IDEAS home Printed from https://ideas.repec.org/r/nbr/nberwo/10913.html
   My bibliography  Save this item

There is a Risk-Return Tradeoff After All

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. 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.
  2. 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.
  3. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
  4. 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.
  5. Pan, Zhiyuan & Zhong, Hao & Wang, Yudong & Huang, Juan, 2024. "Forecasting oil futures returns with news," Energy Economics, Elsevier, vol. 134(C).
  6. 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.
  7. Wang, Wenzhao, 2020. "Institutional investor sentiment, beta, and stock returns," Finance Research Letters, Elsevier, vol. 37(C).
  8. Chotipong Charoensom, 2024. "An Estimation of Regime Switching Models with Nonlinear Endogenous Switching," PIER Discussion Papers 217, Puey Ungphakorn Institute for Economic Research.
  9. Cardak, Buly A. & Martin, Vance L., 2023. "Household willingness to take financial risk: Stockmarket movements and life‐cycle effects," Journal of Banking & Finance, Elsevier, vol. 149(C).
  10. Anisha Ghosh & Oliver Linton, 2019. "Estimation with Mixed Data Frequencies: A Bias-Correction Approach," CeMMAP working papers CWP65/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  11. González, Mariano & Nave, Juan & Rubio, Gonzalo, 2018. "Macroeconomic determinants of stock market betas," Journal of Empirical Finance, Elsevier, vol. 45(C), pages 26-44.
  12. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in?finite order," CeMMAP working papers CWP53/16, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
  13. Calvet, Laurent E. & Fisher, Adlai J., 2007. "Multifrequency news and stock returns," Journal of Financial Economics, Elsevier, vol. 86(1), pages 178-212, October.
  14. Prabheesh, K.P. & Sasongko, Aryo & Indawan, Fiskara, 2023. "Did the policy responses influence credit and business cycle co-movement during the COVID-19 crisis? Evidence from Indonesia," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 243-255.
  15. Bollerslev, Tim & Kretschmer, Uta & Pigorsch, Christian & Tauchen, George, 2009. "A discrete-time model for daily S & P500 returns and realized variations: Jumps and leverage effects," Journal of Econometrics, Elsevier, vol. 150(2), pages 151-166, June.
  16. Marianne Andries & Valentin Haddad, 2020. "Information Aversion," Journal of Political Economy, University of Chicago Press, vol. 128(5), pages 1901-1939.
  17. Yao, Jing & Yang, Yiwen, 2023. "Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis," Economic Modelling, Elsevier, vol. 129(C).
  18. 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.
  19. 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.
  20. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
  21. Chiang, Thomas C., 2019. "Empirical analysis of intertemporal relations between downside risks and expected returns—Evidence from Asian markets," Research in International Business and Finance, Elsevier, vol. 47(C), pages 264-278.
  22. 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.
  23. C. Emre Alper & Salih Fendoglu & Burak Saltoglu, 2009. "MIDAS Volatility Forecast Performance Under Market Stress: Evidence from Emerging and Developed Stock Markets," Working Papers 2009/04, Bogazici University, Department of Economics.
  24. Li, Dandan & Ghoshray, Atanu & Morley, Bruce, 2012. "Measuring the risk premium in uncovered interest parity using the component GARCH-M model," International Review of Economics & Finance, Elsevier, vol. 24(C), pages 167-176.
  25. Martin, Vance L. & Tang, Chrismin & Yao, Wenying, 2021. "Forecasting the volatility of asset returns: The informational gains from option prices," International Journal of Forecasting, Elsevier, vol. 37(2), pages 862-880.
  26. Hong, Seok Young & Linton, Oliver, 2020. "Nonparametric estimation of infinite order regression and its application to the risk-return tradeoff," Journal of Econometrics, Elsevier, vol. 219(2), pages 389-424.
  27. John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Papers 1410.6005, arXiv.org.
  28. Lima, Luiz Renato & Meng, Fanning & Godeiro, Lucas, 2020. "Quantile forecasting with mixed-frequency data," International Journal of Forecasting, Elsevier, vol. 36(3), pages 1149-1162.
  29. González-Sánchez, Mariano & Nave, Juan & Rubio, Gonzalo, 2020. "Effects of uncertainty and risk aversion on the exposure of investment-style factor returns to real activity," Research in International Business and Finance, Elsevier, vol. 53(C).
  30. 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.
  31. Dufour, Jean-Marie & García, René, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  32. Jin, Xiaoye, 2017. "Time-varying return-volatility relation in international stock markets," International Review of Economics & Finance, Elsevier, vol. 51(C), pages 157-173.
  33. Chiang, Thomas C. & Chen, Xiaoyu, 2016. "Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 107-120.
  34. Díaz, Antonio & Esparcia, Carlos, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, Elsevier, vol. 166(C), pages 1-22.
  35. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2017. "Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation," CREATES Research Papers 2018-12, Department of Economics and Business Economics, Aarhus University.
  36. Mogliani, Matteo & Simoni, Anna, 2021. "Bayesian MIDAS penalized regressions: Estimation, selection, and prediction," Journal of Econometrics, Elsevier, vol. 222(1), pages 833-860.
  37. Claudia Foroni & Massimiliano Marcellino, 2013. "A survey of econometric methods for mixed-frequency data," Economics Working Papers ECO2013/02, European University Institute.
  38. Yun-Shi Dai & Peng-Fei Dai & Wei-Xing Zhou, 2024. "The impact of geopolitical risk on the international agricultural market: Empirical analysis based on the GJR-GARCH-MIDAS model," Papers 2404.01641, arXiv.org.
  39. Yuming Li, 2017. "Risks and rewards for momentum and reversal portfolios," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 289-315, August.
  40. Qian Chen & Xiang Gao & Shan Xie & Li Sun & Shuairu Tian & Shigeyuki Hamori, 2021. "On the Predictability of China Macro Indicator with Carbon Emissions Trading," Energies, MDPI, vol. 14(5), pages 1-24, February.
  41. 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.
  42. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," CEPR Discussion Papers 11307, C.E.P.R. Discussion Papers.
  43. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174.
  44. Angelos Kanas, 2013. "The risk-return relation and VIX: evidence from the S&P 500," Empirical Economics, Springer, vol. 44(3), pages 1291-1314, June.
  45. Talha Omer & Kristofer Månsson & Pär Sjölander & B. M. Golam Kibria, 2024. "Improved Breitung and Roling estimator for mixed-frequency models with application to forecasting inflation rates," Statistical Papers, Springer, vol. 65(5), pages 3303-3325, July.
  46. Marks, Joseph M. & Nam, Kiseok, 2018. "Intertemporal risk-return tradeoff in the short-run," Economics Letters, Elsevier, vol. 172(C), pages 81-84.
  47. Valadkhani, Abbas & Smyth, Russell, 2017. "How do daily changes in oil prices affect US monthly industrial output?," Energy Economics, Elsevier, vol. 67(C), pages 83-90.
  48. Hui Guo & Robert Savickas, 2003. "Does idiosyncratic risk matter: another look," Working Papers 2003-025, Federal Reserve Bank of St. Louis.
  49. Sarun Kamolthip, 2021. "Macroeconomic Forecasting with LSTM and Mixed Frequency Time Series Data," PIER Discussion Papers 165, Puey Ungphakorn Institute for Economic Research.
  50. Hideyuki Takamizawa, 2015. "Predicting Interest Rate Volatility Using Information on the Yield Curve," International Review of Finance, International Review of Finance Ltd., vol. 15(3), pages 347-386, September.
  51. Zhang, Yue-Jun & Wang, Jin-Li, 2019. "Do high-frequency stock market data help forecast crude oil prices? Evidence from the MIDAS models," Energy Economics, Elsevier, vol. 78(C), pages 192-201.
  52. Jonathan J. Reeves & Xuan Xie, 2014. "Forecasting stock return volatility at the quarterly frequency: an evaluation of time series approaches," Applied Financial Economics, Taylor & Francis Journals, vol. 24(5), pages 347-356, March.
  53. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2012. "On the Macroeconomic Determinants of the Long-Term Oil-Stock Correlation," Working Papers 0525, University of Heidelberg, Department of Economics.
  54. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R., 2014. "Risk–return trade-off in the pacific basin equity markets," Emerging Markets Review, Elsevier, vol. 18(C), pages 123-140.
  55. Mark J. Jensen & John M. Maheu, 2018. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," JRFM, MDPI, vol. 11(3), pages 1-29, September.
  56. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Post-Print halshs-00460461, HAL.
  57. Emre Alper, C. & Fendoglu, Salih & Saltoglu, Burak, 2012. "MIDAS volatility forecast performance under market stress: Evidence from emerging stock markets," Economics Letters, Elsevier, vol. 117(2), pages 528-532.
