Yuanhui Ma

Southwest Jiaotong University - School of Mathematics

No. 111, Sec. North 1, Er-Huan Rd.

Chengdu, Sichuan 610031

China

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Stock Market Risk Predictability in a Data-Rich World: A New Insight

Posted: 01 Jun 2021 Last Revised: 30 Aug 2022
Southwest Jiaotong University - School of Economics & Management, Southwest Jiaotong University, affiliation not provided to SSRN and Southwest Jiaotong University - School of Mathematics

Abstract:

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Shrinkage method; Markov regime-switching; Equity volatility forecasting; Variance risk premium