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Market volatility, market skewness, and the cross-section of expected returns in Chinese equity markets

Liu, Qing; Wang, Shouyang; Sui, Cong - In: Applied economics 55 (2023) 49, pp. 5816-5832

Persistent link: https://www.econbiz.de/10014335824

Does the volatility of volatility risk forecast future stock returns?

Bu, Ruijun; Fu, Xi; Jawadi, Fredj - In: Journal of international financial markets, … 61 (2019), pp. 16-36

Persistent link: https://www.econbiz.de/10012128269

Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets

Bardgett, Chris; Gourier, Elise; Leippold, Markus - 2013

option prices on both markets. We find that including VIX option prices in the model estimation allows better identification … of the parameters driving the risk-neutral conditional distributions and term structure of volatility, thereby enhancing … the estimation of the variance risk premium. We gain new insights on the properties of the premium's term structure and …

Persistent link: https://www.econbiz.de/10010256394

Conditional out-of-sample predictability of aggregate equity returns and aggregate equity return volatility using economic variables

Nonejad, Nima - In: Journal of empirical finance 70 (2023), pp. 91-122

Persistent link: https://www.econbiz.de/10014423619

R-estimation in semiparametric dynamic location-scale models

Hallin, Marc; La Vecchia, Davide - In: Journal of econometrics 196 (2017) 2, pp. 222-247

Persistent link: https://www.econbiz.de/10011818285

Linear-rational term structure models

Filipović, Damir; Larsson, Martin; Trolle, Anders B. - 2014

advantages: i) ensures nonnegative interest rates, ii) easily accommodates unspanned factors affecting volatility and risk …, volatility, and risk premium dynamics — including when interest rates are close to the zero lower bound …

Persistent link: https://www.econbiz.de/10010338764

Crude oil price volatility and equity return predictability : a comparative out-of-sample study

Nonejad, Nima - In: International review of financial analysis 71 (2020), pp. 1-18

Persistent link: https://www.econbiz.de/10012436278

Can deep neural networks outperform Fama-MacBeth regression and other supervised learning approaches in stock returns prediction with asset-pricing factors?

Teng, Huei-Wen; Li, Yu-Hsien - In: Digital finance : smart data analytics, investment … 5 (2023) 1, pp. 149-182

Persistent link: https://www.econbiz.de/10014251571

Assessing the idiosyncratic risk and stock returns relation in heteroskedasticity corrected predictive models using quantile regression

Nath, Harmindar B.; Brooks, Robert - In: International review of economics & finance : IREF 38 (2015), pp. 94-111

Persistent link: https://www.econbiz.de/10011572339

Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208