  58. Duarte, Cláudia & Rodrigues, Paulo M.M. & Rua, António, 2017. "A mixed frequency approach to the forecasting of private consumption with ATM/POS data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 61-75.
  59. 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.
  60. Bandi, Federico M. & Bretscher, Lorenzo & Tamoni, Andrea, 2023. "Return predictability with endogenous growth," Journal of Financial Economics, Elsevier, vol. 150(3).
  61. 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.
  62. Vozlyublennaia, Nadia & Meshcheryakov, Artem, 2014. "Dynamic correlation structure and security risk," Journal of Economics and Business, Elsevier, vol. 73(C), pages 48-64.
  63. 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.
  64. R. Sufana, 2013. "Leverage effects in a multiasset framework," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 783-787, May.
  65. Maio, Paulo, 2016. "Cross-sectional return dispersion and the equity premium," Journal of Financial Markets, Elsevier, vol. 29(C), pages 87-109.
  66. Bai, Yiyi & Okullo, Samuel J., 2023. "Drivers and pass-through of the EU ETS price: Evidence from the power sector," Energy Economics, Elsevier, vol. 123(C).
  67. Kiseok Nam & Joshua Krausz & Augustine C. Arize, 2014. "Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2193-2203, December.
  68. Ekaterina Smetanina, 2017. "Real-Time GARCH," Journal of Financial Econometrics, Oxford University Press, vol. 15(4), pages 561-601.
  69. Kang, Wensheng & Ratti, Ronald A. & Yoon, Kyung Hwan, 2015. "The impact of oil price shocks on the stock market return and volatility relationship," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 41-54.
  70. Juan M. Londono & Nancy R. Xu, 2019. "Variance Risk Premium Components and International Stock Return Predictability," International Finance Discussion Papers 1247, Board of Governors of the Federal Reserve System (U.S.).
  71. Bernardo K. Pagnoncelli & Domingo Ramírez & Hamed Rahimian & Arturo Cifuentes, 2023. "A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization," Computational Economics, Springer;Society for Computational Economics, vol. 62(1), pages 187-204, June.
  72. 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.
  73. Hui Guo & Christopher J. Neely & Jason Higbee, 2008. "Foreign Exchange Volatility Is Priced in Equities," Financial Management, Financial Management Association International, vol. 37(4), pages 769-790, December.
  74. Guillaume Bagnarosa & Mark Cummins & Michael Dowling & Fearghal Kearney, 2022. "Commodity risk in European dairy firms," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 49(1), pages 151-181.
  75. Getachew, Yoseph Yilma, 2016. "Credit constraints, growth and inequality dynamics," Economic Modelling, Elsevier, vol. 54(C), pages 364-376.
  76. Hunjra, Ahmed Imran & Azam, Muhammad & Niazi, Ghulam Shabbir Khan & Butt, Babar Zaheer & Rehman, Kashif-Ur- & Azam, Rauf i, 2010. "Risk and return relationship in stock market and commodity prices: a comprehensive study of Pakistani markets," MPRA Paper 40662, University Library of Munich, Germany.
  77. 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.
  78. Ghysels, Eric & Guérin, Pierre & Marcellino, Massimiliano, 2014. "Regime switches in the risk–return trade-off," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 118-138.
  79. Jyri Kinnunen & Minna Martikainen, 2017. "Dynamic Autocorrelation and International Portfolio Allocation," Multinational Finance Journal, Multinational Finance Journal, vol. 21(1), pages 21-48, March.
  80. Li, Junye & Sarno, Lucio & Zinna, Gabriele, 2024. "Risks and risk premia in the US Treasury market," Journal of Economic Dynamics and Control, Elsevier, vol. 158(C).
  81. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004. "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers 10447, National Bureau of Economic Research, Inc.
  82. Abakah, Emmanuel Joel Aikins & Tiwari, Aviral Kumar & Alagidede, Imhotep Paul & Gil-Alana, Luis Alberiko, 2022. "Re-examination of risk-return dynamics in international equity markets and the role of policy uncertainty, geopolitical risk and VIX: Evidence using Markov-switching copulas," Finance Research Letters, Elsevier, vol. 47(PA).
  83. Kannyiri Thadious Banyen & Joseph Kofi Nkuah, 2015. "Limited Stock Market Participation in Ghana: A Behavioral Explanation," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 3(6), pages 286-305, June.
  84. Kinnunen, Jyri, 2014. "Risk-return trade-off and serial correlation: Do volume and volatility matter?," Journal of Financial Markets, Elsevier, vol. 20(C), pages 1-19.
  85. Kambouroudis, Dimos S. & McMillan, David G., 2015. "Is there an ideal in-sample length for forecasting volatility?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 37(C), pages 114-137.
  86. Axel Groß-Klußmann, 2024. "Learning deep news sentiment representations for macro-finance," Digital Finance, Springer, vol. 6(3), pages 341-377, September.
  87. Sakemoto, Ryuta, 2023. "The long-run risk premium in the intertemporal CAPM: International evidence," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
  88. Ioannis Chalkiadakis & Gareth W. Peters & Matthew Ames, 2023. "Hybrid ARDL-MIDAS-Transformer time-series regressions for multi-topic crypto market sentiment driven by price and technology factors," Digital Finance, Springer, vol. 5(2), pages 295-365, June.
  89. Foroni, Claudia & Marcellino, Massimiliano & Schumacher, Christian, 2011. "U-MIDAS: MIDAS regressions with unrestricted lag polynomials," Discussion Paper Series 1: Economic Studies 2011,35, Deutsche Bundesbank.
  90. Ghysels, Eric & Ball, Ryan & Zhou, Huan, 2014. "Can we Automate Earnings Forecasts and Beat Analysts?," CEPR Discussion Papers 10186, C.E.P.R. Discussion Papers.
  91. 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.
  92. 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.
  93. León Valle Ángel & Nave Pineda Juan & Rubio Irigoyen Gonzalo, 2005. "The Relationship between Risk and Expected Return in Europe," Working Papers 201025, Fundacion BBVA / BBVA Foundation.
  94. Osman Kilic & Joseph M. Marks & Kiseok Nam, 2022. "Predictable asset price dynamics, risk-return tradeoff, and investor behavior," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 749-791, August.
  95. Eric Ghysels & J. Isaac Miller, 2015. "Testing for Cointegration with Temporally Aggregated and Mixed-Frequency Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 797-816, November.
  96. Jim Hanly, 2017. "Managing Energy Price Risk using Futures Contracts: A Comparative Analysis," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
  97. Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015. "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 101-117.
  98. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021, January-A.
  99. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2012. "The conditional autoregressive Wishart model for multivariate stock market volatility," Journal of Econometrics, Elsevier, vol. 167(1), pages 211-223.
  100. repec:prg:jnlpep:v:2015:y:2015:i:5:id:513:p:1-22 is not listed on IDEAS
  101. Gui, Zhengqing & Huang, Yangguang & Zhao, Xiaojian, 2021. "Whom to educate? Financial literacy and investor awareness," China Economic Review, Elsevier, vol. 67(C).
  102. Alessandra Amendola & Vincenzo Candila & Antonio Scognamillo, 2017. "On the influence of US monetary policy on crude oil price volatility," Empirical Economics, Springer, vol. 52(1), pages 155-178, February.
  103. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2006. "Predicting volatility: getting the most out of return data sampled at different frequencies," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 59-95.
  104. Pedro Santa-Clara & Shu Yan, 2004. "Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options," NBER Working Papers 10912, National Bureau of Economic Research, Inc.
  105. Cho, Sungjun, 2014. "What drives stochastic risk aversion?," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 44-63.
  106. Eva Ferreira & Mónica Gago & Angel León & Gonzalo Rubio, 2005. "An empirical comparison of the performance of alternative option pricing models," Investigaciones Economicas, Fundación SEPI, vol. 29(3), pages 483-523, September.
  107. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, vol. 85(1), pages 1-38, July.
  108. Yongheng Deng & Eric Girardin & Roselyne Joyeux, 2015. "Fundamentals and the Volatility of Real Estate Prices in China: A Sequential Modelling Strategy," Working Papers 222015, Hong Kong Institute for Monetary Research.
  109. Deng, Yongheng & Girardin, Eric & Joyeux, Roselyne, 2018. "Fundamentals and the volatility of real estate prices in China: A sequential modelling strategy," China Economic Review, Elsevier, vol. 48(C), pages 205-222.
  110. Elena Andreou, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," University of Cyprus Working Papers in Economics 03-2016, University of Cyprus Department of Economics.
