik, V. (1997) A multi-country test of the?sher model for stock returns, Journal of International Financial Markets, Institutions and Money, 7, 289-301.
    Paper not yet in RePEc: Add citation now
  28. Stock, J. H. and Watson, M. W. (2006) Why has U.S. in?ation become harder to forecast?, NBER Working Paper 12324. National Bureau of Economic Research, Cambridge, MA.

  29. Swinkels, L. A. P. (2012) Emerging markets in?ation-linked bonds, Financial Analysts Journal, 68, 38–56.

Cocites

Documents in RePEc which have cited the same bibliography

  1. Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik.
    In: MPRA Paper.
    RePEc:pra:mprapa:106684.

    Full description at Econpapers || Download paper

  2. Measuring contagion between energy market and stock market during financial crisis: A copula approach. (2012). Huang, Dengshi ; Wei, YU ; Wen, Xiaoqian.
    In: Energy Economics.
    RePEc:eee:eneeco:v:34:y:2012:i:5:p:1435-1446.

    Full description at Econpapers || Download paper

  3. Time-varying performance of international mutual funds. (2012). Zhang, Chengping ; Turtle, H. J..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:3:p:334-348.

    Full description at Econpapers || Download paper

  4. Moments of multivariate regime switching with application to risk-return trade-off. (2012). Taamouti, Abderrahim.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:292-308.

    Full description at Econpapers || Download paper

  5. Contagion in International Stock Markets during the Sub Prime Mortgage Crisis. (2012). Lee, Hsien-Yi .
    In: International Journal of Economics and Financial Issues.
    RePEc:eco:journ1:2012-01-6.

    Full description at Econpapers || Download paper

  6. Inflation hedging portfolios in different regimes. (2011). Briere, Marie ; Signori, Ombretta.
    In: BIS Papers chapters.
    RePEc:bis:bisbpc:58-08.

    Full description at Econpapers || Download paper

  7. Components of bull and bear markets: bull corrections and bear rallies. (2010). Song, Yong ; McCurdy, Tom ; Maheu, John.
    In: Working Papers.
    RePEc:tor:tecipa:tecipa-402.

    Full description at Econpapers || Download paper

  8. Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies. (2008). Hyde, Stuart ; Bredin, Don.
    In: European Financial Management.
    RePEc:bla:eufman:v:14:y:2008:i:2:p:315-346.

    Full description at Econpapers || Download paper

  9. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2007-030.

    Full description at Econpapers || Download paper

  10. The economic and statistical value of forecast combinations under regime switching: an application to predictable U.S. returns. (2007). Guidolin, Massimo ; Na, Carrie Fangzhou.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-059.

    Full description at Econpapers || Download paper

  11. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model. (2007). Hyde, Stuart ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2006-029.

    Full description at Econpapers || Download paper

  12. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-075.

    Full description at Econpapers || Download paper

  13. Information processing and measures of integration: New York, London and Tokyo. (2006). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:177.

    Full description at Econpapers || Download paper

  14. Structural versus Temporary Drivers of Country and Industry Risk. (2006). Inghelbrecht, Koen ; Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:06/413.

    Full description at Econpapers || Download paper

  15. Economic and Financial Crises and the Predictability of U.S. Stock Returns. (2006). Pierdzioch, Christian ; Kempa, Bernd ; Hartmann, Daniel.
    In: MPRA Paper.
    RePEc:pra:mprapa:561.

    Full description at Econpapers || Download paper

  16. Implied correlation from VaR. (2006). cotter, john ; Longin, Francois.
    In: MPRA Paper.
    RePEc:pra:mprapa:3506.

    Full description at Econpapers || Download paper

  17. Assessing Dependence Changes in the Asian Financial Market Returns Using Plots Based on Nonparametric Measures. (2006). Zhang, Xibin ; Silvapulle, Param.
    In: Monash Econometrics and Business Statistics Working Papers.
    RePEc:msh:ebswps:2006-9.

    Full description at Econpapers || Download paper

  18. Shift versus traditional contagion in Asian markets. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp176.

    Full description at Econpapers || Download paper

  19. International Portfolio Diversification and Market Linkages in the presence of regime-switching volatility. (2006). Panopoulou, Ekaterini ; Flavin, Thomas.
    In: The Institute for International Integration Studies Discussion Paper Series.
    RePEc:iis:dispap:iiisdp167.

    Full description at Econpapers || Download paper

  20. Asset allocation under multivariate regime switching. (2006). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-002.

    Full description at Econpapers || Download paper

  21. Selecting Copulas for Risk Management. (2006). Verbeek, Marno ; Kole, Erik ; Koedijk, Kees .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5652.

    Full description at Econpapers || Download paper

  22. Simulating Stock Returns Under Switching Regimes - A New Test of Market Efficiency. (2006). Peel, David ; Minford, A. Patrick ; Meenagh, David.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5614.

    Full description at Econpapers || Download paper

  23. Estimating the Correlation of International Equity Markets with Multivariate Extreme and Garch models. (2006). Georgoutsos, Dimitris ; Bekiros, Stelios.
    In: CeNDEF Working Papers.
    RePEc:ams:ndfwpp:06-17.

