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The VIX, the variance premium and stock market volatility
Bekaert, Geert; Hoerova, Marie - 2013
Persistent link: https://www.econbiz.de/10009744702
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Behavioralize this! : International evidence on autocorrelation patterns of stock index and features return
Ahn, Dong-Hyun; Boudoukh, Jacob; Richardson, Matthew; … - 1999
Persistent link: https://www.econbiz.de/10001394327
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Can the markov switching model forecast exchange rates?
Engel, Charles - 1992
Persistent link: https://www.econbiz.de/10014422868
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Risk, mispricing, and asset allocation : conditioning on dividend yield
Shanken, Jay; Tamayo, Ane - 2001
Persistent link: https://www.econbiz.de/10001632875
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Exchange rate returns standardized by realized volatility are (nearly) Gaussian
Andersen, Torben; Bollerslev, Tim; Diebold, Francis X.; … - 2000
Persistent link: https://www.econbiz.de/10001440693
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Identifying long-run risks : a Bayesian mixed-frequency approach
Schorfheide, Frank; Song, Dongho; Yaron, Amir - 2014
Persistent link: https://www.econbiz.de/10010392642
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Bayesian variable selection for nowcasting economic time series
Scott, Steven L.; Varian, Hal R. - 2013
Persistent link: https://www.econbiz.de/10010205275
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Volatility forecasting
Andersen, Torben; Bollerslev, Tim; Christoffersen, Peter F. - 2005
Persistent link: https://www.econbiz.de/10002685057
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Tests of excess forecast volatility in the foreign exchange and stock markets
Froot, Kenneth - 1987
Persistent link: https://www.econbiz.de/10009571466
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Maximizing predictability in the stock and bond markets
Lo, Andrew W. - 1995
Persistent link: https://www.econbiz.de/10000909184