Similar Search Results

Downside and upside uncertainty shocks

Forni, Mario; Gambetti, Luca; Sala, Luca - 2021

Persistent link: https://www.econbiz.de/10012490267

Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2021

Persistent link: https://www.econbiz.de/10012612441

Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - 2020

Persistent link: https://www.econbiz.de/10012253930

Modeling and forecasting macroeconomic downside risk

Delle Monache, Davide; De Polis, Andrea; Petrella, Ivan - In: Journal of business & economic statistics : JBES ; a … 42 (2024) 3, pp. 1010-1025

Persistent link: https://www.econbiz.de/10015053528

Taming Momentum Crashes

Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2022

investing: an adjusted momentum portfolio which hedges in real time for both volatility and skewness risk outperforms benchmark … risk aversion and cannot be reconciled by the exposure to standard equity risk factors …

Persistent link: https://www.econbiz.de/10013403316

Taming momentum crashes

Bianchi, Daniele; De Polis, Andrea; Petrella, Ivan - 2024

Persistent link: https://www.econbiz.de/10014529581

Commodity prices and inflation risk

Garratt, Anthony; Petrella, Ivan - In: Journal of applied econometrics 37 (2022) 2, pp. 392-414

Persistent link: https://www.econbiz.de/10013165243

News, uncertainty and economic fluctuations

Forni, Mario; Gambetti, Luca; Sala, Luca - 2017

Persistent link: https://www.econbiz.de/10011715655

Macroeconomic uncertainty and vector autoregressions

Forni, Mario; Gambetti, Luca; Sala, Luca - 2021

Persistent link: https://www.econbiz.de/10012417673

Asymmetry reversals and the business cycle

Distante, Roberta; Petrella, Ivan; Santoro, Emiliano - 2013

The cross-sectional dynamics of the U.S. business cycle is examined through the lens of quantile regression models. Conditioning the quantiles of firm-level growth to different measures of technological change highlights a deep connection between counter-cyclical skewness and the transmission of...

Persistent link: https://www.econbiz.de/10009757407