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Regime-dependent effects of macroeconomic uncertainty on realized volatility in the US stock market

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Persistent link: https://www.econbiz.de/10014464307

Portfolio Return Dynamics and Risk Price Heterogeneity

Taylor, Nicholas - 2023

A model of portfolio return dynamics is developed in which the risk of price is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

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An international perspective on risk management quality

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Realised variance forecasting under Box-Cox transformations

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Risk control : who cares?

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Portfolio Return Prediction and Risk Price Heterogeneity

Taylor, Nicholas - 2023

A model of portfolio return dynamics is considered in which the price of risk is permitted to be heterogeneous. In doing this, a novel method is proposed that delivers improved out-of-sample forecasts of portfolio returns. The main innovation is the use of a set of predictors that account for...

Persistent link: https://www.econbiz.de/10014350699