Deakin University - Department of Economics
return predictability, predictive regression, cointegration, LASSO
Circuit Breakers, Volatility, Liquidity, COVID-19
Asymmetric jumps, Systematic risk, Portfolio diversification, Value-at-Risk
Factor model, Crisis transmission, Jumps, High frequency data
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systematic risk, jumps, equity risk premium, high-frequency data
High-frequency statistics, pre-averaging, jump test, break-even inflation, anchoring of inflation expectations
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