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Nonlinear and time-varying risk premia

Ma, Chaoqun; Mi, Xianhua; Cai, Zongwu - In: China economic review : an international journal 62 (2020), pp. 1-30

Persistent link: https://www.econbiz.de/10012607208

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

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

Bayesian model averaging and the conditional volatility process : an application to predicting aggregate equity returns by conditioning on economic variables

Nonejad, Nima - In: Quantitative finance 21 (2021) 8, pp. 1387-1411

Persistent link: https://www.econbiz.de/10012608655

Using the conditional volatility channel to improve the accuracy of aggregate equity return predictions

Nonejad, Nima - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 973-1009

Persistent link: https://www.econbiz.de/10012616915

Reconstructing the yield curve

Liu, Yan; Wu, Jing Cynthia - In: Journal of financial economics 142 (2021) 3, pp. 1395-1425

Persistent link: https://www.econbiz.de/10012875953

Intraday cross-sectional distributions of systematic risk

Andersen, Torben; Riva, Raul; Thyrsgaard, Martin; … - In: Journal of econometrics 235 (2023) 2, pp. 1394-1418

Persistent link: https://www.econbiz.de/10014471397

Monetary policy, bond returns and debt dynamics

Berndt, Antje; Yeltekin, Şevin - In: Journal of monetary economics 73 (2015), pp. 119-136

Persistent link: https://www.econbiz.de/10011381760

Conditional heteroskedasticity in the volatility of asset returns

Ding, Yashuang - 2021

Persistent link: https://www.econbiz.de/10013262866

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