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Inflation Volatility Risk and the Cross-section of Corporate Bond Returns

Ceballos, Luis - 2021

risk. This paper analyzes the relevance of inflation volatility risk as an additional factor predicting the cross …-section of corporate bond returns. I find a negative and significant inflation volatility risk premium (IVRP) obtained from the …

Persistent link: https://www.econbiz.de/10013215501

Prices and volatilities in the corporate bond market

Bao, Jack; Chen, Jia; Hou, Kewei; Lu, Lei - 2015

, our credit and illiquidity proxies can explain almost three quarters of the yield spread-bond volatility relation with …-bond volatility relation is important even after controlling for equity volatility. The relation between yield spreads and … investment-grade sub-sample, consistent with credit risk being relatively more important for understanding the yield spread-volatility …

Persistent link: https://www.econbiz.de/10011772268

Risk-based portfolios with large dynamic covariance matrices

Nakagawa, Kei; Imamura, Mitsuyoshi; Yoshida, Kenichi - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-14

In the field of portfolio management, practitioners are focusing increasingly on risk-based portfolios rather than on mean-variance portfolios. Risk-based portfolios are constructed based solely on covariance matrices, and include methods such as minimum variance (MV), risk parity (RP), and...

Persistent link: https://www.econbiz.de/10011883260

Option-implied information and predictability of extreme returns

Vilkovz, Grigory; Xiaox, Yan - 2013 - This version: January 28, 2013

We study whether prices of traded options contain information about future extreme market events. Our option-implied conditional expectation of market loss due to tail events, or tail loss measure, predicts future market returns, magnitude, and probability of the market crashes, beyond and above...

Persistent link: https://www.econbiz.de/10010226098

Forecasting sovereign bond realized volatility using time-varying coefficients model

Malinska, Barbora - 2021

This paper studies predictability of realized volatility of U.S. Treasury futures using high-frequency data for 2-year … to generate systemic under-predictions of future realized volatility. …

Persistent link: https://www.econbiz.de/10012542381

Evidence of economic policy uncertainty and COVID-19 pandemic on global stock returns

Chiang, Thomas C. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-24

This paper examines the impact of changes in economic policy uncertainty (EPU) and COVID-19 shock on stock returns. Tests of 16 global stock market indices, using monthly data from January 1990 to August 2021, suggest a negative relation between the stock return and a country’s EPU. Evidence...

Persistent link: https://www.econbiz.de/10012813880

Are global systematic risk and country-specific idiosyncratic risk priced in the integrated world markets

Hueng, C. James - In: International review of economics & finance : IREF 33 (2014), pp. 28-38

Persistent link: https://www.econbiz.de/10010531290

Euro conversion and return dynamics of European financial markets : a frequency domain approach

Grossmann, Axel; Giudici, Emiliano; Simpson, Marc W. - In: Journal of economics and finance 38 (2014) 1, pp. 1-26

Persistent link: https://www.econbiz.de/10010388029

Conditional dependence in post-crisis markets : dispersion and correlation skew trades

Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 55 (2020) 2, pp. 389-426

Persistent link: https://www.econbiz.de/10012303884

Correlations

Ehling, Paul; Heyerdahl-Larsen, Christian - In: Management science : journal of the Institute for … 63 (2017) 6, pp. 1919-1937

Persistent link: https://www.econbiz.de/10011707351

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