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Oil Volatility Risk and Expected Stock Returns

Christoffersen, Peter - 2014

After the financialization of commodity futures markets in 2004-05 oil volatility has become a strong predictor of … returns and volatility of the overall stock market. Furthermore, stocks' exposure to oil volatility risk now drives the cross … to oil volatility is significant at 0.66% per month, and oil volatility risk carries a significant risk premium of -0 …

Persistent link: https://www.econbiz.de/10013058330

Macroeconomic volatilities and long-run risks of asset prices

Zhou, Guofu; Zhu, Yingzi - In: Management science : journal of the Institute for … 61 (2015) 2, pp. 413-430

Persistent link: https://www.econbiz.de/10010490848

Measuring market expectations

Baumeister, Christiane - 2021

Persistent link: https://www.econbiz.de/10012613628

Empirical asset pricing with nonlinear risk premia

Mijatovi´c, Aleksandar; Schneider, Paul - 2009

Persistent link: https://www.econbiz.de/10009428004

Empirical asset pricing with nonlinear risk premia

Mijatovi´c, Aleksandar; Schneider, Paul - In: Journal of financial econometrics : official journal of … 12 (2014) 3, pp. 479-506

Persistent link: https://www.econbiz.de/10010391949

Crypto Coins and Credit Risk : Modelling and Forecasting their Probability of Death

Fantazzini, Dean - 2022

This paper examined a set of over two thousand crypto-coins observed between 2015 and 2020 to estimate their credit risk by computing their probability of death. We employed different definitions of dead coins, ranging from academic literature to professional practice, alternative forecasting...

Persistent link: https://www.econbiz.de/10013404509

Examining the sources of excess return predictability : stochastic volatility or market inefficiency?

Lansing, Kevin J.; LeRoy, Stephen F.; Ma, Jun - In: Journal of economic behavior & organization : JEBO 197 (2022), pp. 50-72

Persistent link: https://www.econbiz.de/10013383142

Risks in macroeconomic fundamentals and excess bond returns predictability

De Rezende, Rafael B. - 2015 - February 2015

I provide evidence that risks in macroeconomic fundamentals contain valuable information about bond risk premia. I extract factors from a set of quantile-based risk measures estimated for US macroeconomic variables and document that they account for up to 31% of the variation in excess bond...

Persistent link: https://www.econbiz.de/10010478516

The term structure of expectations and bond yields

Crump, Richard K.; Eusepi, Stefano; Mönch, Emanuel - 2016

How much do term premiums matter for explaining the dynamics of the term structure of interest rates? A lot. We characterize the expected path of nominal and real short-rates as well as inflation using the universe of U.S. surveys of professional forecasters covering more than 500 survey-horizon...

Persistent link: https://www.econbiz.de/10011477349

Incorporating Model Uncertainty and Model Instability in Forecasting Bond Risk Premia and Term Structure of Government Bond Yield – A Bayesian Model Averaging Approach

Zhou, Hao (David) - 2012

This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government bond yields by using Bayesian Model Averaging (BMA) based on empirical prior. Different from the traditional variable selection approach which advocates finding an...

Persistent link: https://www.econbiz.de/10013113732