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Displaying results 1 to 14 of 14.
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Uncovering regimes in out of sample forecast errors
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Can we forecast the implied volatility surface dynamics of equity options?
predictability and economic value tests -
Predictability concentrates in bad times
and so does disagreement -
Commodity futures return predictability and intertemporal asset pricing
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Robust inference with stochastic local unit root regressors in predictive regressions
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Commodity futures return predictability and intertemporal asset pricing
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Learning from the past
the role of personal experiences in artificial stock markets -
The Empirical Performance of Option Implied Volatility Surface-Driven Optimal Portfolios
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Financial stress and realized volatility
the case of agricultural commodities -
Uncovering regimes in out of sample forecast errors from predictive regressions
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Three essays in asset management
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Investor behavior and financial markets
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Inflation gap persistence, indeterminacy, and monetary policy
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Quantifying sentiment for the Japanese economy as predictors of stock prices