We examine the distribution of returns in new industries to determine whether stocks in new industries are similar to … evidence of low expected returns. On the contrary, firms in new industries typically have high volatility of individual stocks …

-market price formation. Further, their findings imply that diversification benefits increase for portfolios of stocks and bonds …

The study revealed the strong impact of policy measures on production, procurement, stocks and trade. We detected … stocks are found to strongly crowd out private stocks but not to the same extent as public stocks are build up. Total exports …

The Chicago Fed dynamic stochastic general equilibrium (DSGE) model is used for policy analysis and forecasting at the …

forecasting techniques, e.g. correlation forecasts based on historical values and on a dynamic conditional correlation (DCC) model … varied. We find that the applied volatility forecasting models have a strong influence on the expected net present value … distribution and on the probability of default. In contrast, correlation forecasting models play a minor role. Time resolution and …

This paper uses a panel VAR (PVAR) approach to estimating, analysing and forecasting price dynamics in four different …

forecasting volatility. Key papers in this area include Andersen, Bollerslev, Diebold and Labys (2003), Corsi (2004), Andersen …