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Forecasting stock returns under economic constraints
Pettenuzzo, Davide; Timmermann, Allan; Valkanov, Rossen I. - In: Journal of financial economics 114 (2014) 3, pp. 517-553
Persistent link: https://www.econbiz.de/10010532691
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"Déjà vol" : predictive regressions for aggregate stock market volatility using macroeconomic variables
Paye, Bradley S. - In: Journal of financial economics 106 (2012) 3, pp. 527-546
Persistent link: https://www.econbiz.de/10009710165
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Mutual fund performance and seemingly unrelated assets
Pástor, Ľuboš; Stambaugh, Robert F. - In: Journal of financial economics 63 (2002) 3, pp. 315-349
Persistent link: https://www.econbiz.de/10001661695
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A multivariate model of strategic asset allocation
Campbell, John Y.; Chan, Yeung Lewis; Viceira, Luis M. - In: Journal of financial economics 67 (2003) 1, pp. 41-80
Persistent link: https://www.econbiz.de/10001728943
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Four centuries of return predictability
Golez, Benjamin; Koudijs, Peter - In: Journal of financial economics 127 (2018) 2, pp. 248-263
Persistent link: https://www.econbiz.de/10011968859
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Treasury yield implied volatility and real activity
Cremers, Martijn; Fleckenstein, Matthias; Gandhi, Priyank - In: Journal of financial economics 140 (2021) 2, pp. 412-435
Persistent link: https://www.econbiz.de/10012650450
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Risk and return : long-run relations, fractional cointegration, and return predictability
Bollerslev, Tim; Osterrieder, Daniela; Sizova, Natalia; … - In: Journal of financial economics 108 (2013) 2, pp. 409-424
Persistent link: https://www.econbiz.de/10009749332
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Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets
Bardgett, Chris; Gourier, Elise; Leippold, Markus - In: Journal of financial economics 131 (2019) 3, pp. 593-618
Persistent link: https://www.econbiz.de/10012133017
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Predictive regressions with time-varying coefficients
Dangl, Thomas; Halling, Michael - In: Journal of financial economics 106 (2012) 1, pp. 157-181
Persistent link: https://www.econbiz.de/10009666666
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Estimating the anomaly base rate
Chinco, Alex; Neuhierl, Andreas; Weber, Michael - In: Journal of financial economics 140 (2021) 1, pp. 101-126
Persistent link: https://www.econbiz.de/10013188625