NYSE composite daily returns an asMA-asQGARCH model along with skewness dynamics is estimated. The results indicate a …

of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected … returns nonparametrically. Our method can handle a large number of characteristics, allows for a flexible functional form, and … incremental information for expected returns, and nonlinearities are important. We study the properties of our method in an …

This paper suggests how to quantify asymmetries in volatility spillovers that emerge due to bad and good volatility … stocks at the disaggregate level. Moreover, the spillovers of bad and good volatility are transmitted at different magnitudes …

This paper applies fractional integration and cointegration methods to examine respectively the univariate properties …

improvement over several benchmarks and generate economic value by boosting returns, improving the certainty equivalent return …

This paper estimates a bivariate HEAVY system including daily and intra-daily volatility equations and its macro …-augmented asymmetric power extension. It focuses on economic factors that exacerbate stock market volatility and represent major threats to … commodity markets on stock market realized volatility. Specifically, Economic Policy Uncertainty is shown to be one of the main …