200 Leicester Street
Carlton, Victoria 3053 3186
University of Melbourne - Melbourne Business School
return predictability, predictive regression, cointegration, LASSO
Circuit Breakers, Volatility, Liquidity, COVID-19
Circuit breakers, volatility, Liquidity, COVID-19
Circuit breakers, Volatility, liquidity, COVID-19
Circuit breakers, Volatility, Liquidity, COVID-19
Volatility network, quantile regression, Systemic risk, Financial crisis.
Volatility network, quantile regression, systemic risk, Financial crisis.
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
High-frequency data, jumps, sequential testing, intersection union test, term spread, break-even inflation
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