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Predicting stock market movements with a time-varying consumption-aggregate wealth ratio
Chang, Tsangyao; Gupta, Rangan; Majumdar, Anandamayee; … - In: International review of economics & finance : IREF 59 (2019), pp. 458-467
Persistent link: https://www.econbiz.de/10012203261
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Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
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Nonparametric long term prediction of stock returns with generated bond yields
Scholz, Michael; Sperlich, Stefan; Nielsen, Jens Perch - In: Insurance / Mathematics & economics 69 (2016), pp. 82-96
Persistent link: https://www.econbiz.de/10011530926
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The Variance Risk Premium : Components, Term Structures, and Stock Return Predictability
Li, Junye - 2016
captures co-jumps in prices and volatility, and self-exciting jump clustering. We estimate the model on equity returns and …
Persistent link: https://www.econbiz.de/10013006382
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Future portfolio returns and the VIX term structure
Aharon, David Yechiam; Dimpfl, Thomas - In: Journal of risk 24 (2022) 5, pp. 1-31
Persistent link: https://www.econbiz.de/10014546348
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Does central bank tone move asset prices?
Schmeling, Maik; Wagner, Christian - 2019
Persistent link: https://www.econbiz.de/10012060920
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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
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Idiosyncratic tail risk and expected stock returns : evidence from the Chinese stock markets
Long, Huaigang; Jiang, Yuexiang; Zhu, Yanjian - In: Finance research letters 24 (2018), pp. 129-136
Persistent link: https://www.econbiz.de/10011982519
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Implied volatility and the cross section of stock returns in the UK
Poshakwale, Sunil S.; Chandorkar, Pankaj; Agarwal, Vineet - In: Research in international business and finance 48 (2019), pp. 271-286
Persistent link: https://www.econbiz.de/10012135913
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Tail risk and expected stock returns around the world
Long, Huaigang; Zhu, Yanjian; Chen, Lifang; Jiang, Yuexiang - In: Pacific-Basin finance journal 56 (2019), pp. 162-178
Persistent link: https://www.econbiz.de/10012169574