Gone with the vol : a decline in asset return predictability during the great moderation
Year of publication: |
2023
|
---|---|
Authors: | Hsu, Alex ; Palomino, Francisco ; Qian, Liang |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 69.2023, 5, p. 3025-3047
|
Subject: | asset return predictability | monetary policy | the Great Moderation | time-varying macroeconomic volatility | Geldpolitik | Monetary policy | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Konjunktur | Business cycle | Schätzung | Estimation |
-
The decline in asset return predictability and macroeconomic volatility
Hsu, Alex, (2017)
-
The time-varying effects of permanent and transistory shocks to real output
Keating, John William, (2015)
-
What's so great about the Great Moderation?
Keating, John William, (2017)
- More ...
-
A simple nonnegative process for equilibrium models
Hsu, Alex, (2015)
-
Real and nominal equilibrium yield curves : wage rigidities and permanent shocks
Hsu, Alex, (2016)
-
Gone With the Vol : A Decline in Asset Return Predictability During the Great Moderation
Hsu, Alex, (2019)
- More ...