It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained within a simple non-Gaussian one-factor description with time independent correlations. Using surrogate data with the true market return as the dominant factor, we show that most of these correlations, measured by a variety of di...

We examine a variety of models in which the variance of a portfolio’s excess return depends on a state variable generated by a first-order Markov process. A model in which the state is known to economic agents is estimated. It suggests that the mean excess return moves inversely with the level of risk. We then estimate a model in which agents are uncertain of the state. The estimates indicate t...

It is commonly believed that the correlations between stock returns increase in high volatility periods. We investigate how much of these correlations can be explained using conditional averages within a simple onefactor description. Using surrogate data with the true market return as the dominant factor, we show that most of these correlations can be accounted for. However, more subtle effects...

We study the impact of nine categories of scheduled and unscheduled news announcements on the euro/ dollar return volatility. We highlight and analyze the pre-announcement, contemporaneous and postannouncement reactions. Using high-frequency intraday data and within the framework of ARCH-type models, we show that volatility increases in the pre-announcement periods, particularly before schedule...

We test the predictive ability of investor sentiment on the return and volatility at the aggregate market level in the U.S., four largest European countries and three Asia-Pacific countries. We find that in the U.S., France and Italy periods of high consumer confidence levels are followed by low market returns. In Japan both the level and the change in consumer confidence boost the market retur...

regional analysis is one of the important methods for estimating the low flow in ungagged regions. investigation of the relations between effective factors of hydrological drought is the most important strategy to contrast and reduction of drought losses. in this study to analyze of low flow, the daily discharge data from 20 gauging stations with 25 years period (1988-2012) in the kashafroud ba...

The goal of this paper is to measure the financial performance of 21 primary Clean Techs (CT) equity indexes, covering the primary energy markets worldwide. We use a modified state-space market model to recursively estimate the risk/return performance of each index, and two market benchmarks are considered, thus providing a more accurate picture of the financial outcomes of investing in these r...