200 Leicester Street
Carlton, Victoria 3053 3186
Australia
University of Melbourne - Melbourne Business School
return predictability, predictive regression, cointegration, LASSO
Circuit Breakers, Volatility, Liquidity, COVID-19
Circuit breakers, volatility, Liquidity, COVID-19
Herding, Mutual funds, Regime switching, Driving factors
High-frequency statistics, pre-averaging, jump test, break-even inflation, anchoring of inflation expectations
Asymmetric jumps, Systematic risk, Portfolio diversification, Value-at-Risk
systematic risk, jumps, equity risk premium, high-frequency data
Factor model, Crisis transmission, Jumps, High frequency data