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The VIX, the Variance Premium and Stock Market Volatility
Bekaert, Geert - 2015
returns and the equity variance premium. We evaluate a plethora of state-of-the-art volatility forecasting models to produce …
Persistent link: https://www.econbiz.de/10013035710
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Applications of machine learning for corporate bond yield spread forecasting
Kim, Jong-Min; Kim, Dong H.; Jung, Hojin - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013188180
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On the predictability of the distribution of excess returns in currency markets
Cho, Dooyeon - In: International journal of forecasting 37 (2021) 2, pp. 511-530
Persistent link: https://www.econbiz.de/10012792849
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The information content of forward moments
Andreou, Panayiotis C.; Kagkadis, Anastasios; Philip, Dennis - In: Journal of banking & finance 106 (2019), pp. 527-541
Persistent link: https://www.econbiz.de/10012224347
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The risk return relationship : evidence from index returns and realised variances
Yang, Minxian - In: Journal of economic dynamics & control 107 (2019), pp. 1-21
Persistent link: https://www.econbiz.de/10012312640
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Expected currency returns and volatility risk premia
Ornelas, José Renato Haas - In: The North American journal of economics and finance : a … 49 (2019), pp. 206-234
Persistent link: https://www.econbiz.de/10012269179
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Price dividend ratio and long-run stock returns : a score driven state space model
Delle Monache, Davide; Petrella, Ivan; Venditti, Fabrizio - 2020
Persistent link: https://www.econbiz.de/10012299985
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How does the market variance risk premium vary over time? : evidence from S&P 500 variance swap investment returns
Konstantinidi, Eirini; Skiadopoulos, George - In: Journal of banking & finance 62 (2016), pp. 62-75
Persistent link: https://www.econbiz.de/10011634054
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News implied volatility and disaster concerns
Manela, Asaf; Moreira, Alan - In: Journal of financial economics 123 (2017) 1, pp. 137-162
Persistent link: https://www.econbiz.de/10011725186
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Jump tail risk premium and predicting US and Japanese credit spreads
Ubukata, Masato - In: Empirical economics : a journal of the Institute for … 57 (2019) 1, pp. 79-104
Persistent link: https://www.econbiz.de/10012052257