Fuglesangs Alle 4
Aarhus V, DK 8210
Denmark
Aarhus University - CREATES
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Multivariate GARCH-M,Short-Rate Volatility,Yield Curve Curvature,Yield Curve Shape, Yield Curve Slope
carry trade, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
carry trades, factor model, FX volatility, liquidity, smooth transition regression, time-varying betas
This is a CEPR Discussion Paper. CEPR charges a fee of $8.00 for this paper.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
carry trade, factor model, smooth transition regression, time-varying betas
Realized volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
Realised volatility, Forecasting, Data-rich modeling, Bayesian model averaging, Model uncertainty
economic uncertainty; HAR model; international-portfolio analysis; stock market correlation; stock market volatility
educational choice, efficient frontier, human capital investment, mean-variance
Bond-stock correlation, Macroeconomic announcements, Realized correlation, Realized volatility
Stock market participation, Bond market participation, Gender, Portfolio Choice
DCC-MIDAS model; Long-run correlation; Macro-finance variables; Stock-bond correlation
business cycles, forecasting, factor analysis, probit model, sentiment variables
Euro Introduction, Government Bonds, Integration of Bond Markets, International Bond Markets, Volatility Spillover
Investor Education, Portfolio Choice, Stock Market Participation
G11, G129, J24
Interest rate variance, Regime switching, SWARCH, Yield curve, Yield curve slope
Gender, Marriage and divorce, Stock market participation, Portfolio choice, Labor income risk sharing
DCC-MIDAS model; GARCH-MIDAS model; Macroeconomic uncertainty index; Stock-bond correlation; Stock volatility; Bond volatility
European Asset Markets, Euro, GARCH, Integration of Financial Markets
realized stock-bond correlation, smooth transition regressions, correlation regimes, VIX index
Realized stock-bond correlation, Quantile regressions, Macro-finance variables, Factor analysis
Idiosyncratic volatility puzzle; Macro-finance factors; Business cycle
long-run betas; short-run betas; risk premia; business cycles; component GARCH model; MIDAS
household finance, portfolio choice, retail investors, SRI investments
economic policy uncertainty index; mixed data sampling; stock market correlation; stock market volatility
Foreign exchange rates, Risk-return trade-off, Realized volatility, Realized skewness, Value-at-risk, Financial crisis
Heteroskedasticity effects, Level effects, Multivariate level-GARCH model, Two-factor term structure model
European stock markets; Factor model; Macro-finance predictors; Markov switching model; Quantile regressions; Risk-return trade-off
Expectations Hypothesis, Forward Rate Curve, Long Maturity, Volatility
Business Cycle, Recessions, Yield spread, Probit Model
Mutual funds; Anomalies; Value added; Public information; Investment decisions
Integration, European government bond markets, European sovereign debt crisis, Financial crises, Factor models
Bivariate short-rate model, International short rates, Level-ARCH model, Regime Switching
Short term interest rate, Mean reversion, Extreme value, Nonlinearity
VIX; VIX ETPs; VIX Premium; Economic value; Portfolio diversification
bond betas; Complete Subset Regressions; corporate bonds; government bonds; macro-finance variables; Model Confidence Set
Mutual Funds, Fund Selection, Simulation, Small Sample Properties
Housing, business cycles, negative returns, co-movements
Financial market integration, Comovement, Emerging markets, EU enlargement, EU Member States, Extreme returns, New EU Member States, Stock markets
International stock returns; economic policy uncertainty; factor models; downside risk
risk-return trade-off; government bond markets; good volatility; bad volatility
risk-return trade-off; quantile regressions; VIX; stock markets
Flight-to-Safety; Risk-Return Trade-Off; European Markets; Stock Market; Bond Market
European stock markets, European bond markets, Extreme returns, Financial crisis, Integration of financial markets
