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Modelling benchmark government bonds volatility : do swaption rates help?

Dunis, Christian; Francis, Freda L. - In: Progress in financial markets research, (pp. 263-288). 2012

Persistent link: https://www.econbiz.de/10009678543

Handbook of Economic Forecasting : volume 2, part A

Elliott, Graham - 2013

The highly prized ability to make financial plans with some certainty about the future comes from the core fields of economics. In recent years the availability of more data, analytical tools of greater precision, and ex post studies of business decisions have increased demand for information...

Persistent link: https://www.econbiz.de/10011493543

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

Does realized skewness predict the cross-section of equity returns?

Amaya, Diego; Christoffersen, Peter F.; Jacobs, Kris; … - In: Journal of financial economics 118 (2015) 1, pp. 135-167

Persistent link: https://www.econbiz.de/10011480389

Studies of equity returns in emerging markets : a literature review

Atilgan, Yigit; Demirtas, K. Ozgur; Simsek, Koray D. - In: Emerging markets finance & trade : a journal of the … 51 (2015) 4, pp. 757-773

Persistent link: https://www.econbiz.de/10011404567

Efficiency gains, bounds, and risk in finance

Sarisoy, Çisil - 2015

Persistent link: https://www.econbiz.de/10011405147

An application of a short memory model with random level shifts to the volatility of Latin American stock market returns

Rodríguez, Gabriel; Tramontana, Roxana - 2015

Persistent link: https://www.econbiz.de/10011290816

A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns

Garcia, René - 2013

efficient estimator for aggregate idiosyncratic volatility. This measure has two key advantages: it is model-free and observable … returns. The newly proposed cross-sectional volatility measure is a strong predictor for future returns on the aggregate stock …' exposures to the aggregate idiosyncratic volatility risk predict the cross-section of expected returns …

Persistent link: https://www.econbiz.de/10013088362

Oil and Equity Return Predictability : The Importance of Dissecting Oil Price Changes

Jiang, Haibo - 2018

Based on data until the mid 2000s, oil price changes were shown to predict international equity index returns with a negative predictive slope. Extending the sample to 2015, we document that this relationship has been reversed over the last ten years and therefore has not been stable over time....

Persistent link: https://www.econbiz.de/10012935742

Predictors of excess return in a green energy equity portfolio : market risk, market return, value-at-risk and or expected shortfall?

Abraham, Rebecca; El-Chaarani, Hani; Tao, Zhi - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-31

The rapid growth of electric vehicles, solar roofs, and wind power suggests that the potential growth in green equity investments is an emerging trend. Accordingly, this study measured the predictors of excess equity returns in a portfolio of global green energy producers, from 2010 to 2019....

Persistent link: https://www.econbiz.de/10012872607