Similar Search Results

Can implied volatility predict returns on the currency carry trade?

Egbers, Tom; Swinkels, Laurens - In: Journal of banking & finance 59 (2015), pp. 14-26

Persistent link: https://www.econbiz.de/10011544270

Caporin, Massimiliano; Kolokolov, Alexey; Renò, Roberto - 2016

The simultaneous occurrence of jumps in several stocks can be associated with major financial news, triggers short-term predictability in stock returns, is correlated with sudden spikes of the variance risk premium, and determines a persistent increase (decrease) of stock variances and...

Persistent link: https://www.econbiz.de/10011544772

The risk premia embedded in index options

Andersen, Torben; Fusari, Nicola; Todorov, Viktor - In: Journal of financial economics 117 (2015) 3, pp. 558-584

Persistent link: https://www.econbiz.de/10011480313

Tail risk premia and return predictability

Bollerslev, Tim; Todorov, Viktor; Xu, Lai - In: Journal of financial economics 118 (2015) 1, pp. 113-134

Persistent link: https://www.econbiz.de/10011480379

Does realized skewness predict the cross-section of equity returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10011480389

Asymmetry with respect to the memory in stock market volatilities

Lönnbark, Carl - In: Empirical economics : a journal of the Institute for … 50 (2016) 4, pp. 1409-1419

Persistent link: https://www.econbiz.de/10011481716

Does anything beat 5-minute RV? : a comparison of realized measures across multiple asset classes

Liu, Lily Y.; Patton, Andrew J.; Sheppard, Kevin - In: Journal of econometrics 187 (2015) 1, pp. 293-311

Persistent link: https://www.econbiz.de/10011499439

Does realized volatility help bond yield density prediction?

Shin, Minchul; Zhong, Molin - 2015 - This version: September 19, 2015

We suggest using "realized volatility" as a volatility proxy to aid in model-based multivariate bond yield density … forecasting. To do so, we develop a general estimation approach to incorporate volatility proxy information into dynamic factor … models with stochastic volatility. The resulting model parameter estimates are highly efficient, which one hopes would …

Persistent link: https://www.econbiz.de/10011499535

Stock return and cash flow predictability : the role of volatility risk

Bollerslev, Tim; Xu, Lai; Zhou, Hao - In: Journal of econometrics 187 (2015) 2, pp. 458-471

Persistent link: https://www.econbiz.de/10011499728

COMFORT: a common market factor non-Gaussian returns model

Paolella, Marc S.; Polak, Pawel - In: Journal of econometrics 187 (2015) 2, pp. 593-605

Persistent link: https://www.econbiz.de/10011499783