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Implied idiosyncratic volatility and stock return predictability

Mateus, Cesario; Konsilp, Worawuth - In: Journal of mathematical finance 4 (2014) 5, pp. 338-352

Persistent link: https://www.econbiz.de/10011312407

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2016

has implications for the estimation of economic models of energy-intensive durables, for oil price forecasting, and for …

Persistent link: https://www.econbiz.de/10011434566

A general approach to recovering market expectations from futures prices with an application to crude oil

Baumeister, Christiane; Kilian, Lutz - 2014

alternatives and more economically plausible. We discuss implications of our analysis for the estimation of economic models of …

Persistent link: https://www.econbiz.de/10010409922

Prediction accuracy of volatility using the score-driven Meixner distribution : an application to the Dow Jones

Blazsek, Szabolcs; Licht, Adrian - In: Applied economics letters 29 (2022) 2, pp. 111-117

Persistent link: https://www.econbiz.de/10012803390

Prediction accuracy of bivariate score-driven risk premium and volatility filters : an illustration for the Dow Jones

Blazsek, Szabolcs; Escribano, Álvaro; Licht, Adrian - 2020

Persistent link: https://www.econbiz.de/10012310604

Estimation of large dimensional conditional factor models in finance

Gagliardini, Patrick; Ossola, Elisa; Scaillet, Olivier - 2019 - This version: August 2019

This chapter surveys recent econometric methodologies for inference in large dimensional conditional factor models in finance. Changes in the business cycle and asset characteristics induce time variation in factor loadings and risk premia to be accounted for. The growing trend in the use of...

Persistent link: https://www.econbiz.de/10012101166