Andrew Vivian

Loughborough University

The Business School

Ashby Road

Loughborough LE11 3TU

Great Britain

SCHOLARLY PAPERS

12

DOWNLOADS
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1,231

SSRN CITATIONS
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SSRN RANKINGS

Top 41,286

in Total Papers Citations

12

CROSSREF CITATIONS

6

Scholarly Papers (12)

1.

Forecasting Returns: New European Evidence

Number of pages: 42 Posted: 07 Nov 2012
Steven J. Jordan, Andrew Vivian and Mark E. Wohar
Econometric Solutions, Loughborough University and University of Nebraska at Omaha
Downloads 316 (121,018)
Citation 4

Abstract:

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Return forecasting, Fundamental ratios, Macro variables, Technical indicators, Europe, Emerging markets

2.

Predictability and Underreaction in Industry-Level Returns: Evidence from Commodity Markets

Number of pages: 47 Posted: 16 Feb 2012 Last Revised: 12 Sep 2013
Board of Governors of the Federal Reserve System, Loughborough University and University of Nebraska at Omaha
Downloads 277 (138,957)
Citation 1

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Asset pricing, Commodity markets, Equity markets, Industry-level returns, Information and market efficiency, Predictability, Underreaction

3.

The Equity Premium: 100 Years of Empirical Evidence from the UK

Number of pages: 51 Posted: 05 Aug 2005 Last Revised: 22 Mar 2011
Andrew Vivian
Loughborough University
Downloads 251 (153,438)
Citation 3

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Equity Premium, Expected Returns, Dividend Growth Predictability

4.

Forecasting Realized Volatility with wavelet decomposition

Number of pages: 48 Posted: 15 Nov 2020 Last Revised: 01 Mar 2021
Ioannis Souropanis and Andrew Vivian
University of Groningen and Loughborough University
Downloads 125 (281,193)

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Realized Volatility, Technical Indicators, Volatility Forecasting, Wavelet Decomposition, Asymmetric Effects

5.

Economically-Linked Economies and Forecasting Chinese Stock Returns

Number of pages: 21 Posted: 07 Nov 2012
Steven J. Jordan, Mark E. Wohar and Andrew Vivian
Econometric Solutions, University of Nebraska at Omaha and Loughborough University
Downloads 101 (326,291)

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China, forecast, import, export, macroeconomics, forecast combinations

6.

Financial Data Science: The Birth of a New Financial Research Paradigm Complementing Econometrics?

The European Journal of Finance, Forthcoming
Number of pages: 21 Posted: 14 May 2020
University of Reading - ICMA Centre, Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 75 (391,285)
Citation 4

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Big Data, Econometrics, Financial Data Science, Statistical Relevance, Statistical Significance Levels

7.

Significance, Relevance and Explainability in the Machine Learning Age: An Econometrics and Financial Data Science Perspective

Forthcoming, European Journal of Finance
Number of pages: 14 Posted: 15 Dec 2020
Smurfit Graduate Business School, University College Dublin, University of Stirling, Loughborough University and University of Liverpool Management School
Downloads 51 (474,031)

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explainability, explainable artificial intelligence (xai), neural networks, relevance, regressions, significance

8.

The UK Equity Premium: 1901-2004

Journal of Business Finance & Accounting, Vol. 34, No. 9-10, pp. 1496-1527, November/December 2007
Number of pages: 32 Posted: 11 Dec 2007
Andrew Vivian
Loughborough University
Downloads 22 (626,706)
Citation 1
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9.

Are fund managers incentivised to ignore stock market jumps?

Number of pages: 36 Posted: 10 Sep 2021
Ilias Chondrogiannis, Mark Freeman and Andrew Vivian
University College London - School of Slavonic and East European Studies, Loughborough University and Loughborough University
Downloads 12 (700,371)

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finance, jump-diffusion, manager incentives, portfolio optimisation, risk management

10.

Changes in the Relationship between Short‐Term Interest Rate, Inflation and Growth: Evidence from the UK, 1820–2014

Bulletin of Economic Research, Vol. 71, Issue 4, pp. 616-640, 2019
Number of pages: 25 Posted: 05 May 2020
Erdenebat Bataa, Andrew Vivian and Mark E. Wohar
National University of Mongolia - Department of Economics, Loughborough University and University of Nebraska at Omaha
Downloads 1 (791,766)
Citation 2
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inflation, growth, short term interest rate, structural breaks, VAR

11.

What Drives Commodity Returns? Market, Sector or Idiosyncratic Factors?

Oxford Bulletin of Economics and Statistics, Vol. 82, Issue 2, pp. 311-330, 2020
Number of pages: 20 Posted: 02 Jun 2020
Jun Ma, Andrew Vivian and Mark E. Wohar
Northeastern University - Department of Economics, Loughborough University and University of Nebraska at Omaha
Downloads 0 (808,754)
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12.

The Aggregate Earnings-Return Relationship: A Global Perspective

Posted: 23 Jun 2011
Andrew Vivian and Xiaoquan Jiang
Loughborough University and Florida International University (FIU) - Department of Finance

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global aggregate earnings-return relation, ERC, return decomposition