Details about Stuart Hyde

Access statistics for papers by Stuart Hyde.

Last updated 2024-07-05. Update your information in the RePEc Author Service.

Short-id: phy6

Working Papers

2012

1. Optimal Portfolios for Occupational Funds under Time-Varying Correlations in Bull and Bear Markets? Assessing the Ex-Post Economic Value
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University

2011

2. Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective
   Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University
   Also in Working Papers, Federal Reserve Bank of St. Louis (2010) View citations (5)
   See also Journal Article Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective, Journal of Banking & Finance, Elsevier (2012) View citations (26) (2012)

2010

3. Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence
   Working Papers, Federal Reserve Bank of St. Louis View citations (3)
   See also Journal Article Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2014) View citations (4) (2014)
4. Investigating Sources of Unanticipated Exposure in Industry Stock Returns
   Working Papers, Geary Institute, University College Dublin
   See also Journal Article Investigating sources of unanticipated exposure in industry stock returns, Journal of Banking & Finance, Elsevier (2011) View citations (15) (2011)

2009

5. Non-linear predictability in stock and bond returns: when and where is it exploitable?
   Working Papers, Federal Reserve Bank of St. Louis View citations (50)
   See also Journal Article Non-linear predictability in stock and bond returns: When and where is it exploitable?, International Journal of Forecasting, Elsevier (2009) View citations (51) (2009)

2008

6. Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK
   Working Papers, Federal Reserve Bank of St. Louis View citations (4)

2007

7. Correlation dynamics between Asia-Pacific, EU and US stock returns
   MPRA Paper, University Library of Munich, Germany View citations (20)
8. Habit Formation, Surplus Consumption and Return Predictability: International Evidence
   CREATES Research Papers, Department of Economics and Business Economics, Aarhus University View citations (3)
   See also Journal Article Habit formation, surplus consumption and return predictability: International evidence, Journal of International Money and Finance, Elsevier (2010) View citations (12) (2010)
9. The response of industry stock returns to market, exchange rate and interest rate risks
   MPRA Paper, University Library of Munich, Germany View citations (21)
10. What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model
    Working Papers, Federal Reserve Bank of St. Louis View citations (1)
    See also Journal Article What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model, Applied Financial Economics, Taylor & Francis Journals (2009) View citations (4) (2009)

2005

11. European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response
    Research Technical Papers, Central Bank of Ireland View citations (15)
    See also Journal Article European monetary policy surprises: the aggregate and sectoral stock market response, International Journal of Finance & Economics, John Wiley & Sons, Ltd. (2009) View citations (36) (2009)

2004

12. Don't break the habit: structural stability tests of consumption models in the UK
    Money Macro and Finance (MMF) Research Group Conference 2003, Money Macro and Finance Research Group

2002

13. Forex Risk: Measurement and Evaluation using Value-at-Risk
    Research Technical Papers, Central Bank of Ireland View citations (1)
    See also Journal Article FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk, Journal of Business Finance & Accounting, Wiley Blackwell (2004) View citations (3) (2004)

Journal Articles

2024

1. A reality check on the GARCH-MIDAS volatility models
   The European Journal of Finance, 2024, 30, (6), 575-596
2. Revisiting the pricing impact of commodity market spillovers on equity markets
   Journal of Commodity Markets, 2024, 33, (C)

2023

3. Financial development and the effect of cross‐border bank flows on house prices
   The Financial Review, 2023, 58, (1), 39-63
4. Time-varying bond market integration and the impact of financial crises
   International Review of Financial Analysis, 2023, 90, (C)

2022

5. Measuring market integration during crisis periods
   Journal of International Financial Markets, Institutions and Money, 2022, 78, (C) View citations (2)
6. The yen–dollar risk premium: A story of regime shifts in bond markets
   Journal of International Financial Markets, Institutions and Money, 2022, 78, (C)

2020

7. News sentiment in the cryptocurrency market: An empirical comparison with Forex
   International Review of Financial Analysis, 2020, 69, (C) View citations (49)

2018

8. The reality of stock market jumps diversification
   Journal of International Money and Finance, 2018, 86, (C), 171-188 View citations (5)

2015

9. Time-varying regional and global integration and contagion: Evidence from style portfolios
   International Review of Financial Analysis, 2015, 42, (C), 109-131 View citations (14)

