We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...

This paper introduces novel volatility diffusion models to account for the stylized facts of high-frequency financial data such as volatility clustering, intra-day U-shape, and leverage effect. For example, the daily integrated volatility of the proposed volatility process has a realized GARCH...

We perform various experiments correlating past changes of social indicators about a country with future stock market returns for that country. The 169 social indicators we use, which go back as far as the year 1900, are available from the Varieties of Democracy Project. We use two sets of data...

We examine how regularly scheduled macroeconomic announcements for the U.S., Germany and the euro area affect the German stock market, using high-frequency, minute-by-minute DAX data. Our study extends the literature on high-frequency announcement effects in several ways. First, we account for...

This article investigates fve safe-haven asset responses from 2014 to 2022, includ‑ ing the unprecedented COVID-19 crisis, Russian invasion of Ukraine, and sharp US inter‑ est rate increases of 2015 and 2022. We apply the unique approach of the multivariate factor stochastic volatility (MSV)...

Commodities are defined as goods that are traded. Thousands of different items are sold on international markets, but strategically important commodities such as gold, silver, and oil are used far more frequently in the real estate industry and financial markets. Oil and these metals are...

Pareto processes are suitable to model stationary heavy-tailed data. Here, we consider the auto-regressive Gaver–Lewis Pareto Process and address a study of the tail behavior. We characterize its local and long-range dependence. We will see that consecutive observations are asymptotically tail...

We consider a risky country having bonds outstanding both in foreign hard currency (Eurobonds) and local soft currency (treasuries). This is done under an enhanced structural credit risk Merton style model. The liability side the sovereign balance sheet is composed of three tranches in...

We build an enhanced structural credit risk Merton style model for a risky sovereign having both domestic and foreign debt outstanding. If earlier research was mainly focused on the fundamental values of the respective local and foreign currency bonds, here we move forward by elaborating on...

We build a structural credit risk model for a risky sovereign having both domestic and foreign debt outstanding. The country is subject to default risk, has a soft currency, and can be viewed as a small open emerging market economy. The domestic debt is composed of local soft currency...