  111. Zhihui Lv & Amanda M. Y. Chu & Wing Keung Wong & Thomas C. Chiang, 2021. "The maximum-return-and-minimum-volatility effect: evidence from choosing risky and riskless assets to form a portfolio," Risk Management, Palgrave Macmillan, vol. 23(1), pages 97-122, June.
  112. Bali, Turan G., 2008. "The intertemporal relation between expected returns and risk," Journal of Financial Economics, Elsevier, vol. 87(1), pages 101-131, January.
  113. Marcellino, Massimiliano & Foroni, Claudia & Casarin, Roberto & Ravazzolo, Francesco, 2017. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," CEPR Discussion Papers 12339, C.E.P.R. Discussion Papers.
  114. Valadkhani, Abbas & Smyth, Russell, 2018. "Asymmetric responses in the timing, and magnitude, of changes in Australian monthly petrol prices to daily oil price changes," Energy Economics, Elsevier, vol. 69(C), pages 89-100.
  115. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers dp605, Financial Markets Group.
  116. Felix Holzmeister & Jürgen Huber & Michael Kirchler & Florian Lindner & Utz Weitzel & Stefan Zeisberger, 2020. "What Drives Risk Perception? A Global Survey with Financial Professionals and Laypeople," Management Science, INFORMS, vol. 66(9), pages 3977-4002, September.
  117. 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.
  118. Pollet, Joshua M. & Wilson, Mungo, 2010. "Average correlation and stock market returns," Journal of Financial Economics, Elsevier, vol. 96(3), pages 364-380, June.
  119. 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.
  120. 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.
  121. 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.
  122. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "An information diffusion-based model of oil futures price," Energy Economics, Elsevier, vol. 36(C), pages 518-525.
  123. Chen, Yong & Eaton, Gregory W. & Paye, Bradley S., 2018. "Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity," Journal of Financial Economics, Elsevier, vol. 130(1), pages 48-73.
  124. Ali F. Darrat & Bin Li & Omar Benkato, 2011. "The Relationship between Volatility and Expected Returns: Some Evidence for Australia," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, vol. 10(1), pages 27-43, April.
  125. 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.
  126. Hui Guo & Robert Savickas, 2006. "The relation between time-series and cross-sectional effects of idiosyncratic variance on stock returns in G7 countries," Working Papers 2006-036, Federal Reserve Bank of St. Louis.
  127. B M, Lithin & chakraborty, Suman & iyer, Vishwanathan & M N, Nikhil & ledwani, Sanket, 2022. "Modeling asymmetric sovereign bond yield volatility with univariate GARCH models: Evidence from India," MPRA Paper 117067, University Library of Munich, Germany, revised 05 Jan 2023.
  128. Tim Bollerslev & Hao Zhou, 2003. "Volatility puzzles: a unified framework for gauging return-volatility regressions," Finance and Economics Discussion Series 2003-40, Board of Governors of the Federal Reserve System (U.S.).
  129. Xingchen Lv & Jun Meng & Qiufeng Wu, 2022. "Dynamic Influence of Network Public Opinions on Price Fluctuation of Small Agricultural Products Based on NLP-TVP-VAR Model—Taking Garlic as an Example," Sustainability, MDPI, vol. 14(14), pages 1-21, July.
  130. Cotter, John & Hanly, Jim, 2010. "Time-varying risk aversion: An application to energy hedging," Energy Economics, Elsevier, vol. 32(2), pages 432-441, March.
  131. Dave Berger & H. J. Turtle, 2009. "Time Variability In Market Risk Aversion," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 32(3), pages 285-307, September.
  132. Bartram, Sohnke M. & Brown, Gregory W. & Stulz, Rene M., 2016. "Why Does Idiosyncratic Risk Increase with Market Risk?," Working Paper Series 2016-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  133. Jan Schulz & Mishael Milaković, 2023. "How Wealthy are the Rich?," Review of Income and Wealth, International Association for Research in Income and Wealth, vol. 69(1), pages 100-123, March.
  134. Ma, Chaoqun & Mi, Xianhua & Cai, Zongwu, 2020. "Nonlinear and time-varying risk premia," China Economic Review, Elsevier, vol. 62(C).
  135. Dang, Dong Quang & Wu, Weiou & Korkos, Ioannis, 2024. "Stock market and inequality distributions – Evidence from the BRICS and G7 countries," International Review of Economics & Finance, Elsevier, vol. 92(C), pages 1172-1190.
  136. Bjarni G. Einarsson, 2024. "Online Monitoring of Policy Optimality," Economics wp95, Department of Economics, Central bank of Iceland.
  137. Clément Bortoli & Stéphanie Combes & Thomas Renault, 2018. "Nowcasting GDP Growth by Reading the Newspapers," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 505-506, pages 17-33.
  138. Seo, Sung Won & Kim, Jun Sik, 2015. "The information content of option-implied information for volatility forecasting with investor sentiment," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 106-120.
  139. repec:awi:wpaper:0473 is not listed on IDEAS
  140. Andreou, Christoforos K. & Lambertides, Neophytos & Savvides, Andreas, 2020. "Sovereign credit risk and global equity fund returns in emerging markets," Journal of International Money and Finance, Elsevier, vol. 107(C).
  141. Qiu, Yue, 2020. "Forecasting the Consumer Confidence Index with tree-based MIDAS regressions," Economic Modelling, Elsevier, vol. 91(C), pages 247-256.
  142. Kanas, Angelos, 2012. "Modelling the risk–return relation for the S&P 100: The role of VIX," Economic Modelling, Elsevier, vol. 29(3), pages 795-809.
  143. Rachidi Kotchoni, 2018. "Detecting and Measuring Nonlinearity," Econometrics, MDPI, vol. 6(3), pages 1-27, August.
  144. Ghysels, Eric & Santa-Clara, Pedro & Valkanov, Rossen, 2004. "The MIDAS Touch: Mixed Data Sampling Regression Models," University of California at Los Angeles, Anderson Graduate School of Management qt9mf223rs, Anderson Graduate School of Management, UCLA.
  145. Wu, Shue-Jen & Lee, Wei-Ming, 2015. "Intertemporal risk–return relationships in bull and bear markets," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 308-325.
  146. Hui Guo & Robert Savickas, 2006. "Aggregate idiosyncratic volatility in G7 countries," Working Papers 2004-027, Federal Reserve Bank of St. Louis.
  147. Lanne, Markku & Luoto, Jani, 2008. "Robustness of the risk-return relationship in the U.S. stock market," Finance Research Letters, Elsevier, vol. 5(2), pages 118-127, June.
  148. Xingchen Lv & Weijun Lin & Jun Meng & Linan Mo, 2024. "Spillover Effect of Network Public Opinion on Market Prices of Small-Scale Agricultural Products," Mathematics, MDPI, vol. 12(4), pages 1-17, February.
  149. Matthew Spiegel & Xiaotong Wang, 2005. "Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk," Yale School of Management Working Papers amz2540, Yale School of Management, revised 01 Mar 2006.
  150. Laurent Ferrara & Dominique Guégan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 186-199.
  151. Santiago Etchegaray Alvarez, 2022. "Proyecciones macroeconómicas con datos en frecuencias mixtas. Modelos ADL-MIDAS, U-MIDAS y TF-MIDAS con aplicaciones para Uruguay," Documentos de trabajo 2022004, Banco Central del Uruguay.
  152. Thuy Thi Thu Truong & Jungmu Kim, 2019. "Premiums for Non-Sustainable and Sustainable Components of Market Volatility: Evidence from the Korean Stock Market," Sustainability, MDPI, vol. 11(18), pages 1-15, September.
  153. Emiliano Magrini & Ayca Donmez, 2013. "Agricultural Commodity Price Volatility and Its Macroeconomic Determinants: A GARCH-MIDAS Approach," JRC Research Reports JRC84138, Joint Research Centre.
  154. Müller, Gernot & Durand, Robert B. & Maller, Ross A., 2011. "The risk-return tradeoff: A COGARCH analysis of Merton's hypothesis," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 306-320, March.
  155. Bruno Feunou & Mohammad R. Jahan-Parvar & Roméo Tédongap, 2016. "Which parametric model for conditional skewness?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(13), pages 1237-1271, October.
  156. repec:zbw:bofitp:urn:nbn:fi:bof-201511231444 is not listed on IDEAS
  157. Malamud, Semyon & Vilkov, Grigory, 2018. "Non-myopic betas," Journal of Financial Economics, Elsevier, vol. 129(2), pages 357-381.
  158. 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.
  159. Cotter, John & Hanly, Jim, 2015. "Performance of utility based hedges," Energy Economics, Elsevier, vol. 49(C), pages 718-726.
