-specific risk factors and use the joint conditional distribution of these components to obtain forecasts of future carry trade … returns. Our results suggest that the decomposition model produces higher forecast and directional accuracy than any of the … competing models. We show that the forecasting gains translate into economically and statistically significant (risk …

financial crisis. To this end, we derive risk-neutral densities from the implied volatilities of FX options, which approximate … market expectations about exchange rate developments. Based on these risk-neutral density estimates, we then assess the out … also find that, for the Czech Republic and Poland, risk-neutral densities contain useful information on the direction of …

and among the best-performing univariate benchmarks, while still being truly out-of-sample. The ability to forecast …

price crash risk, we study the relationship between investor attention and crash risk. Adopting a quantile regression … approach, we find that the connection is concentrated in the tails of the distribution of crash risk. Investor attention has a … positive relationship with crash risk when crash risk is low (below-median quantiles), and negative when crash risk is high …

The ex-ante forecast of the SP500 index discussed in Fantazzini (2010a), covering the time sample 14 … the SP500 index trailed the forecasted values quite well, moving inside the forecast confidence bands for over a year …/08/2010, the stock market index never returned inside the forecast confidence bands. Additional evidence is then provided to show …

-excitation for these series. Out-of-sample, we find that the models that include spillover effects forecast crashes and the Value-at-Risk …