This paper examines persistence of raw and risk-adjusted returns for long/short equity hedge funds using the portfolio approach of Hendricks, Patel and Zeckhauser (1993). Only limited evidence of persistence is found for raw returns. Funds with the highest raw returns last year continue to outperform over the subsequent year, although not significantly while there is no persistence in returns b...

Daily data from the German and U.S. equity markets before and after the introduction of the Euro are used to study the effect of exchange rate regime choices on equity markets. It is found that, since the introduction of the Euro, the volatility and the persistence of the German stock index have fallen significantly relative to those of the U.S. index. However, the switch in exchange rate arran...

Fiscal policy restrictions are often criticized for limiting the ability of governments to react to business cycle fluctuations. Therefore, the adoption of quantitative restrictions is viewed as inevitably leading to increased macroeconomic volatility. In this paper we use data from 48 U.S. states to investigate how budget rules affect fiscal policy outcomes. Our key findings are that (1) stric...

The main purpose of this paper is to verify the effectiveness of the bivariate Component GARCH-in-mean (GARCHM) model and analyze the interactions and risk premium of equity markets by exploring the shortand long-run volatility components on both the Taiwanese and Japanese equity markets. We show that unexpected shocks of volatility will in general influence the fluctuations of both equity and ...

This paper studies the volatility implications of the introduction of derivatives on stock market volatility in India using the S&P CNX Nifty Index as a benchmark. To account for non-constant error variance in the return series, a GARCH model is fitted by incorporating futures and options dummy variables in the conditional variance equation. We find clustering and persistence of volatility befo...

This paper investigates the contribution of monetary policy to the changes in output growth and inflation dynamics in the US. We identify a policy shock and a policy rule in a timevarying coefficients VAR using robust sign restrictions. The transmission of policy shocks has been relatively stable. The variance of the policy shock has decreased over time, but policy shocks account for a small fr...

We propose a robust inference method for predictive regression models under heterogeneously persistent volatility as well endogeneity, persistence, or heavy-tailedness of regressors. This approach relies on two methodologies, nonlinear instrumental variable estimation and correction, which are used to deal with the aforementioned characteristics regressors volatility, respectively. Our is simpl...

Due to the illiquidity of inventories pledged, the essential of price risk management of supply chain finance is to long-term price risk measure. Long memory in volatility, which attests a slower than exponential decay in the autocorrelation function of standard proxies of volatility, yields an additional improvement in specification of multi-period volatility models and further impact on the t...

This study aims to find out the impact of sales volatility, operating cash flow debt, and firm size on earnings persistence in agricultural sector companies listed Indonesia Stock Exchange for period 2009-2022. The sample this is 14 using purposive sampling method. type research quantitative research. analytical tool used was SPSS with multiple linear regression testing. results tests carried a...

The relationship between stock return volatility and trading volume is analysed by using the modified mixture model (MMM) framework proposed by Andersen (1996). This theory postulates that price changes and volumes are driven by a common latent information process, which is commonly interpreted as the volatility. Using GMM estimation Andersen finds that the persistence in this latent process fa...