This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the flexible quantile regression framework and rely on recently developed...

The relation between idiosyncratic risk and stock returns is currently a topic of debate in the academic literature. So far the evidence regarding the relation is mixed. This study aims to investigate the cross-sectional relation between idiosyncratic risk and stock returns in the Indian stock...

We study the relationship between conditional quantiles of returns and the long-, medium- and short-term volatility in a portfolio of financial assets. We argue that the combination of quantile panel regression and wavelet decomposition of the volatility time series provides us with new insights...

This paper investigates how the conditional quantiles of future returns and volatility of financial assets vary with various measures of ex-post variation in asset prices as well as option-implied volatility. We work in the exible quantile regression framework and rely on recently developed...

It is well known that the class of strong (Generalized) AutoRegressive Conditional Heteroskedasticity (or GARCH) processes is not closed under contemporaneous aggregation. This paper provides the dynamics followed by the aggregate process when the individual persistence parameters are drawn from...

The volatility of unanticipated output growth in income per capita is detrimental to long-run development, controlling for initial income per capita, population growth, human capital, investment, openness and natural resource dependence. This effect is significant and robust over a wide range of...

The paper evaluates the out-of-sample predictive potential of machine learning methods in the cross-section of international equity index returns using firm fundamentals and macroeconomic predictors. The relatively small number of equity indices in the cross-section compared to the multitude of...

The aim of this study is to investigate the effect of oil price, US Dollar rate and VIX on Borsa Istanbul by employing quantile regression model. In the literature, there are studies that examine the effect of the mentioned factors on stock market, but the number of studies in which these...

We propose a method for event studies based on synthetic portfolios that provides a robust data-driven approach to build a credible counterfactual. The method is used to evaluate the effectiveness of volatility auctions using intraday data from the Colombian Stock Exchange. The results indicate...

The NSE NIFTY Index tracks the behavior of a portfolio of blue chip companies, the largest and most liquid Indian securities. The Index is well studied for bench marking, index funds and index based derivatives. The persuading power of NSE Nifty is very high on other indices especially NSE...