the Nigeria stock market. The EGARCH model is found to be the most efficient for forecasting volatilities and has the … years. The forecasting performance shows the volatility in the Nigeria stock market to be on the increase for the next four …

correlation between output and aggregate uncertainty. We find the transmission of uncertainty shocks to output is weak, while … aggregate uncertainty endogenously responds to first moment shocks in the presence of labor market search frictions. This … indicates that countercyclical movements in aggregate uncertainty are endogenous responses to changes in output, rather than …

We propose Keynesian utilities as a new class of non-expected utility functions representing the preferences of …

What people perceive as risk clearly goes beyond variance. Several papers have shown that, e.g., probability of loss …

We use an equivalent form of Markowitz's mean-variance utility function, based on Rao's Quadratic Entropy (RQE), to …

In this paper we consider modeling and forecasting of large realized covariance matrices by penalized vector …