Advanced Search Results For "STANDARD & Poor's 500 Index"
Your filters
Incorporating stochastic volatility and long memory into geometric Brownian motion model to forecast performance of Standard and Poor's 500 index.
Publication Type: Academic Journal
Source(s): AIMS Mathematics (2473-6988). 2023, Vol. 8 Issue 8, p1-15. 15p.
Abstract: It is known in the financial world that the index price reveals the performance of economic progress and financial stability. Therefore, the future direction of index prices is a priority of investors. This empirical study investigated the effect of in...
Are CLO Collateral and Tranche Ratings Disconnected?
Publication Type: Academic Journal
Source(s): Review of Financial Studies. Jun2023, Vol. 36 Issue 6, p2319-2360. 42p.
Abstract: Between March and August 2020, S&P and Moody's downgraded approximately 25 |$\%$| of collateral feeding into CLOs and only 2 |$\%$| of tranche values, with rating actions concentrating in junior tranches. Both S&P and Moody's modeling indicate that the...
The Financial Risk Measurement EVaR Based on DTARCH Models.
Publication Type: Academic Journal
Source(s): Entropy. Aug2023, Vol. 25 Issue 8, p1204. 29p.
Abstract: The value at risk based on expectile (EVaR) is a very useful method to measure financial risk, especially in measuring extreme financial risk. The double-threshold autoregressive conditional heteroscedastic (DTARCH) model is a valuable tool in assessin...
Congruency and Users' Sharing on Social Media Platforms: A Novel Approach for Analyzing Content.
Publication Type: Academic Journal
Source(s): Journal of Advertising. Jun/Jul2023, Vol. 52 Issue 3, p369-386. 18p. 1 Color Photograph, 1 Diagram, 5 Charts, 2 Graphs.
Abstract: With users increasingly spending time on social media platforms, firms are expanding their activities to cover more than one platform. Each has a unique vernacular—its popular communication style—which increases the need for firms to use platform-speci...
Forecasting stock indices with the COVID-19 infection rate as an exogenous variable.
Publication Type: Academic Journal
Source(s): PeerJ Computer Science. Aug2023, p1-23. 23p.
Abstract: Forecasting stock market indices is challenging because stock prices are usually nonlinear and non-stationary. COVID-19 has had a significant impact on stock market volatility, which makes forecasting more challenging. Since the number of confirmed cas...
WHERE TO INVEST IN 2023.
Publication Type: Periodical
Source(s): Kiplinger Personal Finance. Jan2023, Vol. 77 Issue 1, p26-33. 7p. 3 Color Photographs.
Abstract: INVESCO S&P 500 EQUAL WEIGHT HEALTH CARE (RYH, $273), one of the ETF 20, gives you a mix of biotech and pharmaceuticals, life sciences tools and services, health care equipment and supplies, care providers, and services firms, without mega-cap stocks o...
Four types of tail dependence structures between U.S. dollar index and S&P 500 stock returns:1990-2019.
Publication Type: Academic Journal
Source(s): Applied Economics Letters. Oct2023, Vol. 30 Issue 16, p2189-2194. 6p. 1 Chart, 3 Graphs.
Abstract: This research investigates four tail relationships between the U.S. dollar and S&P 500 returns by a dynamic mixture copula model with a link between the dependence structure and dependence intensity. The empirical results find that four tail relationsh...
Extremal Dependence-Based Specification Testing of Time Series.
Publication Type: Academic Journal
Source(s): Journal of Business & Economic Statistics. Oct2023, Vol. 41 Issue 4, p1274-1287. 14p.
Abstract: We propose a specification test for conditional location–scale models based on extremal dependence properties of the standardized residuals. We do so comparing the left-over serial extremal dependence—as measured by the pre-asymptotic tail copula—with ...
Nonparametric Option Pricing with Generalized Entropic Estimators.
Publication Type: Academic Journal
Source(s): Journal of Business & Economic Statistics. Oct2023, Vol. 41 Issue 4, p1173-1187. 15p.
Abstract: We propose a family of nonparametric estimators for an option price that require only the use of underlying return data, but can also easily incorporate information from observed option prices. Each estimator comes from a risk-neutral measure minimizin...
OUR DIVIDEND PICKS HOLD UP IN A BAD MARKET.
Publication Type: Periodical
Source(s): Kiplinger Personal Finance. Dec2022, Vol. 76 Issue 12, p18-24. 6p. 5 Color Photographs, 1 Chart.
Abstract: When the firm sells a private-equity or real estate asset for a profit, it distributes the extra cash as a dividend. Our list is divided into three categories: Stalwarts, or companies with consistently rising payouts; Growers, logging robust dividend i...