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Nonparametric tail risk, stock returns and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, … - 2016

Persistent link: https://www.econbiz.de/10011458735

What Goliaths and Davids among Swiss firms tell us about expected returns on Swiss asset markets

Haab, David R.; Nitschka, Thomas - In: Swiss journal of economics and statistics 155 (2019) 16, pp. 1-17

Motivated by recent US evidence, we evaluate the predictive power of changes in the weight of large firms in the aggregate stock market ("Goliath vs David" (GVD)) for Swiss stock market returns and bond market returns. Previous research suggests that the asset return dynamics in the US and...

Persistent link: https://www.econbiz.de/10012137996

Bond market evidence of time variation in exposures to global risk factors and the role of US monetary policy

Nitschka, Thomas - In: Journal of international money and finance 83 (2018), pp. 44-54

Persistent link: https://www.econbiz.de/10012000302

Nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 333-376

Persistent link: https://www.econbiz.de/10011987494

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 377-387

Persistent link: https://www.econbiz.de/10011987504

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409

Persistent link: https://www.econbiz.de/10011987513

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Bali, Turan G. - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 413-417

Persistent link: https://www.econbiz.de/10011987520

Comment on: nonparametric tail risk, stock returns, and the macroeconomy

Jacobs, Kris - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 410-412

Persistent link: https://www.econbiz.de/10011987533

Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy

Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426

Persistent link: https://www.econbiz.de/10011987534

Risk premia on Swiss government bonds and sectoral stock indexes during international crises

Nitschka, Thomas - In: Aussenwirtschaft : schweizerische Zeitschrift für … 67 (2016) 2, pp. 51-67

Persistent link: https://www.econbiz.de/10011603230