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There is a Risk-Return Tradeoff After All
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Cited by:
- Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Cambridge Working Papers in Economics 2259, Faculty of Economics, University of Cambridge.
- Cheng, Ai-Ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2010.
"An empirical investigation of stock market behavior in the Middle East and North Africa,"
Journal of Empirical Finance, Elsevier, vol. 17(3), pages 413-427, June.
- Cheng, Ai-ru & Jahan-Parvar, Mohammad R. & Rothman, Philip, 2009. "An Empirical Investigation of Stock Market Behavior in the Middle East and North Africa," MPRA Paper 13437, University Library of Munich, Germany.
- Freitag L., 2014. "Default probabilities, CDS premiums and downgrades : A probit-MIDAS analysis," Research Memorandum 038, Maastricht University, Graduate School of Business and Economics (GSBE).
- Das, Sonali & Demirer, Riza & Gupta, Rangan & Mangisa, Siphumlile, 2019.
"The effect of global crises on stock market correlations: Evidence from scalar regressions via functional data analysis,"
Structural Change and Economic Dynamics, Elsevier, vol. 50(C), pages 132-147.
- Sonali Das & Riza Demirer & Rangan Gupta & Siphumlile Mangisa, 2019. "The Effect of Global Crises on Stock Market Correlations: Evidence from Scalar Regressions via Functional Data Analysis," Working Papers 201908, University of Pretoria, Department of Economics.
- Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005. "Option-Implied Preferences Adjustments and Risk-Neutral Density Forecasts," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
- repec:zbw:bofitp:urn:nbn:fi:bof-201511231444 is not listed on IDEAS
- Lynch, Anthony W. & Wachter, Jessica A., 2013.
"Using Samples of Unequal Length in Generalized Method of Moments Estimation,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 48(1), pages 277-307, February.
- Anthony W. Lynch & Jessica A. Wachter, 2008. "Using Samples of Unequal Length in Generalized Method of Moments Estimation," NBER Working Papers 14411, National Bureau of Economic Research, Inc.
- Claudia Foroni & Massimiliano Marcellino, 2013.
"A survey of econometric methods for mixed-frequency data,"
Working Paper
2013/06, Norges Bank.
- Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Economics Working Papers ECO2013/02, European University Institute.
- Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
- Calvet, Laurent E. & Fisher, Adlai J., 2007.
"Multifrequency news and stock returns,"
Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
- Laurent E. Calvet & Adlai J. Fisher, 2005. "Multifrequency News and Stock Returns," NBER Working Papers 11441, National Bureau of Economic Research, Inc.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2007. "Multifrequency news and stock returns," Post-Print hal-00459675, HAL.
- Laurent-Emmanuel Calvet & Adlai J. Fisher, 2011. "Multifrequency News and Stock Returns," Working Papers hal-00591678, HAL.
- Nyberg, Henri, 2010. "QR-GARCH-M Model for Risk-Return Tradeoff in U.S. Stock Returns and Business Cycles," MPRA Paper 23724, University Library of Munich, Germany.
- Robert Kunst & Philip Franses, 2015.
"Asymmetric time aggregation and its potential benefits for forecasting annual data,"
Empirical Economics, Springer, vol. 49(1), pages 363-387, August.
- Kunst, Robert M. & Franses, Philip Hans, 2010. "Asymmetric Time Aggregation and its Potential Benefits for Forecasting Annual Data," Economics Series 252, Institute for Advanced Studies.
- Tariq Aziz & Valeed Ahmad Ansari, 2017. "Idiosyncratic volatility and stock returns: Indian evidence," Cogent Economics & Finance, Taylor & Francis Journals, vol. 5(1), pages 1420998-142, January.
- Wang, Wenzhao, 2018. "Investor sentiment and the mean-variance relationship: European evidence," Research in International Business and Finance, Elsevier, vol. 46(C), pages 227-239.
- Mogliani, Matteo & Simoni, Anna, 2021.
"Bayesian MIDAS penalized regressions: Estimation, selection, and prediction,"
Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
- Matteo Mogliani & Anna Simoni, 2019. "Bayesian MIDAS Penalized Regressions: Estimation, Selection, and Prediction," Papers 1903.08025, arXiv.org, revised Jun 2020.
- Matteo Mogliani & Anna Simoni, 2020. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Post-Print hal-03089878, HAL.
