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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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Micro(structure) before macro? : the predictive power of aggregate illiquidity for stock returns and economic activity
Chen, Yong; Eaton, Gregory W.; Paye, Bradley S. - In: Journal of financial economics 130 (2018) 1, pp. 48-73
Persistent link: https://www.econbiz.de/10012051279
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How stable are financial prediction models? : Evidence from US and international stock market data
Paye, Bradley S.; Timmermann, Allan - 2002
Persistent link: https://www.econbiz.de/10001752971
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Jumps in stock prices : new insights from old data
Johnson, James A.; Medeiros, Marcelo C.; Paye, Bradley S. - In: Journal of financial markets 60 (2022), pp. 1-22
Persistent link: https://www.econbiz.de/10013398004