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The costs of suboptimal dynamic asset allocation : general results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-293

Persistent link: https://www.econbiz.de/10009489609

Interest Rate Risk, Inflation, and the Cross Section of Stock Returns

Park, Heungju; Sohn, Sungbin - 2023

We posit that the pricing mechanism of interest rate risk is contingent upon the prevailing inflation levels; in times of high (low) inflation, a positive (negative) shock to interest rates is indicative of a negative economic state. In line with this proposition, we introduce a conditional...

Persistent link: https://www.econbiz.de/10014344599

Dissecting characteristics nonparametrically

Freyberger, Joachim; Neuhierl, Andreas; Weber, Michael - 2018 - This version: July 2018

We propose a nonparametric method to study which characteristics provide incremental information for the cross section 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...

Persistent link: https://www.econbiz.de/10011888693

Jump factor models in large cross‐sections

Li, Jia; Todorov, Viktor; Tauchen, George Eugene - In: Quantitative economics : QE ; journal of the … 10 (2019) 2, pp. 419-456

We develop tests for deciding whether a large cross‐section of asset prices obey an exact factor structure at the times of factor jumps. Such jump dependence is implied by standard linear factor models. Our inference is based on a panel of asset returns with asymptotically increasing...

Persistent link: https://www.econbiz.de/10012042424

Decomposing the VIX : Implications for the Predictability of Stock Returns

Chow, Victor - 2020

The VIX index is not only a volatility index but also a polynomial combination of all possible higher moments in market …

Persistent link: https://www.econbiz.de/10012855651

Recalcitrant betas : intraday variation in the cross-sectional dispersion of systematic risk

Andersen, Torben; Thyrsgaard, Martin; Todorov, Viktor - In: Quantitative economics : QE ; journal of the … 12 (2021) 2, pp. 647-682

We study the temporal behavior of the cross-sectional distribution of assets' market exposure, or betas, using a large panel of high-frequency returns. The asymptotic setup has the sampling frequency of returns increasing to infinity, while the time span of the data remains fixed, and the...

Persistent link: https://www.econbiz.de/10012598456

An application of asymmetric GARCH models on volatility of banks equity in Nigeria’s stock market

Asemota, Omorogbe J.; Ekejiuba, Ucheoma C. - In: CBN journal of applied statistics 8 (2017) 1, pp. 73-99

This paper examines the volatility of banks equity weekly returns for six banks (coded B1 to B6) using GARCH models … in Student’s t-distribution are adjudged the best volatility models for B2 and B3 respectively. The study recommends that … in modelling stock market volatility, variants of GARCH models and alternative error distribution should be considered …

Persistent link: https://www.econbiz.de/10011843494

Empirical Study Estimating Volatility Dynamics of Stock Returns of Banks in India

Mohite, Vikram Mansing - 2018

The major purpose of this research exercise is to assess the volatility dynamics of the stock returns of the banks of …

Persistent link: https://www.econbiz.de/10012936374

Range-based volatility estimation and forecasting

Benčík, Daniel - 2014

prices. We empirically assess efficiency gains in volatility estimation when using range-based estimators as opposed to … simple daily ranges and explore the use of these more efficient volatility measures as predictors of daily ranges. The array … forecasts are produced by a realized range based HAR model with a GARCH volatility-of-volatility component. …

Persistent link: https://www.econbiz.de/10010461231

Markov regime-switching autoregressive model of stock market returns in Nigeria

Adejumo, Oluwasegun A.; Albert, Seno; Asemota, Omorogbe J. - In: CBN journal of applied statistics 11 (2020) 2, pp. 65-83

studyanalyzes the stock market volatility in three distinct regimes (accumulation or distri-bution - regime 1; big-move - regime 2 …

Persistent link: https://www.econbiz.de/10012513279