- Matteo Mogliani, 2019. "Bayesian MIDAS penalized regressions: estimation, selection, and prediction," Working papers 713, Banque de France.
- Marine Carrasco & Barbara Rossi, 2016.
"In-Sample Inference and Forecasting in Misspecified Factor Models,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 34(3), pages 313-338, July.
- Rossi, Barbara & Carrasco, Marine, 2016. "In-sample Inference and Forecasting in Misspecified Factor Models," CEPR Discussion Papers 11388, C.E.P.R. Discussion Papers.
- Marine Carrasco & Barbara Rossi, 2016. "In-sample inference and forecasting in misspecified factor models," Economics Working Papers 1530, Department of Economics and Business, Universitat Pompeu Fabra.
- David P. Brown & Miguel A. Ferreira, 2016. "Idiosyncratic Volatility of Small Public Firms and Entrepreneurial Risk," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-59, March.
- Apergis, Nicholas, 2015. "Newswire messages and sovereign credit ratings: Evidence from European countries under austerity reform programmes," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 54-62.
- Haibin Xie & Shouyang Wang, 2015. "Risk-return trade-off, information diffusion, and U.S. stock market predictability," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-20, December.
- Michal Franta & David Havrlant & Marek Rusnák, 2016.
"Forecasting Czech GDP Using Mixed-Frequency Data Models,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 12(2), pages 165-185, December.
- Michal Franta & David Havrlant & Marek Rusnak, 2014. "Forecasting Czech GDP Using Mixed-Frequency Data Models," Working Papers 2014/08, Czech National Bank.
- Philippe Masset & Martin Wallmeier, 2010. "A High†Frequency Investigation of the Interaction between Volatility and DAX Returns," European Financial Management, European Financial Management Association, vol. 16(3), pages 327-344, June.
- Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
- Antonia Lopez-Villavicencio & Valérie Mignon, 2016.
"Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and institutional quality matter?,"
EconomiX Working Papers
2016-18, University of Paris Nanterre, EconomiX.
- Antonia Lopez Villavicencio & Valérie Mignon, 2016. "Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and institutional quality matter?," Post-Print hal-01411695, HAL.
- Antonia Lopez-Villavicencio & Valérie Mignon, 2016. "Exchange Rate Pass-through in Emerging Countries: Do the Inflation Environment, Monetary Policy Regime and Institutional Quality Matter?," Working Papers 2016-07, CEPII research center.
- Antonia Lopez Villavicencio & Valérie Mignon, 2016. "Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and institutional quality matter?," Working Papers hal-04141592, HAL.
- Antonia Lopez Villavicencio & Valérie Mignon, 2016. "Exchange rate pass-through in emerging countries: Do the inflation environment, monetary policy regime and institutional quality matter?," Post-Print hal-01439198, HAL.
- Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015.
"Nonparametric predictive regression,"
Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
- Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012. "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics 14-2012, University of Cyprus Department of Economics.
- Andreou, Elena & Kasparis, Ioannis & Phillips, Peter C. B., 2013. "Nonparametric Predictive Regression," CEPR Discussion Papers 9570, C.E.P.R. Discussion Papers.
- Ioannis Kasparis & Elena Andreou & Peter C.B. Phillips, 2012. "Nonparametric Predictive Regression," Cowles Foundation Discussion Papers 1878, Cowles Foundation for Research in Economics, Yale University.
- Guo, Hui & Savickas, Robert, 2006.
"Idiosyncratic Volatility, Stock Market Volatility, and Expected Stock Returns,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 24, pages 43-56, January.
- Hui Guo & Robert Savickas, 2005. "Idiosyncratic volatility, stock market volatility, and expected stock returns," Working Papers 2003-028, Federal Reserve Bank of St. Louis.
- Ashby, M. & Linton, O. B., 2022. "Do Consumption-based Asset Pricing Models Explain Own-history Predictability in Stock Market Returns?," Janeway Institute Working Papers 2226, Faculty of Economics, University of Cambridge.
- Song, Zefang & Song, Xinyuan & Li, Yuan, 2023. "Bayesian Analysis of ARCH-M model with a dynamic latent variable," Econometrics and Statistics, Elsevier, vol. 28(C), pages 47-62.
- Tobias Adrian & Richard K. Crump & Erik Vogt, 2019.
"Nonlinearity and Flight‐to‐Safety in the Risk‐Return Trade‐Off for Stocks and Bonds,"
Journal of Finance, American Finance Association, vol. 74(4), pages 1931-1973, August.
