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Predicting the VIX and the Volatility Risk Premium : What's Credit and Commodity Volatility Risk Got to Do with It?
Andreou, Elena - 2014
This paper presents an innovative approach to extracting factors which are shown to predict the VIX, the S&P 500 Realized Volatility and the Variance Risk Premium. The approach is innovative along two different dimensions, namely: (1) we extract factors from panels of filtered volatilities - in...
Persistent link: https://www.econbiz.de/10013045628
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Forecasting Stock Prices with a News-Based Model
Schmidt, Anatoly B. - 2022
It is assumed in the news-based model (NBM) that stock prices are determined with macroeconomic news (modeled with the total market return in the spirit of CAPM), industry news (modeled with the relevant industry ETF returns), and the company-specific news and momentum that are described using...
Persistent link: https://www.econbiz.de/10014239426
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The expected spot rate and risk premium components of treasury bill futures rates
Pilotte, Eugene A. - In: Review of futures markets 12 (1994) 1, pp. 65-90
Persistent link: https://www.econbiz.de/10001183631
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Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
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Beware the performance of an algorithm before relying on it : evidence from a stock price forecasting experiment
Tse, Tiffany Tsz Kwan; Hanaki, Nobuyuki; Mao, Bolin - 2022
forecast after observing the one produced by the algorithm (a condition found to mitigate algorithm aversion), the average …
Persistent link: https://www.econbiz.de/10013419049
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A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
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Can extreme returns predict thecross-section of expected returns in theBrazilian market?
Marques, Naielly Lopes; Klotzle, Marcelo Cabus; Pinto, … - In: Revista Brasileira de Finanças : RBFin 20 (2022) 1, pp. 62-81
Persistent link: https://www.econbiz.de/10013257698
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Equity premium prediction using the price of crude oil : uncovering the nonlinear predictive impact
Nonejad, Nima - In: Energy economics 115 (2022), pp. 1-24
Persistent link: https://www.econbiz.de/10013541756
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Expectations and Risk Premia at 8 : 30am: Macroeconomic Announcements and the Yield Curve
Hördahl, Peter - 2017
obtained using high-frequency data with model estimates using monthly data, we show that bond yields move after announcements …
Persistent link: https://www.econbiz.de/10012970137
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Expectations and Risk Premia at 8 : 30am: Macroeconomic Announcements and the Yield Curve
Hördahl, Peter - 2015
obtained using high-frequency data with model estimates using monthly data, we show that bond yields move after announcements …
Persistent link: https://www.econbiz.de/10013012079