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Downside and upside uncertainty shocks
Forni, Mario; Gambetti, Luca; Sala, Luca - 2021
Persistent link: https://www.econbiz.de/10012490267
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - In: Journal of financial economics 142 (2021) 1, pp. 23-45
Persistent link: https://www.econbiz.de/10012650655
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Hedging macroeconomic and financial uncertainty and volatility
Dew-Becker, Ian; Giglio, Stefano; Kelly, Bryan T. - 2020
Persistent link: https://www.econbiz.de/10012300973
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Understanding momentum and reversal
Kelly, Bryan T.; Moskowitz, Tobias J.; Pruitt, Seth - In: Journal of financial economics 140 (2021) 3, pp. 726-743
Persistent link: https://www.econbiz.de/10013259592
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The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - In: Journal of financial economics 119 (2016) 2, pp. 249-283
Persistent link: https://www.econbiz.de/10011589843
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The common factor in idiosyncratic volatility : quantitative asset pricing implications
Herskovic, Bernard; Kelly, Bryan T.; Lustig, Hanno; … - 2014
Persistent link: https://www.econbiz.de/10010360039
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News, uncertainty and economic fluctuations
Forni, Mario; Gambetti, Luca; Sala, Luca - 2017
Persistent link: https://www.econbiz.de/10011715655
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Macroeconomic uncertainty and vector autoregressions
Forni, Mario; Gambetti, Luca; Sala, Luca - 2021
Persistent link: https://www.econbiz.de/10012417673
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Eigenvalue ratio estimators for the number of common factors
Cavicchioli, Maddalena; Forni, Mario; Lippi, Marco; … - 2016
Persistent link: https://www.econbiz.de/10011544556
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VAR information and the empirical validation of DSGE models
Forni, Mario; Gambetti, Luca; Sala, Luca - 2016
Persistent link: https://www.econbiz.de/10011482286