Konstantinidi et. al. state in their broad survey of Volatility-Index forecasting: "The question whether the dynamics of implied volatility indices can be predicted has received little attention". The overall result of this and the quoted papers is: The VIX is too a very limited extend (R2 is...

We extend prior research examining the relation between aggregate recommendation changes and future returns by documenting that this relation varies over time as a function of the predictability of future earnings growth. When industry-level earnings growth is more predictable, we find that...

You're probably familiar, at least in passing, with the 'convexity' of long-term bonds - i.e. that yields dropping 1% produce a bigger price move than yields rising 1%. A significant amount of brainpower has gone into understanding all the ramifications of this convexity in the fixed income...

We compare the performance of popular covariance forecasting models in the context of a portfolio of major European equity indices. We find that models based on high-frequency data offer a clear advantage in terms of statistical accuracy. They also yield more theoretically consistent predictions...

AdaBoost tweaks the sample weight for each training set used in the iterative process, however, it is demonstrated that it provides more correlated errors as the boosting iteration proceeds if models’ accuracy is high enough. Therefore, in this study, we propose a novel way to improve the...

This study investigates whether contagious infectious diseases affect stock market outcomes. As a natural experiment, we use panel data analysis to test the effect of the COVID-19 virus, which is a contagious infectious disease, on the Chinese stock market. The findings indicate that both the...