We evaluate the importance of nonlinear interactions in volatility forecasting by comparing the predictive power of decision tree ensemble models relative to classical ones for normalized at-the-money implied volatility innovations. We measure the economic significance of these predictions in...

Positive option-implied risk-neutral skewness (RNS) predicts next-month abnormal underlying stock returns driven by upward rebounds of previously undervalued stocks. The RNS anomaly is strongest in periods of post-recession rebounds when momentum crashes occur. Furthermore, the momentum anomaly...

We evaluate the importance of nonlinear and interactive effects in implied volatility innovation forecasting by comparing the performance of machine learning models that can search for interactive effects relative to classical ones that cannot, measuring the economic significance of these...

We evaluate the importance of nonlinear and interactive effects in implied volatility innovation forecasting by comparing the performance of machine learning models that can search for interactive effects relative to classical ones that cannot, measuring the economic significance of these...

Major reports of tourism forecasting studies are classified by forecasting method employed, reviewed, compared, and critiqued. A partial meta-analysis is used to attempt to gauge relative accuracy of the various approaches used in differing situations. Summary statements on the relative...

Purpose Firms with market foresight – knowledge of market changes ahead of competitors – can convert that knowledge into creative and timely new product offerings. Based on a discovery-oriented process, working closely with managers throughout the research process, we develop and test a...