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The role of term spread and pattern changes in predicting stock returns and volatility of the United Kingdom : evidence from a nonparametric causality-in-quantiles test using over...

Gupta, Rangan; Risse, Marian; Volkman, David A.; Wohar, … - In: The North American journal of economics and finance : a … 47 (2019), pp. 391-405

Persistent link: https://www.econbiz.de/10012117890

Volatility risk and stock return predictability on global financial crises

Kongsilp, Worawuth; Mateus, Cesario - In: China finance review international 7 (2017) 1, pp. 33-66

Persistent link: https://www.econbiz.de/10011797740

Tail risk dynamics in stock returns : links to the macroeconomy and global markets connectedness

Massacci, Daniele - In: Management science : journal of the Institute for … 63 (2017) 9, pp. 3072-3089

Persistent link: https://www.econbiz.de/10011749024

Jump and variance risk premia in the S&P 500

Neumann, Maximilian; Prokopczuk, Marcel; Wese Simen, Chardin - In: Journal of banking & finance 69 (2016), pp. 72-83

Persistent link: https://www.econbiz.de/10011635040

Extreme returns and idiosyncratic risks : evidence from an emerging market

Cho, Eunyoung - In: Journal of derivatives and quantitative studies 29 (2021) 1, pp. 29-48

In this paper, we show that there is a negative premium for MAX stocks in the Korean stock market. However, there is no evidence that the MAX effect overwhelms the effects of idiosyncratic risk. When we control for idiosyncratic risk, the negative relationship between extreme returns and future...

Persistent link: https://www.econbiz.de/10012592789