Search Results - "Hyde, Stuart"

Investigating sources of unanticipated exposure in industry stock returns by Bredin, Don, Hyde, Stuart

“…This paper investigates the sources of both foreign exchange rate and interest rate exposure of industry level portfolios in the G7, decomposing exposure into…”
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UK Stock Returns and the Impact of Domestic Monetary Policy Shocks by Bredin, Don, Hyde, Stuart, Nitzsche, Dirk, O'reilly, Gerard

“…:  We investigate the influence of changes in UK monetary policy on UK stock returns and the possible reasons behind such a response. Firstly, we conduct an…”
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Non-linear predictability in stock and bond returns: When and where is it exploitable? by Guidolin, Massimo, Hyde, Stuart, McMillan, David, Ono, Sadayuki

“…We systematically examine the comparative predictive performance of a number of linear and non-linear models for stock and bond returns in the G7 countries…”
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Monetary policy surprises and international bond markets by Bredin, Don, Hyde, Stuart, Reilly, Gerard O.

“…We examine the impact and spillover effects of monetary policy surprises on international bond returns. Within the framework of Campbell and Ammer (1993), we…”
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Consumption asset pricing and the term structure by Hyde, Stuart, Sherif, Mohamed

“…We investigate the relationship between consumption and the term structure using U.K. interest rate data. We demonstrate that the term structure contains…”
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What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model by Guidolin, Massimo, Hyde, Stuart

“…We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among the Irish stock market, one of the top world…”
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Habit formation, surplus consumption and return predictability: International evidence by Engsted, Tom, Hyde, Stuart, Møller, Stig V.

“…On an international post World War II dataset, we use an iterated GMM procedure to estimate and test the Campbell and Cochrane (1999, By force of habit: a…”
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FOREX Risk: Measurement and Evaluation Using Value-at-Risk by Bredin, Don, Hyde, Stuart

“…:  We measure and evaluate the performance of a number of Value‐at‐Risk (VaR) methods using a portfolio based on the foreign exchange exposure of a small open…”
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Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK by Guidolin, Massimo, Hyde, Stuart

“…We use multivariate regime switching vector autoregressive models to characterize the time-varying linkages among short-term interest rates (monetary policy)…”
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News sentiment in the cryptocurrency market: An empirical comparison with Forex by Rognone, Lavinia, Hyde, Stuart, Zhang, S. Sarah

“…We use high frequency intra-day data to investigate the influence of unscheduled currency and Bitcoin news on the returns, volume and volatility of the…”
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Time-varying bond market integration and the impact of financial crises by Qin, Weiping, Cho, Sungjun, Hyde, Stuart

“…This paper studies the dynamics of market integration in government bond markets. We utilise a new approach based on Pukthuanthong and Roll (2009) to…”
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CONSUMPTION ASSET PRICING MODELS: EVIDENCE FROM THE UK by HYDE, STUART, SHERIF, MOHAMED

“…We analyse the ability of the consumption‐based capital asset pricing model (C‐CAPM) using traditional power utility, the recursive preferences model proposed…”
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Measuring market integration during crisis periods by Qin, Weiping, Cho, Sungjun, Hyde, Stuart

“…•The widely adopted Pukthuanthong and Roll (2009) measure of market integration does not account for the link between correlation and volatility.•This paper…”
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The yen–dollar risk premium: A story of regime shifts in bond markets by Cho, Sungjun, Hyde, Stuart, Liu, Liu

“…We document a new risk premium in the yen–dollar currency pair that compensates for the uncertainty over regime shifts in the bond market. We estimate a…”
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Don't break the habit: structural stability tests of consumption asset pricing models in the UK by Hyde, Stuart, Sherif, Mohamed

“…This paper investigates the structural stability of four alternative consumption based asset pricing models, the traditional power utility consumption based…”
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Revisiting the pricing impact of commodity market spillovers on equity markets by Pinto-Ávalos, Francisco, Bowe, Michael, Hyde, Stuart

“…This paper revisits the dynamics of pricing relationships between commodity and equity markets in a sample of commodity-exporting economies between 2000–2023…”
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Financial development and the effect of cross‐border bank flows on house prices by Romero, Néstor, Cho, Sungjun, Hyde, Stuart

“…We analyze the role of financial development as a buffer to diminish the effect of cross‐border bank flows shocks on house prices across 38 countries. In less…”
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Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment by Guidolin, Massimo, Hyde, Stuart

“…In a typical strategic asset allocation problem, the out-of-sample certainty equivalent returns for a long-horizon investor with constant relative risk…”
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Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data by Guidolin, Massimo, Hyde, Stuart

“…Most papers in the portfolio choice literature have examined linear predictability frameworks based on the idea that simple but flexible Vector Autoregressive…”
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A reality check on the GARCH-MIDAS volatility models by Virk, Nader, Javed, Farrukh, Awartani, Basel, Hyde, Stuart

“…We employ a battery of model evaluation tests for a broad set of GARCH-MIDAS models and account for data snooping bias. We document that inferences based on…”
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