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Implied volatility and the cross section of stock returns in the UK

Poshakwale, Sunil S.; Chandorkar, Pankaj; Agarwal, Vineet - In: Research in international business and finance 48 (2019), pp. 271-286

Persistent link: https://www.econbiz.de/10012135913

Answering the critics : yes, arch models do provide good volatility forecasts

Andersen, Torben; Bollerslev, Tim - 1997

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The VIX, the variance premium and stock market volatility

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Is oil risk important for commodity-related currency returns?

Yin, Libo; Su, Zhi; Lu, Man - In: Research in international business and finance 60 (2022), pp. 1-23

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New forecasts of the equity premium

Polk, Christopher; Thompson, Samuel C.; Vuolteenaho, Tuomo - 2004

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Is there momentum in factor premia? : evidence from international equity markets

Zaremba, Adam; Shemer, Jacob - In: Research in international business and finance 46 (2018), pp. 120-130

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Durability of output and expected stock returns

Gomes, João; Kogan, Leonid; Yogo, Motohiro - 2007

The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the NIPA input-output tables, we construct portfolios of durable-good, nondurable-good,...

Persistent link: https://www.econbiz.de/10003449724

Volatility, the macroeconomy and asset prices

Bansal, Ravi; Kiku, Dana; Shaliastovich, Ivan; Yaron, Amir - 2012

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Does the equity premium puzzle persist during financial crisis? : the case of the French equity market

Bellelah, M. A.; Bellelah, M. O.; Ben Ameur, Hachmi; … - In: Research in international business and finance 39 (2017), pp. 851-866

Persistent link: https://www.econbiz.de/10011912395

The returns, risk and liquidity relationship in high frequency trading : evidence from the Oslo stock market

Minh Thi Hong Dinh - In: Research in international business and finance 39 (2017), pp. 30-40

Persistent link: https://www.econbiz.de/10011876398

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