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Volatility
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Xu, Lai
McAleer, Michael
360
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146
Chang, Chia-Lin
140
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76
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Kočenda, Evžen
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McMillan, David G.
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Todorov, Viktor
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Tiwari, Aviral Kumar
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Chiarella, Carl
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Corbet, Shaen
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Buch, Claudia M.
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1
Oil volatility risk
Gao, Lin
;
Hitzemann, Steffen
;
Shaliastovich, Ivan
;
Xu, Lai
- In:
Journal of financial economics
144
(
2022
)
2
,
pp. 456-491
Persistent link: https://www.econbiz.de/10013413135
Saved in:
2
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
-
2014
Persistent link: https://www.econbiz.de/10010442441
Saved in:
3
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
-
2012
Persistent link: https://www.econbiz.de/10009667370
Saved in:
4
Stock Return and Cash Flow Predictability : The Role of Volatility Risk
Bollerslev, Tim
-
2012
We examine the joint predictability of return and cash flow within a present value framework, by imposing the implications from a long-run risk model incorporating both time varying volatility and volatility uncertainty. We provide new evidence that the expected return variation and the variance...
Persistent link: https://www.econbiz.de/10013097882
Saved in:
5
Tail risk premia and return predictability
Bollerslev, Tim
;
Todorov, Viktor
;
Xu, Lai
- In:
Journal of financial economics
118
(
2015
)
1
,
pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
Saved in:
6
Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim
;
Xu, Lai
;
Zhou, Hao
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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