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Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

We examine the pricing of tail risk in international stock markets. We find that the tail risk of different countries is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are mainly driven by global tail risk rather than local tail...

Persistent link: https://www.econbiz.de/10011751251

Rare Events and Return Predictability in a Regime Switching Setting

Kick, Heinrich - 2014

Inspired by the recent literature on rare events and their impact on asset prices, we investigate the return predictability properties of a set of variables related to the risk of tail events extracted from equity market information and measures based on credit spreads. Our variables outperform...

Persistent link: https://www.econbiz.de/10013055485

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Guidolin, Massimo; Hyde, Stuart; McMillan, David; Ono, … - 2010

We perform a comprehensive examination of the recursive, comparative predictive performance of a number of linear and non-linear models for UK stock and bond returns. We estimate Markov switching, threshold autoregressive (TAR), and smooth transition autoregressive (STR) regime switching models,...

Persistent link: https://www.econbiz.de/10014190297

Does the Macroeconomy Predict U.K. Asset Returns in a Nonlinear Fashion? Comprehensive Out-of-Sample Evidence

Guidolin, Massimo - 2010

Persistent link: https://www.econbiz.de/10013136656

The decline in asset return predictability and macroeconomic volatility

Hsu, Alex; Palomino, Francisco; Qian, Charles - 2017

We document strong U.S. stock and bond return predictability from several macroeconomic volatility series before 1982 … policy and shocks with time-varying volatility. The decline is consistent with changes in both policy and shock dynamics …. While an increase in the response to inflation in the interest-rate policy rule decreases volatility, more persistent and …

Persistent link: https://www.econbiz.de/10011709322

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618

Implied volatility and the cross section of stock returns in the UK

Poshakwale, Sunil S.; Chandorkar, Pankaj; Agarwal, Vineet - In: Research in international business and finance 48 (2019), pp. 271-286

Persistent link: https://www.econbiz.de/10012135913

Bond return predictability : economic value and links to the macroeconomy

Gargano, Antonio; Pettenuzzo, Davide; Timmermann, Allan - In: Management science : journal of the Institute for … 65 (2019) 2, pp. 508-540

Persistent link: https://www.econbiz.de/10012000665

Measuring macroeconomic tail risk

Marfè, Roberto; Pénasse, Julien - 2020 - This draft: June 16, 2020

This paper proposes a predictive approach to estimate macroeconomic tail risk dynamics over the long run (1876-2015). Our approach circumvents the scarcity of large macroeconomic crises by using observable predictive variables in a large international panel. This method does not require to use...

Persistent link: https://www.econbiz.de/10012233219

Comments on: Nonparametric tail risk, stock returns and the macroeconomy

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016

Persistent link: https://www.econbiz.de/10011518800

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