that many of the global predictors have a weak explanatory power when they are individually regressed against the world …

This paper develops a Monte-Carlo backtesting procedure for risk premia strategies and employs it to study Time … results are robust to using different time-series models, time periods, asset classes, and risk measures. …

with many listed firms and high idiosyncratic risk limiting arbitrage …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

making and risk management. Over the past three decades there has been a trend towards increased asset return correlations … models proposed in the literature can be used to formally characterize and quantify market risk. In particular, we ask how … adequate these models are for modelling market risk at times of financial crisis. In doing so we consider a multivariate t …

participants who aim to time the market and engage in portfolio and risk management. Third, to those (policy makers and others) who …

) and the variance risk premium (VRP) as predictors of stock market returns for which we are using well-established versions … to pay a risk premium for "good uncertainty" …

stock prices across the globe. Forecasting stock prices will provide a way to anticipate and perhaps avoid the risk of a …

In this paper, we develop new latent risk measures that are designed as a prior synthesis of key forecasting …