's information set for the myopic stock-bond portfolio. In-sample I find that the best forecast of the volatility and correlation is … metrics: volatility, Sharpe ratio, certainty-equivalent return, turnover and opportunity cost. For minimum-variance portfolios … formed using analyst forecasts, although the volatility of the portfolios increase, the Sharpe ratios substantially increase …

return and volatility spillover between the S&P 500 and 12 Asian stock markets using weekly data from January 2000 to … February 2020. DECO-GARCH models are employed to measure volatility transmission between markets. A generalized VAR, variance … the interdependence of the conditional returns, conditional volatility, and conditional correlations between the stock …

volatility of nonfinancial income is found to have a negative impact on these two quantities. However, there is no evidence of an …The paper uses micro data on income and asset holdings from the Panel Study of Income Dynamics and other US household … the set of stock market participants. I find evidence of a positive effect of mean nonfinancial income on the probability …

volatility of nonfinancial income is found to have a negative impact on these two quantities. However, there is no evidence of an …The paper uses micro data on income and asset holdings from the Panel Study of Income Dynamics and other US household … the set of stock market participants. I find evidence of a positive effect of mean nonfinancial income on the probability …

over the last two centuries. We also find evidence that an increase in income inequality may lead to higher prices for art …