  160. 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.
  161. Biswas, Anindya, 2014. "The output gap and expected security returns," Review of Financial Economics, Elsevier, vol. 23(3), pages 131-140.
  162. 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.
  163. Jianjian Jin, 2013. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics," Staff Working Papers 13-12, Bank of Canada.
  164. 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.
  165. Girardin, Eric & Joyeux, Roselyne, 2013. "Macro fundamentals as a source of stock market volatility in China: A GARCH-MIDAS approach," Economic Modelling, Elsevier, vol. 34(C), pages 59-68.
  166. Jennie Bai & Turan G. Bali & Quan Wen, 2019. "Is There a Risk-Return Tradeoff in the Corporate Bond Market? Time-Series and Cross-Sectional Evidence," NBER Working Papers 25995, National Bureau of Economic Research, Inc.
  167. Mohammed Sawkat Hossain & Md Hamid Uddin & Sarkar Humayun Kabir, 2021. "Sukuk and Bond Puzzle: An Analysis with Characteristics Matched Portfolios," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(13), pages 3792-3817, October.
  168. Wang, Wenzhao & Su, Chen & Duxbury, Darren, 2022. "The conditional impact of investor sentiment in global stock markets: A two-channel examination," Journal of Banking & Finance, Elsevier, vol. 138(C).
  169. Jia, Yun & Yang, Chunpeng, 2017. "Disagreement and the risk-return relation," Economic Modelling, Elsevier, vol. 64(C), pages 97-104.
  170. Barsoum, Fady & Stankiewicz, Sandra, 2015. "Forecasting GDP growth using mixed-frequency models with switching regimes," International Journal of Forecasting, Elsevier, vol. 31(1), pages 33-50.
  171. Kasparis, Ioannis & Phillips, Peter C.B., 2012. "Dynamic misspecification in nonparametric cointegrating regression," Journal of Econometrics, Elsevier, vol. 168(2), pages 270-284.
  172. Guo, Hui & Neely, Christopher J., 2008. "Investigating the intertemporal risk-return relation in international stock markets with the component GARCH model," Economics Letters, Elsevier, vol. 99(2), pages 371-374, May.
  173. Bai, Jennie & Bali, Turan G. & Wen, Quan, 2021. "Is there a risk-return tradeoff in the corporate bond market? Time-series and cross-sectional evidence," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1017-1037.
  174. Chari, Murali D.R. & David, Parthiban & Duru, Augustine & Zhao, Yijiang, 2019. "Bowman's risk-return paradox: An agency theory perspective," Journal of Business Research, Elsevier, vol. 95(C), pages 357-375.
  175. 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.
  176. Jiranyakul, Komain, 2011. "On the Risk-Return Tradeoff in the Stock Exchange of Thailand: New Evidence," MPRA Paper 45583, University Library of Munich, Germany.
  177. Benedikt Maas, 2020. "Short‐term forecasting of the US unemployment rate," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 394-411, April.
  178. Thomas C. Chiang & Jiandong Li, 2012. "Stock Returns and Risk: Evidence from Quantile," JRFM, MDPI, vol. 5(1), pages 1-39, December.
  179. Adam Bahelka & Harmen de Weerd, 2024. "Comparative analysis of Mixed-Data Sampling (MIDAS) model compared to Lag-Llama model for inflation nowcasting," Papers 2407.08510, arXiv.org.
  180. Ernest Gyapong & Daniel Gyimah & Ammad Ahmed, 2021. "Religiosity, borrower gender and loan losses in microfinance institutions: a global evidence," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 657-692, August.
  181. Sévi, Benoît, 2013. "An empirical analysis of the downside risk-return trade-off at daily frequency," Economic Modelling, Elsevier, vol. 31(C), pages 189-197.
  182. 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.
  183. Byrne, Joseph P. & Sakemoto, Ryuta, 2021. "The conditional volatility premium on currency portfolios," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  184. Till Strohsal & Enzo Weber, 2014. "Mean-variance cointegration and the expectations hypothesis," Quantitative Finance, Taylor & Francis Journals, vol. 14(11), pages 1983-1997, November.
  185. Amendola, Alessandra & Candila, Vincenzo & Gallo, Giampiero M., 2019. "On the asymmetric impact of macro–variables on volatility," Economic Modelling, Elsevier, vol. 76(C), pages 135-152.
  186. Ghysels, Eric & Wright, Jonathan H., 2009. "Forecasting Professional Forecasters," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 504-516.
  187. 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).
  188. 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.
  189. 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.
  190. 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.
  191. 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.
  192. Joseph, Byrne & Sakemoto, Ryuta, 2020. "The Conditional Risk and Return Trade-Off on Currency Portfolios," MPRA Paper 99497, University Library of Munich, Germany.
  193. 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.
  194. 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.
  195. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 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 2016-001, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
  196. Wu, Jie & Zhao, Ruizeng & Sun, Jiasen & Zhou, Xuewei, 2023. "Impact of geopolitical risks on oil price fluctuations: Based on GARCH-MIDAS model," Resources Policy, Elsevier, vol. 85(PB).
  197. He, Zhifang, 2022. "Asymmetric impacts of individual investor sentiment on the time-varying risk-return relation in stock market," International Review of Economics & Finance, Elsevier, vol. 78(C), pages 177-194.
  198. Bekaert, Geert & Hoerova, Marie, 2014. "The VIX, the variance premium and stock market volatility," Journal of Econometrics, Elsevier, vol. 183(2), pages 181-192.
  199. Simlai, Prodosh, 2014. "Persistence of ex-ante volatility and the cross-section of stock returns," International Review of Financial Analysis, Elsevier, vol. 33(C), pages 253-261.
  200. Viceira, Luis M., 2012. "Bond risk, bond return volatility, and the term structure of interest rates," International Journal of Forecasting, Elsevier, vol. 28(1), pages 97-117.
  201. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2017. "Density Forecasts With Midas Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 783-801, June.
  202. Peter F. Christoffersen & Francis X. Diebold, 2006. "Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics," Management Science, INFORMS, vol. 52(8), pages 1273-1287, August.
  203. Lee Jihyun & Kim Tong S & Lee Hoe Kyung, 2010. "Return-Volatility Relationship in High Frequency Data: Multiscale Horizon Dependency," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 15(1), pages 1-43, December.
  204. Cathy Yi†Hsuan Chen & Thomas C. Chiang, 2016. "Empirical Analysis of the Intertemporal Relationship between Downside Risk and Expected Returns: Evidence from Time†varying Transition Probability Models," European Financial Management, European Financial Management Association, vol. 22(5), pages 749-796, November.
  205. Yin, Libo & Zhou, Yimin, 2016. "What drives long-term oil market volatility? Fundamentals versus speculation," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 10, pages 1-26.
  206. Cenedese, Gino & Sarno, Lucio & Tsiakas, Ilias, 2014. "Foreign exchange risk and the predictability of carry trade returns," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 302-313.
  207. Turan Bali & Kamil Yilmaz, 2009. "The Intertemporal Relation between Expected Return and Risk on Currency," Koç University-TUSIAD Economic Research Forum Working Papers 0909, Koc University-TUSIAD Economic Research Forum, revised Nov 2009.
  208. Jiang, Cuixia & Ding, Xiaoyi & Xu, Qifa & Tong, Yongbo, 2020. "A TVM-Copula-MIDAS-GARCH model with applications to VaR-based portfolio selection," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  209. Liu, Xiaochun, 2017. "Can macroeconomic dynamics explain the time variation of risk–return trade-offs in the U.S. financial market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 275-293.
  210. Kim, Jun Sik & Ryu, Doojin & Seo, Sung Won, 2014. "Investor sentiment and return predictability of disagreement," Journal of Banking & Finance, Elsevier, vol. 42(C), pages 166-178.
  211. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
  212. 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.
  213. Qiu, Rui & Liu, Jing & Li, Yan, 2023. "Long-term adjusted volatility: Powerful capability in forecasting stock market returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
  214. Iacopini, Matteo & Poon, Aubrey & Rossini, Luca & Zhu, Dan, 2023. "Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP," Journal of Economic Dynamics and Control, Elsevier, vol. 157(C).
  215. Pan, Beier, 2023. "The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants," Economic Modelling, Elsevier, vol. 124(C).
  216. Cotter, John & Hanly, Jim, 2012. "A utility based approach to energy hedging," Energy Economics, Elsevier, vol. 34(3), pages 817-827.
  217. Abdul Rashid & Saba Kausar, 2019. "Testing the Monthly Calendar Anomaly of Stock Returns in Pakistan: A Stochastic Dominance Approach," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 58(1), pages 83-104.