- Tobias Adrian & Richard K. Crump & Erik Vogt, 2015. "Nonlinearity and flight to safety in the risk-return trade-off for stocks and bonds," Staff Reports 723, Federal Reserve Bank of New York.
- Adrian, Tobias & Crump, Richard K. & Vogt, Erik, 2016. "Nonlinearity and Flight-to-Safety in the Risk-Return Tradeoff for Stocks and Bonds," CEPR Discussion Papers 11401, C.E.P.R. Discussion Papers.
- Kanas, Angelos & Molyneux, Philip, 2020. "Do measures of systemic risk predict U.S. corporate bond default rates?," International Review of Financial Analysis, Elsevier, vol. 71(C).
- Ulrich Gunter & Irem Önder & Stefan Gindl, 2019. "Exploring the predictive ability of LIKES of posts on the Facebook pages of four major city DMOs in Austria," Tourism Economics, , vol. 25(3), pages 375-401, May.
- Imma Valentina Curato & Simona Sanfelici, 2019. "Stochastic leverage effect in high-frequency data: a Fourier based analysis," Papers 1910.06660, arXiv.org, revised Mar 2021.
- Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou & Weining Wang, 2017. "Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing," CREATES Research Papers 2017-34, Department of Economics and Business Economics, Aarhus University.
- Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007.
"The Effect of Long Memory in Volatility on Stock Market Fluctuations,"
The Review of Economics and Statistics, MIT Press, vol. 89(4), pages 684-700, November.
- Bent Jesper Christensen & Morten Ørregaard Nielsen, 2007. "The Effect of Long Memory in Volatility on Stock Market Fluctuations," CREATES Research Papers 2007-03, Department of Economics and Business Economics, Aarhus University.
- Pollet, Joshua M. & Wilson, Mungo, 2010. "Average correlation and stock market returns," Journal of Financial Economics, Elsevier, vol. 96(3), pages 364-380, June.
- Salamaliki, Paraskevi K. & Venetis, Ioannis A., 2013. "Energy consumption and real GDP in G-7: Multi-horizon causality testing in the presence of capital stock," Energy Economics, Elsevier, vol. 39(C), pages 108-121.
- Cotter, John & Hanly, Jim, 2015.
"Performance of utility based hedges,"
Energy Economics, Elsevier, vol. 49(C), pages 718-726.
- John Cotter & Jim Hanly, 2014. "Performance of Utility Based Hedges," Working Papers 201404, Geary Institute, University College Dublin.
- Mathijs Cosemans & Rik Frehen & Peter C. Schotman & Rob Bauer, 2016.
"Estimating Security Betas Using Prior Information Based on Firm Fundamentals,"
The Review of Financial Studies, Society for Financial Studies, vol. 29(4), pages 1072-1112.
- Cosemans, Mathijs & Frehen, Rik & Schotman, Peter & Bauer, Rob, 2016. "Estimating security betas using prior information based on firm fundamentals," Other publications TiSEM f0f91c05-b59e-454c-a102-a, Tilburg University, School of Economics and Management.
- Maheu, John M. & McCurdy, Thomas H., 2011.
"Do high-frequency measures of volatility improve forecasts of return distributions?,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 69-76, January.
- John M Maheu & Thomas H McCurdy, 2008. "Do high-frequency measures of volatility improve forecasts of return distributions?," Working Papers tecipa-324, University of Toronto, Department of Economics.
- John M. Maheu & Thomas H. McCurdy, 2009. "Do High-Frequency Measures of Volatility Improve Forecasts of Return Distributions?," Working Paper series 19_09, Rimini Centre for Economic Analysis.
- Christensen, Bent Jesper & Dahl, Christian M. & Iglesias, Emma M., 2012.
"Semiparametric inference in a GARCH-in-mean model,"
Journal of Econometrics, Elsevier, vol. 167(2), pages 458-472.
- Bent Jesper Christensen & Christian M. Dahl & Emma M. Iglesias, 2008. "Semiparametric Inference in a GARCH-in-Mean Model," CREATES Research Papers 2008-46, Department of Economics and Business Economics, Aarhus University.
- Martin Ewen, 2018. "Where is the Risk Reward? The Impact of Volatility-Based Fund Classification on Performance," Risks, MDPI, vol. 6(3), pages 1-20, August.
