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Stock return and cash flow predictability : the role of volatility risk
Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471
Persistent link: https://www.econbiz.de/10011499728
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Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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The VIX, the variance premium and stock market volatility
Bekaert, Geert; Hoerova, Marie - In: Journal of econometrics 183 (2014) 2, pp. 181-192
Persistent link: https://www.econbiz.de/10010506065
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Examining macroeconomic models through the lens of asset pricing
Borovička, Jaroslav; Hansen, Lars Peter - In: Journal of econometrics 183 (2014) 1, pp. 67-90
Persistent link: https://www.econbiz.de/10010506087
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Time-varying sparsity in dynamic regression models
Kalli, Maria; Griffin, Jim E. - In: Journal of econometrics 178 (2014) 2, pp. 779-793
Persistent link: https://www.econbiz.de/10010257660
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A penalized two-pass regression to predict stock returns with time-varying risk premia
Bakalli, Gaetan; Guerrier, Stéphane; Scaillet, Olivier - In: Journal of econometrics 237 (2023) 2,3, pp. 1-27
Persistent link: https://www.econbiz.de/10014471822
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Business-cycle consumption risk and asset prices
Bandi, Federico M.; Tamoni, Andrea - In: Journal of econometrics 237 (2023) 2,3, pp. 1-23
Persistent link: https://www.econbiz.de/10014471828
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Dynamics of variance risk premia : a new model for disentangling the price of risk
Rombouts, Jeroen V. K.; Stentoft, Lars; Violante, Francesco - In: Journal of econometrics 217 (2020) 2, pp. 312-334
Persistent link: https://www.econbiz.de/10012482765
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Predicting the VIX and the volatility risk premium : the role of short-run funding spreads Volatility Factors
Andreou, Elena; Ghysels, Eric - In: Journal of econometrics 220 (2021) 2, pp. 366-398
Persistent link: https://www.econbiz.de/10012618520
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Augmented factor models with applications to validating market risk factors and forecasting bond risk premia
Fan, Jianqing; Ke, Yuan; Liao, Yuan - In: Journal of econometrics 222 (2021) 1,2, pp. 269-294
Persistent link: https://www.econbiz.de/10012619418