  218. Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2016. "Risk-return trade-off for European stock markets," International Review of Financial Analysis, Elsevier, vol. 46(C), pages 84-103.
  219. Jahan-Parvar, Mohammad R. & Mohammadi, Hassan, 2013. "Risk and return in the Tehran stock exchange," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(3), pages 238-256.
  220. Conrad, Christian & Loch, Karin & Rittler, Daniel, 2014. "On the macroeconomic determinants of long-term volatilities and correlations in U.S. stock and crude oil markets," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 26-40.
  221. 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.
  222. 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.
  223. 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.
  224. 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.
  225. Lee, Kiryoung & Choi, Eunseon & Kim, Minki, 2023. "Twitter-based Chinese economic policy uncertainty," Finance Research Letters, Elsevier, vol. 53(C).
  226. Londono Yarce, J.M., 2011. "Essays on asset pricing," Other publications TiSEM 744a2ac5-7ada-4fa8-a7aa-e, Tilburg University, School of Economics and Management.
  227. Alonso, Francisco & Blanco, Roberto & Rubio Irigoyen, Gonzalo, 2005. "Testing the Forecasting Performance of Ibex 35 Option-implied Risk-neutral Densities," DFAEII Working Papers 1988-088X, University of the Basque Country - Department of Foundations of Economic Analysis II.
  228. Schumacher, Christian, 2016. "A comparison of MIDAS and bridge equations," International Journal of Forecasting, Elsevier, vol. 32(2), pages 257-270.
  229. Likai Chen & Ekaterina Smetanina & Wei Biao Wu, 2022. "Estimation of nonstationary nonparametric regression model with multiplicative structure [Income and wealth distribution in macroeconomics: A continuous-time approach]," The Econometrics Journal, Royal Economic Society, vol. 25(1), pages 176-214.
  230. Octavio Portolano Machado & Adriana Bruscato Bortoluzzo & Sérgio Ricardo Martins & Antonio Zoratto Sanvicente, 2013. "Inter-temporal CAPM: an empirical test with Brazilian market data," Brazilian Review of Finance, Brazilian Society of Finance, vol. 11(2), pages 149-180.
  231. Julien Chevallier & Bilel Sanhaji, 2023. "Jump-Robust Realized-GARCH-MIDAS-X Estimators for Bitcoin and Ethereum Volatility Indices," Stats, MDPI, vol. 6(4), pages 1-32, December.
  232. Herold, Michael & Kanz, Andreas & Muck, Matthias, 2021. "Do opinion polls move stock prices? Evidence from the US presidential election in 2016," The Quarterly Review of Economics and Finance, Elsevier, vol. 80(C), pages 665-690.
  233. Shirley J. Huang & Qianqiu Liu & Jun Yu, 2007. "Realized Daily Variance of S&P 500 Cash Index: A Revaluation of Stylized Facts," Annals of Economics and Finance, Society for AEF, vol. 8(1), pages 33-56, May.
  234. Kinnunen, Jyri, 2017. "Dynamic cross-autocorrelation in stock returns," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 162-173.
  235. Guo, Hui & Savickas, Robert & Wang, Zijun & Yang, Jian, 2009. "Is the Value Premium a Proxy for Time-Varying Investment Opportunities? Some Time-Series Evidence," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(1), pages 133-154, February.
  236. Kim, Eung-Bin & Byun, Suk-Joon, 2021. "Risk, ambiguity, and equity premium: International evidence," International Review of Economics & Finance, Elsevier, vol. 76(C), pages 321-335.
  237. Wang, Zijun & Khan, M. Moosa, 2017. "Market states and the risk-return tradeoff," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 314-327.
  238. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yu, Keming, 2020. "Mixed data sampling expectile regression with applications to measuring financial risk," Economic Modelling, Elsevier, vol. 91(C), pages 469-486.
  239. Seok Young Hong & Oliver Linton, 2016. "Asymptotic properties of a Nadaraya-Watson type estimator for regression functions of in finite order," CeMMAP working papers 53/16, Institute for Fiscal Studies.
  240. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2024. "Why do rational investors like variance at the peak of a crisis? A learning-based explanation," Journal of Monetary Economics, Elsevier, vol. 142(C).
  241. Nam, Kiseok & Khaksari, Shahriar & Kang, Moonsoo, 2017. "Trend in aggregate idiosyncratic volatility," Review of Financial Economics, Elsevier, vol. 35(C), pages 11-28.
  242. Goldmann, Leonie & Crook, Jonathan & Calabrese, Raffaella, 2024. "A new ordinal mixed-data sampling model with an application to corporate credit rating levels," European Journal of Operational Research, Elsevier, vol. 314(3), pages 1111-1126.
  243. Bhattacharya, Abhi & Misra, Shekhar & Sardashti, Hanieh, 2019. "Strategic orientation and firm risk," International Journal of Research in Marketing, Elsevier, vol. 36(4), pages 509-527.
  244. Cedric Okou & Eric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers 2014s-36, CIRANO.
  245. 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.
  246. Kasparis, Ioannis & Andreou, Elena & Phillips, Peter C.B., 2015. "Nonparametric predictive regression," Journal of Econometrics, Elsevier, vol. 185(2), pages 468-494.
  247. 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.
  248. 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.
  249. Ghysels, Eric & Ozkan, Nazire, 2015. "Real-time forecasting of the US federal government budget: A simple mixed frequency data regression approach," International Journal of Forecasting, Elsevier, vol. 31(4), pages 1009-1020.
  250. Kanniainen, Juho & Piché, Robert, 2013. "Stock price dynamics and option valuations under volatility feedback effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 722-740.
  251. Tobias Adrian & Joshua Rosenberg, 2008. "Stock Returns and Volatility: Pricing the Short‐Run and Long‐Run Components of Market Risk," Journal of Finance, American Finance Association, vol. 63(6), pages 2997-3030, December.
  252. Wang, Jianxin & Yang, Minxian, 2013. "On the risk return relationship," Journal of Empirical Finance, Elsevier, vol. 21(C), pages 132-141.
  253. Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2014. "A Bayesian MIDAS Approach to Modeling First and Second Moment Dynamics," CEPR Discussion Papers 10160, C.E.P.R. Discussion Papers.
  254. Paul Sanchez & Robert J. Pidduck & Duygu Phillips & Joshua J. Daspit & Daniel T. Holt, 2024. "From modesty to market: shareholder reactions to humility rhetoric in family and nonfamily firms under media scrutiny," Small Business Economics, Springer, vol. 63(2), pages 755-780, August.
  255. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, vol. 100(3), pages 514-537, June.
  256. Roberto Casarin & Claudia Foroni & Massimiliano Marcellino & Francesco Ravazzolo, 2016. "Uncertainty Through the Lenses of A Mixed-Frequency Bayesian Panel Markov Switching Model," Working Papers 585, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  257. Kenan Qiao & Haibin Xie, 2024. "Time‐varying risk preference and equity risk premium forecasting: The role of the disposition effect," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(7), pages 2659-2674, November.
  258. Chang, Kuang-Liang, 2016. "Does the return-state-varying relationship between risk and return matter in modeling the time series process of stock return?," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 72-87.
  259. Ghosh, Anisha & Linton, Oliver, 2023. "Estimation with mixed data frequencies: A bias-correction approach," Journal of Empirical Finance, Elsevier, vol. 74(C).
  260. Masud Alam, 2024. "Volatility in U.S. Housing Sector and the REIT Equity Return," The Journal of Real Estate Finance and Economics, Springer, vol. 69(3), pages 505-544, October.
  261. He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015. "Multi-factor volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 132-149.
  262. Wang, Wenzhao & Duxbury, Darren, 2021. "Institutional investor sentiment and the mean-variance relationship: Global evidence," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 415-441.
  263. Wang, Wenzhao, 2021. "The mean–variance relation: A 24-hour story," Economics Letters, Elsevier, vol. 208(C).
  264. Gao, Wang & Wei, Jiajia & Zhang, Hongwei & Zhang, Haizhen, 2024. "Does climate policy uncertainty exacerbate extreme risk spillovers between green economy and energy metals?," Resources Policy, Elsevier, vol. 91(C).
  265. Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2016. "A MIDAS approach to modeling first and second moment dynamics," Journal of Econometrics, Elsevier, vol. 193(2), pages 315-334.
  266. Frazier, David T. & Liu, Xiaochun, 2016. "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 43-55.
  267. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," EconomiX Working Papers 2019-14, University of Paris Nanterre, EconomiX.