2014

10. A microstructure analysis of the carbon finance market
    International Review of Financial Analysis, 2014, 34, (C), 222-234 View citations (34)
11. Does the Macroeconomy Predict UK Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence
    Oxford Bulletin of Economics and Statistics, 2014, 76, (4), 510-535 View citations (4)
    See also Working Paper Does the macroeconomy predict U.K. asset returns in a nonlinear fashion? comprehensive out-of-sample evidence, Working Papers (2010) View citations (3) (2010)
12. Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
    Quantitative Finance, 2014, 14, (12), 2135-2153 View citations (2)

2013

13. Determinants of corporate exchange rate exposure in Chilean firms
    Journal Economía Chilena (The Chilean Economy), 2013, 16, (3), 70-88 View citations (2)
14. Duration, trading volume and the price impact of trades in an emerging futures market
    Emerging Markets Review, 2013, 17, (C), 89-105 View citations (2)

2012

15. Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective
    Journal of Banking & Finance, 2012, 36, (3), 695-716 View citations (26)
    See also Working Paper Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective, Working Papers (2011) (2011)
16. Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment
    Computational Statistics & Data Analysis, 2012, 56, (11), 3546-3566 View citations (6)

2011

17. Investigating sources of unanticipated exposure in industry stock returns
    Journal of Banking & Finance, 2011, 35, (5), 1128-1142 View citations (15)
    See also Working Paper Investigating Sources of Unanticipated Exposure in Industry Stock Returns, Working Papers (2010) (2010)

2010

18. Consumption asset pricing and the term structure
    The Quarterly Review of Economics and Finance, 2010, 50, (1), 99-109 View citations (9)
19. Habit formation, surplus consumption and return predictability: International evidence
    Journal of International Money and Finance, 2010, 29, (7), 1237-1255 View citations (12)
    See also Working Paper Habit Formation, Surplus Consumption and Return Predictability: International Evidence, CREATES Research Papers (2007) View citations (3) (2007)
20. Monetary policy surprises and international bond markets
    Journal of International Money and Finance, 2010, 29, (6), 988-1002 View citations (26)
21. Tests of the conditional asset pricing model: further evidence from the cross-section of stock returns
    International Journal of Finance & Economics, 2010, 15, (2), 198-211 View citations (4)

2009

22. European monetary policy surprises: the aggregate and sectoral stock market response
    International Journal of Finance & Economics, 2009, 14, (2), 156-171 View citations (36)
    See also Working Paper European Monetary Policy Surprises: The Aggregate and Sectoral Stock Market Response, Research Technical Papers (2005) View citations (15) (2005)
23. Non-linear predictability in stock and bond returns: When and where is it exploitable?
    International Journal of Forecasting, 2009, 25, (2), 373-399 View citations (51)
    See also Working Paper Non-linear predictability in stock and bond returns: when and where is it exploitable?, Working Papers (2009) View citations (50) (2009)
24. What tames the Celtic Tiger? Portfolio implications from a Multivariate Markov Switching model
    Applied Financial Economics, 2009, 19, (6), 463-488 View citations (4)
    See also Working Paper What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model, Working Papers (2007) View citations (1) (2007)

2008

25. Equity portfolio diversification under time-varying predictability: Evidence from Ireland, the US, and the UK
    Journal of Multinational Financial Management, 2008, 18, (4), 293-312 View citations (6)
26. Regime Change and the Role of International Markets on the Stock Returns of Small Open Economies
    European Financial Management, 2008, 14, (2), 315-346 View citations (20)

2007

27. MONETARY POLICY AND BEHAVIOURAL FINANCE
    Journal of Economic Surveys, 2007, 21, (5), 935-969 View citations (4)
28. UK Stock Returns and the Impact of Domestic Monetary Policy Shocks
    Journal of Business Finance & Accounting, 2007, 34, (5‐6), 872-888 View citations (60)

2005

29. CONSUMPTION ASSET PRICING MODELS: EVIDENCE FROM THE UK*
    Manchester School, 2005, 73, (3), 343-363 View citations (16)
30. Don't break the habit: structural stability tests of consumption asset pricing models in the UK
    Applied Economics Letters, 2005, 12, (5), 289-296 View citations (2)
31. Resuscitating the C-CAPM: empirical evidence from France and Germany
    International Journal of Finance & Economics, 2005, 10, (4), 337-357 View citations (10)

2004

32. FOREX Risk: Measurement and Evaluation Using Value‐at‐Risk
    Journal of Business Finance & Accounting, 2004, 31, (9‐10), 1389-1417 View citations (3)
    See also Working Paper Forex Risk: Measurement and Evaluation using Value-at-Risk, Research Technical Papers (2002) View citations (1) (2002)

2002

33. Excess volatility and efficiency in French and German stock markets
    Economic Modelling, 2002, 19, (3), 399-418 View citations (11)