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The impact of tail risk on stock market returns : the role of market sentiment

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Impacts of asymmetry on forecasting realized volatility in Japanese stock markets

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Forecasting stock prices with commodity prices : new evidence from Feasible Quasi Generalized Least Squares (FQGLS) with non-linearities

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Asymmetries in risk premia, macroeconomic uncertainty and business cycles

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Option-Implied Asymmetry and Market Returns

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estimate a novel risk-neutral quantile-based asymmetry measure (RNA) from S&P 500 index options. In contrast to existing risk … one to twelve weeks. Our findings suggest that ex-ante systematic asymmetry does matter when predicting excess market …

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Estimating loss functions of experts

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