    Full description at Econpapers || Download paper

  24. Structural versus Temporary Drivers of Country and Industry Risk. (2005). Inghelbrecht, Koen ; Baele, Lieven.
    In: International Finance.
    RePEc:wpa:wuwpif:0511005.

    Full description at Econpapers || Download paper

  25. Portfolio Selection with Two-Stage Preferences. (2005). Taboga, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0506009.

    Full description at Econpapers || Download paper

  26. Asymmetric Risk and International Portfolio Choice. (2005). Thorp, Susan ; Milunovich, George.
    In: Research Paper Series.
    RePEc:uts:rpaper:160.

    Full description at Econpapers || Download paper

  27. Dynamic bond portfolio choice in a model with Gaussian diffusion regimes. (2005). João Liborio, .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:11:y:2005:i:3:p:259-270.

    Full description at Econpapers || Download paper

  28. Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence. (2005). Wohar, Mark ; Rapach, David E..
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:329.

    Full description at Econpapers || Download paper

  29. Learning Under Ambiguity. (2005). Schneider, Martin ; Epstein, Larry.
    In: RCER Working Papers.
    RePEc:roc:rocher:497.

    Full description at Econpapers || Download paper

  30. Size and value anomalies under regime shifts. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-007.

    Full description at Econpapers || Download paper

  31. Optimal portfolio choice under regime switching, skew and kurtosis preferences. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-006.

    Full description at Econpapers || Download paper

  32. An econometric model of nonlinear dynamics in the joint distribution of stock and bond returns. (2005). Guidolin, Massimo ; Timmerman, Allan.
    In: Working Papers.
    RePEc:fip:fedlwp:2005-003.

    Full description at Econpapers || Download paper

  33. Density selection and combination under model ambiguity: an application to stock returns. (2005). D'Amico, Stefania.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2005-09.

    Full description at Econpapers || Download paper

  34. Measuring comovements by regression quantiles. (2005). Manganelli, Simone ; Gerard, Bruno ; Cappiello, Lorenzo.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2005501.

    Full description at Econpapers || Download paper

  35. Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets. (2005). Viceira, Luis ; Chacko, George .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:4913.

    Full description at Econpapers || Download paper

  36. Forecasting and Prequential Validation for Time Varying Meta-Elliptical Distributions with a Study of Commodity Futures Prices. (2005). Sancetta, Alessio ; Nikanrova, Arina.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0516.

    Full description at Econpapers || Download paper

  37. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
    In: Computing in Economics and Finance 2004.
    RePEc:sce:scecf4:273.

    Full description at Econpapers || Download paper

  38. International Equity Market Integration in a Small Open Economy: Ireland January 1990 – December 2000. (2004). cotter, john.
    In: MPRA Paper.
    RePEc:pra:mprapa:3538.

    Full description at Econpapers || Download paper

  39. The effect of the Euro on country versus industry portfolio diversification. (2004). Flavin, Thomas.
    In: Economics, Finance and Accounting Department Working Paper Series.
    RePEc:may:mayecw:n1411004.

    Full description at Econpapers || Download paper

  40. A Two-State Capital Asset Pricing Model with Unobservable States. (2004). Nilsson, Birger ; Hansson, Björn.
    In: Working Papers.
    RePEc:hhs:lunewp:2004_028.

    Full description at Econpapers || Download paper

  41. The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles. (2004). Manganelli, Simone ; Cappiello, Lorenzo ; Gerard, Bruno .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:77.

    Full description at Econpapers || Download paper

  42. Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias. (2004). Carvalho, Carlos ; Amonlirdviman, Kevin .
    In: Econometric Society 2004 Latin American Meetings.
    RePEc:ecm:latm04:61.

    Full description at Econpapers || Download paper

  43. That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds. (2004). Thorp, Susan.
    In: Econometric Society 2004 Australasian Meetings.
    RePEc:ecm:ausm04:148.

    Full description at Econpapers || Download paper

  44. ARE VECTOR AUTOREGRESSIONS AND ACCURATE MODEL FOR DYNAMIC ASSET ALLOCATION?. (2004). Pearanda, Francisco .
    In: Working Papers.
    RePEc:cmf:wpaper:wp2004_0419.

    Full description at Econpapers || Download paper

  45. Volatility Spillover Effects in European Equity Markets. (2003). Baele, Lieven.
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
    RePEc:rug:rugwps:03/189.

    Full description at Econpapers || Download paper

  46. How do Regimes Affect Asset Allocation?. (2003). Bekaert, Geert ; Ang, Andrew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:10080.

    Full description at Econpapers || Download paper

  47. Explaining movements in UK stock prices:. (2003). Sensier, Marianne ; Osborn, Denise ; Aslanidis, Nektarios.
    In: Working Papers.
    RePEc:crt:wpaper:0302.

    Full description at Econpapers || Download paper

  48. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_875.

    Full description at Econpapers || Download paper

  49. How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?. (2003). Timmermann, Allan ; Pesaran, M.
    In: Cambridge Working Papers in Economics.
    RePEc:cam:camdae:0306.

    Full description at Econpapers || Download paper

  50. International diversification strategies. (2002). Del Negro, Marco ; Brooks, Robin.
    In: FRB Atlanta Working Paper.
    RePEc:fip:fedawp:2002-23.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-03-06 03:55:13 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.