  268. Nuttanan Wichitaksorn, 2020. "Analyzing and Forecasting Thai Macroeconomic Data using Mixed-Frequency Approach," PIER Discussion Papers 146, Puey Ungphakorn Institute for Economic Research.
  269. Fung, Derrick W.H. & Lee, Wing Yan & Yang, Charles C. & Yeh, Jason J.H., 2024. "Risk taking, performance, and resilience to the COVID-19 pandemic: Evidence from public property-casualty insurers," International Review of Financial Analysis, Elsevier, vol. 91(C).
  270. Yang, Jianlei & Yang, Chunpeng, 2021. "The impact of mixed-frequency geopolitical risk on stock market returns," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 226-240.
  271. An, Yimeng & Dang, Yaoguo & Wang, Junjie & Zhou, Huimin & Mai, Son T., 2024. "Mixed-frequency data Sampling Grey system Model: Forecasting annual CO2 emissions in China with quarterly and monthly economic-energy indicators," Applied Energy, Elsevier, vol. 370(C).
  272. Liu, Jingzhen, 2019. "Impacts of lagged returns on the risk-return relationship of Chinese aggregate stock market: Evidence from different data frequencies," Research in International Business and Finance, Elsevier, vol. 48(C), pages 243-257.
  273. Miralles-Marcelo, José Luis & Miralles-Quirós, María del Mar & Miralles-Quirós, José Luis, 2012. "Asset pricing with idiosyncratic risk: The Spanish case," International Review of Economics & Finance, Elsevier, vol. 21(1), pages 261-271.
  274. Júlio Lobão, 2024. "The Influence of Gender on Individuals’ Ability to Predict Their Own Risk Tolerance: Evidence from a European Country," Administrative Sciences, MDPI, vol. 14(3), pages 1-16, March.
  275. 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.
  276. 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.
  277. 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.
  278. Shanken, Jay & Tamayo, Ane, 2012. "Payout yield, risk, and mispricing: A Bayesian analysis," Journal of Financial Economics, Elsevier, vol. 105(1), pages 131-152.
  279. Yueh-Neng Lin & Ken Hung, 2008. "Is Volatility Priced?," Annals of Economics and Finance, Society for AEF, vol. 9(1), pages 39-75, May.
  280. Licheng Sun & Liang Meng & Mohammad Najand, 2017. "The Role of U.S. Market on International Risk-Return Tradeoff Relations," The Financial Review, Eastern Finance Association, vol. 52(3), pages 499-526, August.
  281. Xianning WANG & Jingrong DONG & Zhi XIAO & Guanjie HE, 2019. "A novel spatial mixed frequency forecasting model with application to Chinese regional GDP," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 54-77, June.
  282. Eric Jacquier & Cedric Okou, 2013. "Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships," CIRANO Working Papers 2013s-14, CIRANO.
  283. Bollerslev, Tim & Zhou, Hao, 2006. "Volatility puzzles: a simple framework for gauging return-volatility regressions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 123-150.
  284. Mili, Mehdi, 2019. "The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets," Research in International Business and Finance, Elsevier, vol. 48(C), pages 187-200.
  285. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, vol. 143(2), pages 349-374, April.
  286. 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.
  287. Hossein Asgharian & Charlotte Christiansen & Rangan Gupta & Ai Jun Hou, 2016. "Effects of Economic Policy Uncertainty Shocks on the Long-Run US-UK Stock Market Correlation," CREATES Research Papers 2016-29, Department of Economics and Business Economics, Aarhus University.
  288. Vít Pošta & Zdeněk Pikhart, 2015. "Financial Risk and Real Variables: Evidence Based on a SVAR Analysis of the Czech Economy," Prague Economic Papers, Prague University of Economics and Business, vol. 2015(5), pages 516-537.
  289. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  290. Ghysels, Eric & Hill, Jonathan B. & Motegi, Kaiji, 2016. "Testing for Granger causality with mixed frequency data," Journal of Econometrics, Elsevier, vol. 192(1), pages 207-230.
  291. Ung, Sze Nie & Gebka, Bartosz & Anderson, Robert D.J., 2023. "Is sentiment the solution to the risk–return puzzle? A (cautionary) note," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
  292. Foroni, Claudia & Marcellino, Massimiliano, 2014. "A comparison of mixed frequency approaches for nowcasting Euro area macroeconomic aggregates," International Journal of Forecasting, Elsevier, vol. 30(3), pages 554-568.
  293. Boguth, Oliver & Carlson, Murray & Fisher, Adlai & Simutin, Mikhail, 2011. "Conditional risk and performance evaluation: Volatility timing, overconditioning, and new estimates of momentum alphas," Journal of Financial Economics, Elsevier, vol. 102(2), pages 363-389.
  294. Gerrit Reher & Bernd Wilfling, 2016. "A nesting framework for Markov-switching GARCH modelling with an application to the German stock market," Quantitative Finance, Taylor & Francis Journals, vol. 16(3), pages 411-426, March.
  295. Bonino-Gayoso, Nicolás & García-Hiernaux, Alfredo, 2019. "TF-MIDAS: a new mixed-frequency model to forecast macroeconomic variables," MPRA Paper 93366, University Library of Munich, Germany.
  296. Eric Ghysels & Alberto Plazzi & Rossen Valkanov, 2007. "Valuation in US Commercial Real Estate," European Financial Management, European Financial Management Association, vol. 13(3), pages 472-497, June.
  297. Okou, Cédric & Jacquier, Éric, 2016. "Horizon effect in the term structure of long-run risk-return trade-offs," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 445-466.
  298. Choe, Kwang-il & Choi, Pilsun & Nam, Kiseok & Vahid, Farshid, 2012. "Testing financial contagion on heteroskedastic asset returns in time-varying conditional correlation," Pacific-Basin Finance Journal, Elsevier, vol. 20(2), pages 271-291.
  299. Koutmos, Gregory & Knif, Johan & Philippatos, George C., 2008. "Modeling common volatility characteristics and dynamic risk premia in European equity markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 48(3), pages 567-578, August.
  300. 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).
  301. 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.
  302. 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).
  303. 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.
  304. repec:bof:bofitp:urn:nbn:fi:bof-201511231444 is not listed on IDEAS
  305. Manh Cuong Nguyen & Viet Anh Dang & Tri Tri Nguyen, 2023. "The transfer of risk taking along the supply chain," Review of Quantitative Finance and Accounting, Springer, vol. 61(4), pages 1341-1378, November.
  306. Jin, Xing & Wang, Leping & Yu, Jun, 2007. "Temporal aggregation and risk-return relation," Finance Research Letters, Elsevier, vol. 4(2), pages 104-115, June.
  307. Khoo, Joye & Cheung, Adrian (Wai Kong), 2021. "Does geopolitical uncertainty affect corporate financing? Evidence from MIDAS regression," Global Finance Journal, Elsevier, vol. 47(C).
  308. Chen, Cathy Yi-Hsuan & Chiang, Thomas C. & Härdle, Wolfgang Karl, 2018. "Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics," Journal of Banking & Finance, Elsevier, vol. 93(C), pages 21-32.
  309. Alper, C. Emre & Fendoglu, Salih & Saltoglu, Burak, 2008. "Forecasting Stock Market Volatilities Using MIDAS Regressions: An Application to the Emerging Markets," MPRA Paper 7460, University Library of Munich, Germany.
  310. Jiang, Cuixia & Li, Yuqian & Xu, Qifa & Liu, Yezheng, 2021. "Measuring risk spillovers from multiple developed stock markets to China: A vine-copula-GARCH-MIDAS model," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 386-398.
  311. Lindblad, Annika, 2017. "Sentiment indicators and macroeconomic data as drivers for low-frequency stock market volatility," MPRA Paper 80266, University Library of Munich, Germany.
  312. Guo, Hui & Qiu, Buhui, 2014. "Options-implied variance and future stock returns," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 93-113.
  313. Jonathan Readshaw & Stefano Giani, 2020. "Using Company Specific Headlines and Convolutional Neural Networks to Predict Stock Fluctuations," Papers 2006.12426, arXiv.org.
  314. Til Schuermann & Kevin J. Stiroh, 2006. "Visible and hidden risk factors for banks," Staff Reports 252, Federal Reserve Bank of New York.
  315. Hui Guo & Robert Savickas, 2006. "Idiosyncratic volatility, economic fundamentals, and foreign exchange rates," Working Papers 2005-025, Federal Reserve Bank of St. Louis.
  316. Chelikani, Surya & Marks, Joseph M. & Nam, Kiseok, 2024. "State-dependent intertemporal risk-return tradeoff: Further evidence," Journal of Economics and Business, Elsevier, vol. 130(C).
