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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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"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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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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Is there a risk-return tradeoff in the corporate bond market? : time-series and cross-sectional evidence
Bai, Jennie; Bali, Turan G.; Wen, Quan - In: Journal of financial economics 142 (2021) 3, pp. 1017-1037
Persistent link: https://www.econbiz.de/10012873314
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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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Cross-asset signals and time series momentum
Pitkäjärvi, Aleksi; Suominen, Matti; Vaittinen, Lauri - In: Journal of financial economics 136 (2020) 1, pp. 63-85
Persistent link: https://www.econbiz.de/10012545360
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Is momentum really momentum?
Novy-Marx, Robert - In: Journal of financial economics 103 (2012) 3, pp. 429-453
Persistent link: https://www.econbiz.de/10009520656
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The risk premia embedded in index options
Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584
Persistent link: https://www.econbiz.de/10011480313
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Tail risk premia and return predictability
Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134
Persistent link: https://www.econbiz.de/10011480379
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Does realized skewness predict the cross-section of equity returns?
Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167
Persistent link: https://www.econbiz.de/10011480389