Similar Search Results

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...

Persistent link: https://www.econbiz.de/10013115149

Stock Return Predictability and Variance Risk Premia : Statistical Inference and International Evidence

Bollerslev, Tim - 2012

Persistent link: https://www.econbiz.de/10013109053

Essays on micromotives and macrobehavior, expectation formation, and asset price dynamics

Ghonghadze, Jaba - 2013

Persistent link: https://www.econbiz.de/10009706287

Estimating and Predicting Multivariate Volatility Thresholds in Global Stock Markets

Audrino, Francesco; Trojani, Fabio - 2003

past domestic volatilities does not generally affect the mean and the volatility of the estimated thresholds. Specifically …, with the exception of the Italian market we find at least two volatility regimes, due to an asymmetric structure of … volatility as a function of bad and good domestic news. Moreover, in the majority of the series under scrutiny we also identify …

Persistent link: https://www.econbiz.de/10014089647

Excess stock returns and news : evidence from European markets

Malliaropulos, Dimitrios - In: European financial management : the journal of the … 4 (1998) 1, pp. 29-46

Persistent link: https://www.econbiz.de/10001244084

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

Persistent link: https://www.econbiz.de/10001650402

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

Density forecasts have become quite important in economics and finance. For example, such forecasts play a central role in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density forecast evaluation framework as a simple alternative to other...

Persistent link: https://www.econbiz.de/10001657476

Evaluating density forecasts from models of stock market returns

Raaij, Gabriela de; Raunig, Burkhard - In: The European journal of finance 11 (2005) 2, pp. 151-166

Persistent link: https://www.econbiz.de/10002841826

Forecasting international equity market volatility : a new approach

Liang, Chao; Li, Yan; Ma, Feng; Zhang, Yaojie - In: Journal of forecasting 41 (2022) 7, pp. 1433-1457

Persistent link: https://www.econbiz.de/10013465704

Excess Stock Returns and News : Evidence from European Markets

Malliaropulos, Dimitris - 2022

This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the...

Persistent link: https://www.econbiz.de/10014236921