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Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - In: The quarterly review of economics and finance 95 (2024), pp. 280-293

Persistent link: https://www.econbiz.de/10014631538

Salisu, Afees A.; Ogbonna, Ahamuefula Ephraim; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014443108

Oil price returns skewness and forecastability of international stock returns over one century of data

Salisu, Afees A.; Gupta, Rangan - 2023

Persistent link: https://www.econbiz.de/10014443111

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014 - This version: June 2014

In this paper we document that realized variation measures constructed from high-frequency returns reveal a large degree of volatility risk in stock and index returns, where we characterize volatility risk by the extent to which forecasting errors in realized volatility are substantive. Even...

Persistent link: https://www.econbiz.de/10010366935

Forecasting excess stock returns with crude oil market data

Liu, Li; Ma, Feng; Wang, Yudong - In: Energy economics 48 (2015), pp. 316-324

Persistent link: https://www.econbiz.de/10011533825

Asymmetric realized volatility risk

Allen, David E.; McAleer, Michael; Scharth, Marcel - 2014

Persistent link: https://www.econbiz.de/10010410196

Intraday momentum and return predictability : evidence from the crude oil market

Wen, Zhuzhu; Gong, Xu; Ma, Diandian; Xu, Yahua - In: Economic modelling 95 (2021), pp. 374-384

Persistent link: https://www.econbiz.de/10012696009

Combining density forecasts using focused scoring rules

Opschoor, Anne; Dijk, Dick van; Wel, Michel van der - In: Journal of applied econometrics 32 (2017) 7, pp. 1298-1313

Persistent link: https://www.econbiz.de/10011862725

Tail risk and expected stock returns around the world

Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178

Persistent link: https://www.econbiz.de/10012169574

International tail risk and world fear

Nguyen, Duc Binh Benno; Prokopczuk, Marcel; Wese Simen, … - 2017

is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

Persistent link: https://www.econbiz.de/10011751251

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