accounting for volatility regimes from both a statistical and economic perspective, including out-of-sample portfolio selection …

We build a dynamic capital structure model to study the link between systematic risk exposure and debt maturity, as … the maturity structure. Relative to short-term debt, long-term debt is less prone to rollover risks, but its illiquidity … favour longer debt maturity, as well as a more stable maturity structure over the business cycle. Pro-cyclical debt maturity …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

direction of company-specific news. Information-implied reactions in returns, volatility as well as liquidity demand and supply … London Stock Exchange (LSE), we find market-wide robust news-dependent responses in volatility and trading volume. However …

Most multivariate variance or volatility models suffer from a common problem, the “curse of dimensionality”. For this … stochastic volatility models. The empirical analysis on stock returns on the US market shows that 1% and 5 % Value …

almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises create considerable uncertainty … differences of opinion is left, and hence volatility is decreased. …

.28% with a half-life of 0.92 days. Price pressure causes average transitory volatility in daily stock returns of 0.49%. Price …

almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises, and 'bad' news in particular … differences of opinion is left, and hence volatility is decreased. …