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International Stock Return Predictability : The Role of U.S. Volatility Risk

Deng, Yizhe; Jiang, Fuwei; Wang, Yunqi; Zhou, Ti - 2022

This paper studies the intertemporal relation between U.S. volatility risk and international equity risk premia. We … show that a common volatility risk factor constructed from the option-implied U.S. forward variances positively and … robust to the inclusion of existing domestic and U.S. predictors and alternative U.S. volatility risk proxies. The …

Persistent link: https://www.econbiz.de/10014236052

The world predictive power of U.S. equity market skewness risk

Chen, Jian; Jiang, Fuwei; Xue, Shuyu; Yao, Jiaquan - In: Journal of international money and finance 96 (2019), pp. 210-227

Persistent link: https://www.econbiz.de/10012139649

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raaij, Gabriela de; Raunig, Burkhard - 2002

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …

Persistent link: https://www.econbiz.de/10001657476

Comparing the market risk premia forecasts in JSE and NYSE equity markets

Oikonomikou, Leoni Eleni - 2016 - Corrected version: March 2016

This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks … paper is the inclusion of the South African market risk premium to the forecasting exercise and its direct comparison with … US forecasting results. The market risk premium is defined as the expected rate of return on the market portfolio in …

Persistent link: https://www.econbiz.de/10011454082

Evaluating density forecasts with an application to stock market returns

Raaij, Gabriela de; Raunig, Burkhard - 2002

in modern financial risk management techniques like Value at Risk. This paper suggests a regression based density …

Persistent link: https://www.econbiz.de/10011431370

Forecasting US Stock Returns

McMillan, David G. - 2018

We forecast quarterly US stock returns using eighteen predictor variables both individually and in multivariate regressions, with the former also used in forecast combinations. Using rolling and recursive approaches, we consider a range of statistical and economic evaluation measures. We...

Persistent link: https://www.econbiz.de/10012909692

The factor-spline-GARCH model for high and low frequency correlations

Rangel, Jose Gonzalo; Engle, Robert F. - 2009

We propose a new approach to model high and low frequency components of equity correlations. Our framework combines a factor asset pricing structure with other specifications capturing dynamic properties of volatilities and covariances between a single common factor and idiosyncratic returns....

Persistent link: https://www.econbiz.de/10003821063

International stock return predictability : on the role of the United States in bad and good times

Siliverstovs, Boriss - 2016

In this paper we document the asymmetric role that the U.S. stock market plays in the international predictability of excess stock returns during recession and expansion periods. Most of the positive evidence accrues during the periods of recessions in the United States. During the expansions...

Persistent link: https://www.econbiz.de/10011519115

International Stock Return Predictability : What is the Role of the United States?

Rapach, David E. - 2012

We investigate lead-lag relationships among country stock returns and identify a leading role for the United States: lagged U.S. returns significantly predict returns in numerous non-U.S. industrialized countries (after controlling for national economic variables and countries' own lagged...

Persistent link: https://www.econbiz.de/10013116627

International Stock Return Predictability : What is the Role of the United States?

Rapach, David E. - 2010

We present significant evidence of out-of-sample equity premium predictability for a host of industrialized countries over the postwar period. There are important differences, however, in the nature of equity premium predictability between the United States and other developed countries. Taken...

Persistent link: https://www.econbiz.de/10013146627