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Evaluating Density Forecasts with an Application to Stock Market Returns

Raunig, Burkhard - 2016

Persistent link: https://www.econbiz.de/10012991280

Market Volatility and Stock Returns : The Role of Liquidity Providers

Chung, Kee H. - 2018

This study shows that market volatility affects stock returns both directly and indirectly through its impact on liquidity provision and the negative relation between market volatility and stock returns arises not only from greater risk premiums but also greater illiquidity premiums that are...

Persistent link: https://www.econbiz.de/10012934316

Stock Market Cross-Sectional Skewness and Business Cycle Fluctuations

R.T. Ferreira, Thiago - 2020

Using U.S. data from 1926 to 2015, I show that financial skewness?a measure comparing cross-sectional upside and downside risks of the distribution of stock market returns of financial firms?is a powerful predictor of business cycle fluctuations. I then show that shocks to financial skewness are...

Persistent link: https://www.econbiz.de/10014115594

The Theory of Higher Order Lognormal Cascade Distribution and the Origin of Fat Tails in the Fluctuations of Stock Market

Lihn, Stephen H.T. - 2009

This working paper presents the general theory of the higher order "skew lognormal cascade distribution" as a … market index, and the market entropy of the stock market. Such study in the context of stochastic portfolio theory reveals … distribution, which is the lognormal cascade equation in our theory. This shows that the fluctuations of the market index are a …

Persistent link: https://www.econbiz.de/10013159227

Persistence in the Russian stock market volatility indices

Caporale, Guglielmo Maria; Gil-Alaña, Luis A.; … - 2018

This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period 2010-2018. The empirical findings are consistent...

Persistent link: https://www.econbiz.de/10011903723

Jump-diffusion long-run risks models, variance risk premium and volatility dynamics

Jin, Jianjian - 2013

This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of riskneutral and realized...

Persistent link: https://www.econbiz.de/10009734341

A Jumping Index of Jumping Stocks? An MCMC Analysis of Continuous-Time Models for Individual Stocks

Rodrigues, Paulo - 2009

This paper examines continuous-time models for the price and volatility processes of individual stocks and the S\amp;P 100 index via Markov Chain Monte Carlo estimation. We find that the stochastic processes governing individual stocks are rather heterogeneous. A key result of our investigation...

Persistent link: https://www.econbiz.de/10012718585

Covariance Forecasting in Equity Markets

Symitsi, Efthymia - 2018

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...

Persistent link: https://www.econbiz.de/10012915984

Are Sticky Prices Costly? Evidence from the Stock Market

Gorodnichenko, Yuriy - 2017

We show that after monetary policy announcements, the conditional volatility of stock market returns rises more for firms with stickier prices than for firms with more flexible prices. This differential reaction is economically large and strikingly robust to a broad array of checks. These...

Persistent link: https://www.econbiz.de/10012974569

The Joint Cross-Sectional Variation of Equity Returns and Volatilities

Gonzalez-Urteaga, Ana - 2018

This paper analyzes the determinants of the simultaneous cross-sectional variation of return and volatility risk premia. Independently of the model specification employed, the estimated risk premium associated with the default premium beta is always positive and statistically different from...

Persistent link: https://www.econbiz.de/10012935590

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