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Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
Oliva, Immacolata; Renò, Roberto - In: Journal of economic dynamics & control 94 (2018), pp. 242-256
Persistent link: https://www.econbiz.de/10012004394
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Loss aversion, habit formation and the term structures of equity and interest rates
Curatola, Giuliano - In: Journal of economic dynamics & control 53 (2015), pp. 103-122
Persistent link: https://www.econbiz.de/10011526865
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Option-implied skewness : Insights from ITM-options
Mohrschladt, Hannes; Schneider, Judith Christiane - In: Journal of economic dynamics & control 131 (2021), pp. 1-16
Persistent link: https://www.econbiz.de/10012818193
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Media connection and return comovement
Chen, Zilin; Guo, Li; Tu, Jun - In: Journal of economic dynamics & control 130 (2021), pp. 1-18
Persistent link: https://www.econbiz.de/10013256090
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High-frequency volatility modeling : A Markov-Switching Autoregressive Conditional Intensity model
Li, Yifan; Nolte, Ingmar; Nolte, Sandra - In: Journal of economic dynamics & control 124 (2021), pp. 1-21
Persistent link: https://www.econbiz.de/10012666459
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Exploiting ergodicity in forecasts of corporate profitability
Mundt, Philipp; Alfarano, Simone; Milaković, Mishael - In: Journal of economic dynamics & control 111 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012501441
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Macroeconomic disasters and the equity premium puzzle : are emerging countries riskier?
Horvath, Jaroslav - In: Journal of economic dynamics & control 112 (2020), pp. 1-41
Persistent link: https://www.econbiz.de/10012502310
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The disposition effect and underreaction to private information
Janssen, Dirk-Jan; Li, Jiangyan; Qiu, Jianying; Weitzel, Utz - In: Journal of economic dynamics & control 113 (2020), pp. 1-28
Persistent link: https://www.econbiz.de/10012502461
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The contribution of intraday jumps to forecasting the density of returns
Chorro, Christophe; Ielpo, Florian; Sévi, Benoît - In: Journal of economic dynamics & control 113 (2020), pp. 1-24
Persistent link: https://www.econbiz.de/10012502523
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Labor market search, endogenous disasters and the equity premium puzzle
Heiberger, Christopher - In: Journal of economic dynamics & control 114 (2020), pp. 1-21
Persistent link: https://www.econbiz.de/10012502573