potential skewness, kurtosis, and volatility roughness with the Bayesian nonparametric component. The results show that this … provides positive economic gains for a CRRA investor at different risk-aversion levels when transaction costs are assumed …

The relationship between risk and return is one of the most studied topics in finance. The majority of the literature … is based on a linear, parametric relationship between expected returns and conditional volatility. However, there is no … weights and arguments. We find strong robust evidence of volatility feedback in monthly data. Once volatility feedback is …

Markov model with the volatility persistence captured by the GARCH framework, to effectively model and forecast short … in volatility, thereby enhancing the accuracy of density forecasts compared to existing benchmark models. Out …-of-sample evaluations demonstrate the superior performance of our model in density forecasts and in capturing volatility dynamics due to its …