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Baghdadabad, Mohammadreza Tavakoli - In: China Accounting and Finance Review 26 (2024) 2, pp. 137-169

Purpose - We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and … expected stock returns. Design/methodology/approach - We estimate a cross-sectional model of expected entropy that uses several … common risk factors to predict idiosyncratic entropy. Findings - We find a negative relationship between expected …

Persistent link: https://www.econbiz.de/10014554136

Determinants of asymmetric return comovements of gold and other financial assets

Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242

Persistent link: https://www.econbiz.de/10011624131

Factor high-frequency based volatility (HEAVY) models

Sheppard, Kevin; Xu, Wen - 2014

Persistent link: https://www.econbiz.de/10010365630

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...

Persistent link: https://www.econbiz.de/10009734341