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Sharing asymmetric tail risk : smoothing, asset prices and terms of trade

Corsetti, Giancarlo; Lipinska, Anna; Lombardo, Giovanni - 2021

Persistent link: https://www.econbiz.de/10012700479

Cost of capital and asset characteristic value

Shen, Bill Y. - In: International journal of financial engineering 8 (2021) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10012654837

Large dynamic covariance matrices: enhancements based on intraday data

De Nard, Gianluca; Engle, Robert F.; Ledoit, Olivier; … - 2021 - This version: June 2021

but also of dynamic correlations, is the concept of a regularized return, obtained from a volatility proxy in conjunction …

Persistent link: https://www.econbiz.de/10012584099

Sharing asymmetric tail risk: smoothing, asset pricing and terms of trade

Corsetti, Giancarlo; Lipińska, Anna; Lombardo, Giovanni - 2021

Persistent link: https://www.econbiz.de/10012620824

Ambiguity, long-run risks, and asset prices

Wei, Bin - 2021

I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...

Persistent link: https://www.econbiz.de/10012617667

Forecasting stock return volatility : the role of shrinkage approaches in a data-rich environment

Dai, Zhifeng; Li, Tingyu; Yang, Mi - In: Journal of forecasting 41 (2022) 5, pp. 980-996

Persistent link: https://www.econbiz.de/10013287893

Endogenous participation, risk, and learning in the stock market

Shin, Michael - In: Macroeconomic dynamics 26 (2022) 3, pp. 649-681

Persistent link: https://www.econbiz.de/10013187241

Asymmetric jump beta estimation with implications forportfolio risk management

Alexeev, Vitali; Urga, Giovanni; Yao, Wenying - 2017

Persistent link: https://www.econbiz.de/10012806610

Investor sentiment and risk appetite of real estate security market

Hui, Eddie Chi Man; Zheng, Xian; Wang, Hui - In: Applied economics 45 (2013) 19/21, pp. 2801-2807

Persistent link: https://www.econbiz.de/10010189350

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Dumas, Bernard - 2005

price volatility and "sentiment" fluctuations. We construct a general equilibrium model of sentiment. In it, there are two … the proportion of wealth invested into equity except when they are extremely optimistic about future growth. Moreover … exploit, and hence, eliminate excessive volatility, except in the very long run." …

Persistent link: https://www.econbiz.de/10012466868