  317. Wang, Wenzhao, 2018. "The mean–variance relation and the role of institutional investor sentiment," Economics Letters, Elsevier, vol. 168(C), pages 61-64.
  318. Matthew Spiegel & Xiaotong Wang, 2005. "Cross-sectional Variation in Stock Returns: Liquidity and Idiosyncratic Risk," Yale School of Management Working Papers amz2540, Yale School of Management, revised 01 Mar 2006.
  319. Baele, Lieven & Londono, Juan M., 2013. "Understanding industry betas," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 30-51.
  320. Benoît Sévi & César Baena, 2013. "The explanatory power of signed jumps for the risk-return tradeoff," Economics Bulletin, AccessEcon, vol. 33(2), pages 1029-1046.
  321. Ederington, Louis H. & Guan, Wei, 2010. "How asymmetric is U.S. stock market volatility?," Journal of Financial Markets, Elsevier, vol. 13(2), pages 225-248, May.
  322. Daniel Borup & David E. Rapach & Erik Christian Montes Schütte, 2021. "Now- and Backcasting Initial Claims with High-Dimensional Daily Internet Search-Volume Data," CREATES Research Papers 2021-02, Department of Economics and Business Economics, Aarhus University.
  323. Brennan, M.J. & Taylor, Alex P., 2023. "Expected returns and risk in the stock market," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 276-300.
  324. DasGupta, Ranjan & Deb, Soumya G., 2022. "Role of corporate governance in moderating the risk-return paradox: Cross country evidence," Journal of Contemporary Accounting and Economics, Elsevier, vol. 18(2).
  325. Bjørn Eraker & Ching Wai (Jeremy) Chiu & Andrew T. Foerster & Tae Bong Kim & Hernán D. Seoane, 2015. "Bayesian Mixed Frequency VARs," Journal of Financial Econometrics, Oxford University Press, vol. 13(3), pages 698-721.
  326. Aghamolla, Cyrus & An, Byeong-Je, 2021. "Voluntary disclosure with evolving news," Journal of Financial Economics, Elsevier, vol. 140(1), pages 21-53.
  327. Cláudia Duarte, 2016. "A Mixed Frequency Approach to Forecast Private Consumption with ATM/POS Data," Working Papers w201601, Banco de Portugal, Economics and Research Department.
  328. Semih Emre Çekin & Victor J. Valcarcel, 2020. "Inflation volatility and inflation in the wake of the great recession," Empirical Economics, Springer, vol. 59(4), pages 1997-2015, October.
  329. 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.
  330. 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.
  331. 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.
  332. 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.
  333. repec:zbw:bofitp:2015_030 is not listed on IDEAS
  334. Jiawen Xu & Yixuan Li & Kai Liu & Tao Chen, 2023. "Portfolio selection: from under-diversification to concentration," Empirical Economics, Springer, vol. 64(4), pages 1539-1557, April.
  335. Dhaene, Geert & Wu, Jianbin, 2020. "Incorporating overnight and intraday returns into multivariate GARCH volatility models," Journal of Econometrics, Elsevier, vol. 217(2), pages 471-495.
  336. Serena Ng & Susannah Scanlan, 2023. "Constructing High Frequency Economic Indicators by Imputation," Papers 2303.01863, arXiv.org, revised Oct 2023.
  337. Matthias M. M. Buehlmaier & Kit Pong Wong, 2020. "Should investors join the index revolution? Evidence from around the world," Journal of Asset Management, Palgrave Macmillan, vol. 21(3), pages 192-218, May.
  338. Dotsis, George, 2017. "The market price of risk of the variance term structure," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 41-52.
  339. Gong, Xu & Sun, Yi & Du, Zhili, 2022. "Geopolitical risk and China's oil security," Energy Policy, Elsevier, vol. 163(C).
  340. Hui Guo & Robert Savickas, 2006. "Understanding stock return predictability," Working Papers 2006-019, Federal Reserve Bank of St. Louis.
  341. Michelle T. Armesto & Kristie M. Engemann & Michael T. Owyang, 2010. "Forecasting with mixed frequencies," Review, Federal Reserve Bank of St. Louis, vol. 92(Nov), pages 521-536.
  342. Barroso, Pedro & Santa-Clara, Pedro, 2015. "Momentum has its moments," Journal of Financial Economics, Elsevier, vol. 116(1), pages 111-120.
  343. Benoît Sévi & César Baena, 2012. "A reassessment of the risk-return tradeoff at the daily horizon," Economics Bulletin, AccessEcon, vol. 32(1), pages 190-203.
  344. Ryan T. Ball & Eric Ghysels, 2018. "Automated Earnings Forecasts: Beat Analysts or Combine and Conquer?," Management Science, INFORMS, vol. 64(10), pages 4936-4952, October.
  345. Chen, Xiaoyu & Chiang, Thomas C., 2016. "Stock returns and economic forces—An empirical investigation of Chinese markets," Global Finance Journal, Elsevier, vol. 30(C), pages 45-65.
  346. 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.
  347. 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.
  348. 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).
  349. 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.
  350. Masud Alam, 2021. "Time Varying Risk in U.S. Housing Sector and Real Estate Investment Trusts Equity Return," Papers 2107.10455, arXiv.org.
  351. Sara Boni & Massimiliano Caporin & Francesco Ravazzolo, 2024. "Nowcasting Inflation at Quantiles: Causality from Commodities," BEMPS - Bozen Economics & Management Paper Series BEMPS102, Faculty of Economics and Management at the Free University of Bozen.
  352. Chatrath, Arjun & Miao, Hong & Ramchander, Sanjay & Wang, Tianyang, 2016. "An examination of the flow characteristics of crude oil: Evidence from risk-neutral moments," Energy Economics, Elsevier, vol. 54(C), pages 213-223.
  353. Kwon, Ji Ho & Sohn, Bumjean, 2024. "The ICAPM and empirical pricing factors: A simulation study," Finance Research Letters, Elsevier, vol. 60(C).
  354. Hiroyuki Kawakatsu, 2022. "Modeling Realized Variance with Realized Quarticity," Stats, MDPI, vol. 5(3), pages 1-25, September.
  355. 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.
  356. Ahmed, Walid M.A., 2020. "Is there a risk-return trade-off in cryptocurrency markets? The case of Bitcoin," Journal of Economics and Business, Elsevier, vol. 108(C).
  357. Gilles de Truchis & Elena Ivona Dumitrescu, 2019. "Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems," Working Papers hal-04141871, HAL.
  358. Adam Clements & Ayesha Scott & Annastiina Silvennoinen, 2019. "Volatility-dependent correlations: further evidence of when, where and how," Empirical Economics, Springer, vol. 57(2), pages 505-540, August.
  359. Roi D. Taussig, 2017. "Stickiness of employee expenses and implications for stock returns," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 7(2), pages 297-309, August.
  360. Chelikani, Surya & Marks, Joseph M. & Nam, Kiseok, 2023. "Volatility feedback effect and risk-return tradeoff," The Quarterly Review of Economics and Finance, Elsevier, vol. 92(C), pages 49-65.
  361. Christian Brownlees & Benjamin Chabot & Eric Ghysels & Christopher J. Kurz, 2015. "Backtesting Systemic Risk Measures During Historical Bank Runs," Working Paper Series WP-2015-9, Federal Reserve Bank of Chicago.
  362. Gong, Yuting & Chen, Qiang & Liang, Jufang, 2018. "A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets," Economic Modelling, Elsevier, vol. 68(C), pages 586-598.
  363. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," Journal of Econometrics, Elsevier, vol. 193(2), pages 367-389.
  364. 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.
  365. 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.
  366. 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.
  367. Baeckström, Ylva & Tosun, Onur Kemal & Riefler, Raul, 2024. "Wealth as a moderating effect on gender differences in portfolio holdings," Global Finance Journal, Elsevier, vol. 60(C).
  368. Çelik, Sibel & Ergin, Hüseyin, 2014. "Volatility forecasting using high frequency data: Evidence from stock markets," Economic Modelling, Elsevier, vol. 36(C), pages 176-190.
  369. Choi, Jaewon & Richardson, Matthew, 2016. "The volatility of a firm's assets and the leverage effect," Journal of Financial Economics, Elsevier, vol. 121(2), pages 254-277.
  370. Nava, Consuelo R. & Osti, Linda & Zoia, Maria Grazia, 2022. "Forecasting Domestic Tourism across Regional Destinations through MIDAS Regressions," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202207, University of Turin.
  371. Travis L Johnson, 2019. "A Fresh Look at Return Predictability Using a More Efficient Estimator," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 9(1), pages 1-46.
