The recent observed decline of business cycle variability suggests that broad macroeconomic risk may have fallen as well. This may in turn have some impact on equity risk premia. We investigate the latent structures in the volatilities of the business cycle and stock market valuations by estimating a Markov switching stochastic volatility model. We propose a sequential Monte Carlo technique for...

This paper characterizes the volatility in the Japanese stock market based on a 4-year sample of 5-min Nikkei 225 returns from 1994 through 1997. The intradaily volatility exhibits a doubly U-shaped pattern associated with the opening and closing of the separate morning and afternoon trading sessions on the Tokyo Stock Exchange. This feature is consistent with market microstructure theories tha...

the paper investigates the effects of interest rates on stock market performance by using monthly time series data for the economy of bangladesh over the period of 1991 to 2012. a wide range of econometric techniques have been employed to analyze the relationship between the interest rate and stock market return. the study reveals a stable and significant long run relationship between the varia...

The increased popularity of financial time series forecasting in recent times lies to its great importance in predicting the best stock market timing. In this paper, we develop the concept of a pattern modeling and recognition system for predicting future behavior of time series using local approximation. In order to improve the performance of this system, we propose a systematic and automatic ...

We study the role of industry conditions in the internal and external labor market for CEOs in a sample of over 60,000 firm-years from 1990-2007. Future job prospects of CEOs who separate from an employer are dependent on relative-to-industry stock performance, but not on industry stock performance, suggesting that new employers filter out industry stock returns in their evaluation of manageria...