The spillover effects of interconnectedness between financial assets are decomposed into both sources of shocks and whether they amplify or dampen volatility conditions in the target market. We use historical decompositions to rearrange information from a VAR which includes sources, direction...

For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature that correlations and higher...

We examine return predictability with machine learning in 46 international stock markets. We calculate 148 stock characteristics and use them to feed a repertoire of different models. The algorithms extract predictability mainly from simple, yet popular, factor types—such as momentum,...

We apply machine learning techniques and use stock characteristics to predict the cross-section of stock returns in 33 international markets. We conduct a stringent out-of-sample test to examine concerns about overfitting: the models are trained with past U.S. data and used to predict...

As defined contribution (DC) plans have grown and have increasingly become the primary retirement savings vehicle, asset allocators are increasingly interested in incorporating illiquid private assets in these retirement funds to offer participants access to investment portfolios and...

We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we show that taking into account multiple levels of the order book when defining order book imbalance leads to higher explanatory power for the contemporaneous price...

We study the performance of many traditional and novel, text-based variables for in-sample and out-of-sample forecasting of oil spot, futures, and energy company stock returns, and changes in oil volatility, production, and inventories. After controlling for small-sample biases, we find evidence...

This paper examines the advantages and drawbacks of alternative methods of estimating oil supply and oil demand elasticities and of incorporating this information into structural VAR models. I not only summarize the state of the literature, but also draw attention to a number of econometric...

This paper examines how robust economic, political, and demographic variables are related to water and air pollution. Employing Bayesian Averaging of Classical Estimates (BACE) for a cross section of up to 74 countries, 33 variables and 3 proxies for air and water pollution over a period from...