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Nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 333-376
Persistent link: https://www.econbiz.de/10011987494
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Comment on: nonparametric tail risk, stock returns, and the macroeconomy
Dobrev, Dobrislav; Schaumburg, Ernst - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 388-409
Persistent link: https://www.econbiz.de/10011987513
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Rejoinder on: nonparametric tail risk, stock returns, and the macroeconomy
Almeida, Caio; Ardison, Kym; Garcia, René; Vicente, Jose - In: Journal of financial econometrics : official journal of … 15 (2017) 3, pp. 418-426
Persistent link: https://www.econbiz.de/10011987534
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A model-free measure of aggregate idiosyncratic volatility and the prediction of market returns
Garcia, René; Mantilla-Garcia, Daniel; Martellini, Lionel - In: Journal of financial and quantitative analysis : JFQA 49 (2014) 5/6, pp. 1133-1165
Persistent link: https://www.econbiz.de/10011338944
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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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Generalized disappointment aversion, long-run volatility risk and asset prices
Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - 2010
Persistent link: https://www.econbiz.de/10008749056
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Generalized disappointment aversion, long-run volatility risk, and asset prices
Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: The review of financial studies 24 (2011) 1, pp. 82-122
Persistent link: https://www.econbiz.de/10008909444
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Measuring high-frequency causality between returns, realized volatility, and implied volatility
Dufour, Jean-Marie; Garcia, René; Taamouti, Abderrahim - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 124-163
Persistent link: https://www.econbiz.de/10009519709
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Predictive modeling, volatility, and risk management in financial markets : in memory of Peter F. Christoffersen, part I, introduction
Diebhold, Francis X.; Garcia, René; Jacobs, Kris - In: Journal of financial econometrics 18 (2020) 3, pp. 471-472
Persistent link: https://www.econbiz.de/10012316690