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Essays on risk in international financial markets

Larsson, Ola - 2006

Persistent link: https://www.econbiz.de/10003404567

Commodities returns' volatility in financialization era

Handika, Rangga; Putra, Iswahyudi Sondi - In: Studies in economics and finance 34 (2017) 3, pp. 344-362

Persistent link: https://www.econbiz.de/10011961063

The information content of high-frequency data for estimating equity return models and forecasting risk

Dobrev, Dobrislav; Szerszen, Pawel J. - 2010

Persistent link: https://www.econbiz.de/10008655786

The information content of high-frequency data for estimating equity return models and forecasting risk

Dobrev, Dobrislav; Szerszen, Pawel - 2010

Persistent link: https://www.econbiz.de/10009550957

Tangent portfolio weights without explicitly specified expected returns

Glabadanidis, Paskalis - In: The journal of asset management 15 (2014) 3, pp. 177-190

Persistent link: https://www.econbiz.de/10010415936

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Dobrev, Dobrislav - 2011

frequency can be obtained almost as precisely as if volatility is observable by simply incorporating the strong information … content of realized volatility measures extracted from high-frequency data. For this purpose, we introduce asymptotically … exact volatility measurement equations in state space form and propose a Bayesian estimation approach. Our highly efficient …

Persistent link: https://www.econbiz.de/10013128339

The Information Content of High-Frequency Data for Estimating Equity Return Models and Forecasting Risk

Dobrev, Dobrislav - 2011

Persistent link: https://www.econbiz.de/10013122082

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

Determinants of asymmetric return comovements of gold and other financial assets

Poshakwale, Sunil S.; Mandal, Anandadeep - In: International review of financial analysis 47 (2016), pp. 229-242

Persistent link: https://www.econbiz.de/10011624131

Why does return predictability concentrate in bad times?

Cujean, Julien; Hasler, Michael - 2017

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions...

Persistent link: https://www.econbiz.de/10011721618