  372. Bansal, Naresh & Stivers, Chris, 2022. "Bond risk’s role in the equity risk-return tradeoff," Journal of Financial Markets, Elsevier, vol. 60(C).
  373. Ryan T. Ball & Jonathan Bonham & Thomas Hemmer, 2020. "Does it pay to ‘Be Like Mike’? Aspiratonal peer firms and relative performance evaluation," Review of Accounting Studies, Springer, vol. 25(4), pages 1507-1541, December.
  374. Huang, Lin & Wang, Zijun, 2014. "Is the investment factor a proxy for time-varying investment opportunities? The US and international evidence," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 219-232.
  375. Xu, Qifa & Zhuo, Xingxuan & Jiang, Cuixia & Liu, Xi & Liu, Yezheng, 2018. "Group penalized unrestricted mixed data sampling model with application to forecasting US GDP growth," Economic Modelling, Elsevier, vol. 75(C), pages 221-236.
  376. Jiang, Fuwei & Liu, Hongkui & Yu, Jiasheng & Zhang, Huajing, 2023. "International stock return predictability: The role of U.S. uncertainty spillover," Pacific-Basin Finance Journal, Elsevier, vol. 82(C).
  377. Jianjian Jin, 2015. "Jump-Diffusion Long-Run Risks Models, Variance Risk Premium, and Volatility Dynamics," Review of Finance, European Finance Association, vol. 19(3), pages 1223-1279.
  378. Liu, Dehong & Gu, Hongmei & Lung, Peter, 2016. "The equity mispricing: Evidence from China's stock market," Pacific-Basin Finance Journal, Elsevier, vol. 39(C), pages 211-223.
  379. Pierpaolo Andriani & Bill McKelvey, 2009. "Perspective ---From Gaussian to Paretian Thinking: Causes and Implications of Power Laws in Organizations," Organization Science, INFORMS, vol. 20(6), pages 1053-1071, December.
  380. Kinnunen, Jyri, 2013. "Dynamic return predictability in the Russian stock market," Emerging Markets Review, Elsevier, vol. 15(C), pages 107-121.
  381. Reschenhofer, Erhard & Mangat, Manveer Kaur & Stark, Thomas, 2020. "Volatility forecasts, proxies and loss functions," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 133-153.
  382. Dirk Swagerman & Ivan Novakovic, 2010. "Multi-National Evidence On Calendar Patterns In Stock Returns: An Empirical Case Study On Investment Strategy And The Halloween Effect," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(4), pages 23-42.
  383. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2009. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Post-Print halshs-00344839, HAL.
  384. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  385. Tseng, Tseng-Chan & Lee, Chien-Chiang & Chen, Mei-Ping, 2015. "Volatility forecast of country ETF: The sequential information arrival hypothesis," Economic Modelling, Elsevier, vol. 47(C), pages 228-234.
  386. 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.
  387. 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.
  388. 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.
  389. Yang, Chunpeng & Jia, Yun, 2016. "Buy-sell imbalance and the mean-variance relation," Pacific-Basin Finance Journal, Elsevier, vol. 40(PA), pages 49-58.
  390. repec:hum:wpaper:sfb649dp2016-001 is not listed on IDEAS
  391. Laine, Olli-Matti & Lindblad, Annika, 2020. "Nowcasting Finnish GDP growth using financial variables: a MIDAS approach," BoF Economics Review 4/2020, Bank of Finland.
  392. 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.
  393. Yao, Can-Zhong & Li, Min-Jian, 2023. "GARCH-MIDAS-GAS-copula model for CoVaR and risk spillover in stock markets," The North American Journal of Economics and Finance, Elsevier, vol. 66(C).
  394. Huang, Teng-Ching & Wu, Ching-Chih & Lin, Bing-Huei, 2016. "Institutional herding and risk–return relationship," Journal of Business Research, Elsevier, vol. 69(6), pages 2073-2080.
  395. Hatemi-J, Abdulnasser & Irandoust, Manuchehr, 2011. "The dynamic interaction between volatility and returns in the US stock market using leveraged bootstrap simulations," Research in International Business and Finance, Elsevier, vol. 25(3), pages 329-334, September.
  396. Rafique, Amir & Iqbal, Khurram & Zakaria, Muhammad & Mujtaba, Ghulam, 2019. "Investigating ICAPM with mean-reverting dynamic conditional correlation: Evidence from an emerging stock exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 514-523.
  397. Xu, Qifa & Chen, Lu & Jiang, Cuixia & Yuan, Jing, 2018. "Measuring systemic risk of the banking industry in China: A DCC-MIDAS-t approach," Pacific-Basin Finance Journal, Elsevier, vol. 51(C), pages 13-31.
  398. 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.
  399. Pedro Piccoli & Newton C. A. da Costa & Wesley Vieira da Silva & June A. W. Cruz, 2018. "Investor sentiment and the risk–return tradeoff in the Brazilian market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 599-618, November.
  400. Long Chen & Hui Guo & Lu Zhang, 2006. "Equity market volatility and expected risk premium," Working Papers 2006-007, Federal Reserve Bank of St. Louis.
  401. Michael D. Boldin & Jonathan H. Wright, 2015. "Weather-adjusting employment data," Working Papers 15-5, Federal Reserve Bank of Philadelphia.
  402. Herrera, Ana María & Hu, Liang & Pastor, Daniel, 2018. "Forecasting crude oil price volatility," International Journal of Forecasting, Elsevier, vol. 34(4), pages 622-635.
  403. Brenner, Menachem & Izhakian, Yehuda, 2018. "Asset pricing and ambiguity: Empirical evidence⁎," Journal of Financial Economics, Elsevier, vol. 130(3), pages 503-531.
  404. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
  405. Tan, Zhengxun & Xiao, Binuo & Huang, Yilong & Zhou, Li, 2021. "Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration," The North American Journal of Economics and Finance, Elsevier, vol. 56(C).
  406. Bali, Turan G. & Engle, Robert F., 2010. "The intertemporal capital asset pricing model with dynamic conditional correlations," Journal of Monetary Economics, Elsevier, vol. 57(4), pages 377-390, May.
  407. Chiang, Thomas C. & Li, Huimin & Zheng, Dazhi, 2015. "The intertemporal risk-return relationship: Evidence from international markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 156-180.
  408. 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.
  409. Minxian Yang, 2014. "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers 2014-16, School of Economics, The University of New South Wales.
  410. repec:prg:jnlpep:v:preprint:id:513:p:1-22 is not listed on IDEAS
  411. Symitsi, Efthymia & Symeonidis, Lazaros & Kourtis, Apostolos & Markellos, Raphael, 2018. "Covariance forecasting in equity markets," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 153-168.
  412. Cenesizoglu, Tolga, 2022. "Return decomposition over the business cycle," Journal of Banking & Finance, Elsevier, vol. 143(C).
  413. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2017. "Density Forecasts With Midas Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(4), pages 783-801, June.
  414. Chevapatrakul, Thanaset, 2013. "Return sign forecasts based on conditional risk: Evidence from the UK stock market index," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2342-2353.
  415. Curato, Imma Valentina & Sanfelici, Simona, 2022. "Stochastic leverage effect in high-frequency data: a Fourier based analysis," Econometrics and Statistics, Elsevier, vol. 23(C), pages 53-82.
  416. Vozlyublennaia, Nadia, 2013. "Do firm characteristics matter for the dynamics of idiosyncratic risk?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 27(C), pages 35-46.
  417. Zhang, Yunhan & Li, Yan & Zhao, Wanli & Ji, Qiang, 2024. "Climate risk performance and returns integration of Chinese listed energy companies," Energy Economics, Elsevier, vol. 129(C).
  418. Wichitaksorn, Nuttanan, 2022. "Analyzing and forecasting Thai macroeconomic data using mixed-frequency approach," Journal of Asian Economics, Elsevier, vol. 78(C).
  419. Durham, Garland B., 2007. "SV mixture models with application to S&P 500 index returns," Journal of Financial Economics, Elsevier, vol. 85(3), pages 822-856, September.
  420. Borup, Daniel & Rapach, David E. & Schütte, Erik Christian Montes, 2023. "Mixed-frequency machine learning: Nowcasting and backcasting weekly initial claims with daily internet search volume data," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1122-1144.
  421. David Allen & Stephen Satchell & Colin Lizieri, 2024. "Quantifying the non-Gaussian gain," Journal of Asset Management, Palgrave Macmillan, vol. 25(1), pages 1-18, February.
  422. Michael William Ashby & Oliver Bruce Linton, 2024. "Do Consumption-Based Asset Pricing Models Explain the Dynamics of Stock Market Returns?," JRFM, MDPI, vol. 17(2), pages 1-42, February.
  423. Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.