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Testing for a unit root in the presence of stochastic volatility and leverage effect

Li, Yong; Chong, Terence Tai-Leung; Zhang, Jie - In: Economic modelling 29 (2012) 5, pp. 2035-2038

Persistent link: https://www.econbiz.de/10009666985

Bayesian reconciliation of return predictability

Koval, Borys; Frühwirth-Schnatter, Sylvia; Sögner, Leopold - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 337-378

Persistent link: https://www.econbiz.de/10014631938

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-Hwan; Manganelli, Simone - 2008

new methods to estimate measures of conditional skewness and kurtosis defined in terms of conditional quantiles, analogous … to the unconditional quantile-based measures of skewness and kurtosis studied by Kim and White (2004). We investigate the … performance of our methods by simulation, and we apply MQ-CAViaR to study conditional skewness and kurtosis of S&P 500 daily …

Persistent link: https://www.econbiz.de/10011605003

Does realized skewness predict the cross-section of equity returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10011480389

An anatomy of the equity premium

Schneider, Paul - 2016

This paper introduces a model-free decomposition of S&P 500 forward market index returns in terms of realized and implied dispersion, downside, and tail risk using option portfolios. The decomposition lends itself by construction to learn about the different sources of risk in the market return,...

Persistent link: https://www.econbiz.de/10011507822