- Belén Nieto & Alfonso Novales & Gonzalo Rubio, 2015.
"Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns,"
Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 5(04), pages 1-41, December.
- Belén Nieto & Alfonso Novales Cinca & Gonzalo Rubio, 2014. "Macroeconomic and Financial Determinants of the Volatility of Corporate Bond Returns," Documentos de Trabajo del ICAE 2014-25, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Knotek, Edward S. & Zaman, Saeed, 2019.
"Financial nowcasts and their usefulness in macroeconomic forecasting,"
International Journal of Forecasting, Elsevier, vol. 35(4), pages 1708-1724.
- Edward S. Knotek & Saeed Zaman, 2017. "Financial Nowcasts and Their Usefulness in Macroeconomic Forecasting," Working Papers (Old Series) 1702, Federal Reserve Bank of Cleveland.
- Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014. "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, vol. 73(C), pages 48-64.
- Dufour, Jean-Marie & García, René & Taamouti, Abderrahim, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Ľuboš Pástor & Meenakshi Sinha & Bhaskaran Swaminathan, 2008.
"Estimating the Intertemporal Risk–Return Tradeoff Using the Implied Cost of Capital,"
Journal of Finance, American Finance Association, vol. 63(6), pages 2859-2897, December.
- Pástor, Luboš & Sinha, Meenakshi & Swaminathan, Bhaskaran, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," CEPR Discussion Papers 5462, C.E.P.R. Discussion Papers.
- Lubos Pastor & Meenakshi Sinha & Bhaskaran Swaminathan, 2006. "Estimating the Intertemporal Risk-Return Tradeoff Using the Implied Cost of Capital," NBER Working Papers 11941, National Bureau of Economic Research, Inc.
- Umutlu, Mehmet, 2019. "Does idiosyncratic volatility matter at the global level?," The North American Journal of Economics and Finance, Elsevier, vol. 47(C), pages 252-268.
- Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2017.
"Semiparametric Estimation of Risk–Return Relationships,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 40-52, January.
- Escanciano, Juan Carlos & Pardo-Fernandez, Juan Carlos & Van Keilegom, Ingrid, 2013. "Semiparametric Estimation of Risk-return Relationships," LIDAM Discussion Papers ISBA 2013035, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Escanciano, Juan Carlos & Pardo-FernAndez, Juan Carlos & Van Keilegom, Ingrid, 2017. "Semiparametric Estimation of Risk-return Relationships," LIDAM Reprints ISBA 2017007, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013. "Semiparametric Estimation Of Risk-Return Relationships," CAEPR Working Papers 2013-004, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
- Lumengo Bonga-Bonga & Tebogo Maake, 2021.
"The Relationship between Carry Trade and Asset Markets in South Africa,"
JRFM, MDPI, vol. 14(7), pages 1-13, July.
- Maake, Tebogo & Bonga-Bonga, Lumengo, 2019. "The relationship between carry trade and asset markets in South Africa," MPRA Paper 96667, University Library of Munich, Germany.
- Connor, Gregory & Suurlaht, Anita, 2013.
"Dynamic stock market covariances in the Eurozone,"
Journal of International Money and Finance, Elsevier, vol. 37(C), pages 353-370.
- Gregory Connor & Anita Suurlaht, 2012. "Dynamic Stock Market Covariances in the Eurozone," Economics Department Working Paper Series n222-12.pdf, Department of Economics, National University of Ireland - Maynooth.
- Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2021.
"Long- and short-run components of factor betas: Implications for stock pricing,"
Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
- Asgharian, Hossein & Christiansen, Charlotte & Hou, Ai Jun & Wang, Weining, 2020. "Long- and Short-Run Components of Factor Betas: Implications for Stock Pricing," IRTG 1792 Discussion Papers 2020-020, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
- Galvão, Ana Beatriz, 2013.
"Changes in predictive ability with mixed frequency data,"
International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
- Ana Beatriz Galvão, 2007. "Changes in Predictive Ability with Mixed Frequency Data," Working Papers 595, Queen Mary University of London, School of Economics and Finance.
- Kiseok Nam & Shahriar Khaksari & Moonsoo Kang, 2017.
"Trend in aggregate idiosyncratic volatility,"
Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 11-28, November.
- Nam, Kiseok & Khaksari, Shahriar & Kang, Moonsoo, 2017. "Trend in aggregate idiosyncratic volatility," Review of Financial Economics, Elsevier, vol. 35(C), pages 11-28.
