Narrow search
Showing 1 - 10 of 20,891
Cover Image
Optimal portfolio choice with asset return predictability and nontradable labor income
Tsai, Hui-Ju; Wu, Yangru - In: Review of quantitative finance and accounting 45 (2015) 1, pp. 215-249
Persistent link: https://www.econbiz.de/10011333124
Cover Image
Nonparametric predictive regression
Kasparis, Ioannis; Andreou, Elena; Phillips, Peter C. B. - In: Journal of econometrics 185 (2015) 2, pp. 468-494
Persistent link: https://www.econbiz.de/10011348962
Cover Image
Ex ante skewness and expected stock returns
Conrad, Jennifer S.; Dittmar, Robert F.; Ghysels, Eric - In: The journal of finance : the journal of the American … 68 (2013) 1, pp. 85-124
Persistent link: https://www.econbiz.de/10009719760
Cover Image
Asymmetry with respect to the memory in stock market volatilities
Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419
Persistent link: https://www.econbiz.de/10011481716
Cover Image
Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800
Cover Image
A forecast evaluation of expected equity return measures
Chin, Michael; Polk, Christopher - 2015
Persistent link: https://www.econbiz.de/10010497568
Cover Image
Do realized skewness and kurtosis predict the cross-section of equity returns?
Amaya, Diego (contributor) - 2011
Persistent link: https://www.econbiz.de/10009385117
Cover Image
Model uncertainty, thick modelling and the predictability of stock returns
Aiolfi, Marco; Favero, Carlo A. - 2003
Persistent link: https://www.econbiz.de/10001778766
Cover Image
Intertemporal asset pricing models and the cross section of expected stock returns
Hardouvelis, Gikas A.; Kim, Dongcheol; Wizman, Thierry A. - 1992
Persistent link: https://www.econbiz.de/10000853174
Cover Image
Ex Ante Skewness and Expected Stock Returns
Conrad, Jennifer S. - 2012
We use a sample of option prices, and the method of Bakshi, Kapadia and Madan (2003), to estimate the ex ante higher moments of the underlying individual securities' risk-neutral returns distribution. We find that individual securities' volatility, skewness, and kurtosis are strongly related to...
Persistent link: https://www.econbiz.de/10013116546