In this paper we propose a new approach to evaluate the predictable components in stock indices using a boosting-based classification technique, and we use this method to examine causality among the three main stock market indices in the world during periods of large positive and negative price changes. The empirical evidence seems to indicate that the Standard & Poors 500 index contains incremental information that is not present in either the FTSE 100 index or the Nikkei 225 index, and that could be used to enhance the predictability of the large positive and negative returns in the three main stock market indices in the world. This in turn would suggest a causality relationship running from the Standard & Poors 500 index to both ...
This paper examines both the long-term and short-term impact associated with changes in the constit...
We examine the short-term price behavior of ten Asian stock market indexes following large price cha...
This paper investigates empirically the interrelationships between the daily stock market returns of...
In this paper we propose a new approach to evaluate the predictable components in stock indices usin...
In this article, we propose a new approach to evaluate the predictable components in stock indices u...
The main aim of this paper is to investigate the stock-market linkages between the five most regular...
This work analyzes an interrelationship between stock indices S&P 500, FTSE 100, DAX, HSI, Nikkei, B...
In this paper, we will analyze the increase of correlations in the market during periods of crisis, ...
In this paper, we will analyse the increase of correlations in the market during periods of crisis, ...
Comovement of stock market indices increases during crashes, and does not come down when the turmoil...
This paper examines the ability of equity style to predict future movement of composite leading econ...
Complete unpredictability and the contagion effect of stock markets could pose significant challenge...
When stocks are added to (deleted from) an index, more (less) information should be generated and in...
This article describes a novel framework for the detection of causal links between financial news an...
Abstract. We present empirical examination and reassessment of the functional role of the market Ind...
This paper examines both the long-term and short-term impact associated with changes in the constit...
We examine the short-term price behavior of ten Asian stock market indexes following large price cha...
This paper investigates empirically the interrelationships between the daily stock market returns of...
In this paper we propose a new approach to evaluate the predictable components in stock indices usin...
In this article, we propose a new approach to evaluate the predictable components in stock indices u...
The main aim of this paper is to investigate the stock-market linkages between the five most regular...
This work analyzes an interrelationship between stock indices S&P 500, FTSE 100, DAX, HSI, Nikkei, B...
In this paper, we will analyze the increase of correlations in the market during periods of crisis, ...
In this paper, we will analyse the increase of correlations in the market during periods of crisis, ...
Comovement of stock market indices increases during crashes, and does not come down when the turmoil...
This paper examines the ability of equity style to predict future movement of composite leading econ...
Complete unpredictability and the contagion effect of stock markets could pose significant challenge...
When stocks are added to (deleted from) an index, more (less) information should be generated and in...
This article describes a novel framework for the detection of causal links between financial news an...
Abstract. We present empirical examination and reassessment of the functional role of the market Ind...
This paper examines both the long-term and short-term impact associated with changes in the constit...
We examine the short-term price behavior of ten Asian stock market indexes following large price cha...
This paper investigates empirically the interrelationships between the daily stock market returns of...
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