- Lanter, David & Hirsch, Stefan & Finger, Robert, 2018. "Profitability and Competition in EU Food Retailing," 2018 Annual Meeting, August 5-7, Washington, D.C. 274202, Agricultural and Applied Economics Association.
- Yang, Chunpeng & Jia, Yun, 2016. "Buy-sell imbalance and the mean-variance relation," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 49-58.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2009.
"Option-implied preferences adjustments, density forecasts, and the equity risk premium,"
Spanish Economic Review, Springer;Spanish Economic Association, vol. 11(2), pages 141-164, June.
- Francisco Alonso & Roberto Blanco & Gonzalo Rubio, 2006. "Option-implied preferences adjustments, density forecasts, and the equity risk premium," Working Papers 0630, Banco de España.
- Fulvio Corsi & Roberto Renò, 2012. "Discrete-Time Volatility Forecasting With Persistent Leverage Effect and the Link With Continuous-Time Volatility Modeling," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(3), pages 368-380, January.
- Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
- Cathy Yi-Hsuan Chen & Thomas C. Chiang & Wolfgang Karl Härdle, 2016. "Downside risk and stock returns: An empirical analysis of the long-run and short-run dynamics from the G-7 Countries," SFB 649 Discussion Papers SFB649DP2016-001, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
- Dimitrios Koutmos, 2015. "Is there a Positive Risk†Return Tradeoff? A Forward†Looking Approach to Measuring the Equity Premium," European Financial Management, European Financial Management Association, vol. 21(5), pages 974-1013, November.
- Hao Liu & Shihan Shen & Tianyi Wang & Zhuo Huang, 2016. "Revisiting the risk-return relation in the Chinese stock market: Decomposition of risk premium and volatility feedback effect," China Economic Journal, Taylor & Francis Journals, vol. 9(2), pages 140-153, May.
- Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
- Jyri Kinnunen & Minna Martikainen, 2017.
"Expected Returns and Idiosyncratic Risk: Industry-Level Evidence from Russia,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 53(11), pages 2528-2544, November.
- Kinnunen, Jyri & Martikainen, Minna, 2015. "Expected returns and idiosyncratic risk: Industry-level evidence from Russia," BOFIT Discussion Papers 30/2015, Bank of Finland Institute for Emerging Economies (BOFIT).
- Knotek, Edward S. & Zaman, Saeed, 2023.
"Real-time density nowcasts of US inflation: A model combination approach,"
International Journal of Forecasting, Elsevier, vol. 39(4), pages 1736-1760.
- Edward Knotek & Saeed Zaman, 2020. "Real-time density nowcasts of US inflation: a model-combination approach," Working Papers 2015, University of Strathclyde Business School, Department of Economics.
- Edward S. Knotek & Saeed Zaman, 2020. "Real-Time Density Nowcasts of US Inflation: A Model-Combination Approach," Working Papers 20-31, Federal Reserve Bank of Cleveland.
- Paye, Bradley S., 2012. "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 106(3), pages 527-546.
- Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011.
"MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area,"
International Journal of Forecasting, Elsevier, vol. 27(2), pages 529-542.
- Kuzin, Vladimir & Marcellino, Massimiliano & Schumacher, Christian, 2011. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the euro area," International Journal of Forecasting, Elsevier, vol. 27(2), pages 529-542, April.
- Vladimir Kuzin & Massimiliano Marcellino & Christian Schumacher, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," Economics Working Papers ECO2009/32, European University Institute.
- Schumacher, Christian & Marcellino, Massimiliano & Kuzin, Vladimir, 2009. "MIDAS vs. mixed-frequency VAR: Nowcasting GDP in the Euro Area," CEPR Discussion Papers 7445, C.E.P.R. Discussion Papers.
- Polzin, Friedemann & Egli, Florian & Steffen, Bjarne & Schmidt, Tobias S., 2019. "How do policies mobilize private finance for renewable energy?—A systematic review with an investor perspective," Applied Energy, Elsevier, vol. 236(C), pages 1249-1268.
- Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
- Hui Guo & Robert F. Whitelaw, 2006.
"Uncovering the Risk–Return Relation in the Stock Market,"
Journal of Finance, American Finance Association, vol. 61(3), pages 1433-1463, June.
