macroeconomic states. Data-driven P-Tree models reveal that idiosyncratic volatility and earnings-to-price ratio interact to drive … cross-sectional return variations in U.S. equities; market volatility and inflation constitute the most critical regime …

We introduce artificial intelligence pricing theory (AIPT). In contrast with the APT's foundational assumption of a low …

% of the volatility of the equity premium. A targeted subsidy that decreases diversification improves welfare by increasing …

Recent empirical evidence suggests that the long-run dependence in financial market volatility is best characterized by … a slowly mean-reverting fractionally integrated process. At the same time, much shorter-lived volatility dependencies …-of-distributions hypothesis interpretation of the latent volatility process in rationalizing this behavior. By interpreting the overall volatility …

volatility. The news component of volatility is not positively autocorrelated on these dates, since the news is released at a … these announcement dates, and (2) the persistence pattern of daily volatility is quite different around these days …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …

This paper introduces the News Impact Curve to measure how new information is incorporated into volatility estimates. A … shape of the News Impact Curve. New diagnostic tests are presented which emphasize the asymmetry of the volatility response …