- Hui Guo & Robert F. Whitelaw, 2003. "Uncovering the Risk-Return Relation in the Stock Market," NBER Working Papers 9927, National Bureau of Economic Research, Inc.
- Hui Guo & Robert Whitelaw, 2005. "Uncovering the risk-return relation in the stock market," Working Papers 2001-001, Federal Reserve Bank of St. Louis.
- Laine, Olli-Matti & Lindblad, Annika, 2020. "Nowcasting Finnish GDP growth using financial variables: a MIDAS approach," BoF Economics Review 4/2020, Bank of Finland.
- Gani Ramadani & Magdalena Petrovska & Vesna Bucevska, 2021. "Evaluation of mixed frequency approaches for tracking near-term economic developments in North Macedonia," Working Papers 2021-03, National Bank of the Republic of North Macedonia.
- Hui Guo & Zijun Wang & Jian Yang, 2006. "Does aggregate relative risk aversion change countercyclically over time? evidence from the stock market," Working Papers 2006-047, Federal Reserve Bank of St. Louis.
- Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
- Ryuta Sakemoto, 2018. "The intertemporal relation between expected returns and conditional correlations between precious metals and the stock market," Economics and Business Letters, Oviedo University Press, vol. 7(1), pages 24-35.
- Corradi, Valentina & Distaso, Walter & Fernandes, Marcelo, 2013. "Conditional alphas and realized betas," Textos para discussão 341, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
- Chen Xilong & Ghysels Eric & Wang Fangfang, 2011. "HYBRID GARCH Models and Intra-Daily Return Periodicity," Journal of Time Series Econometrics, De Gruyter, vol. 3(1), pages 1-28, February.
- Cosemans, M. & Frehen, R.G.P. & Schotman, P.C. & Bauer, R.M.M.J., 2009. "Efficient Estimation of Firm-Specific Betas and its Benefits for Asset Pricing Tests and Portfolio Choice," MPRA Paper 23557, University Library of Munich, Germany.
- Hedegaard, Esben & Hodrick, Robert J., 2016.
"Estimating the risk-return trade-off with overlapping data inference,"
Journal of Banking & Finance, Elsevier, vol. 67(C), pages 135-145.
- Esben Hedegaard & Robert J. Hodrick, 2014. "Estimating the Risk-Return Trade-off with Overlapping Data Inference," NBER Working Papers 19969, National Bureau of Economic Research, Inc.
- Ernst Konrad, 2009. "The impact of monetary policy surprises on asset return volatility: the case of Germany," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(2), pages 111-135, June.
- R. Sufana, 2013. "Leverage effects in a multiasset framework," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 783-787, May.
- J. Isaac Miller, 2014.
"Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures,"
Journal of Financial Econometrics, Oxford University Press, vol. 12(3), pages 584-614.
- J. Isaac Miller, 2012. "Mixed-frequency Cointegrating Regressions with Parsimonious Distributed Lag Structures," Working Papers 1211, Department of Economics, University of Missouri.
- Neaime, Simon, 2012. "The global financial crisis, financial linkages and correlations in returns and volatilities in emerging MENA stock markets," Emerging Markets Review, Elsevier, vol. 13(3), pages 268-282.
- Jeong‐Hoon Kim & Jungwoo Lee & Song‐Ping Zhu & Seok‐Hyon Yu, 2014. "A multiscale correction to the Black–Scholes formula," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 30(6), pages 753-765, November.
- Jang, Jeewon & Kang, Jangkoo, 2017. "An intertemporal CAPM with higher-order moments," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 314-337.
- Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2009. "Jackknife Estimator for Tracking Error Variance of Optimal Portfolios," Management Science, INFORMS, vol. 55(6), pages 990-1002, June.
- Pentti Saikkonen & Markku Lanne, 2004. "A Skewed GARCH-in-Mean Model: An Application to U.S. Stock Returns," Econometric Society 2004 North American Summer Meetings 469, Econometric Society.
- Çelik, Sibel & Ergin, Hüseyin, 2014. "Volatility forecasting using high frequency data: Evidence from stock markets," Economic Modelling, Elsevier, vol. 36(C), pages 176-190.
- Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
- Kumari Ranjita & Kumar Nishant, 2020. "Ownership Structure and the Risk: Analysis of Indian Firms," Acta Universitatis Sapientiae, Economics and Business, Sciendo, vol. 8(1), pages 39-52, October.
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