Hong Kong University of Science & Technology (HKUST)
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Baltic Dry Index, global stock markets, commodity returns, global real economic activity
Baltic Dry Index, global stock markets, commodity returns, global real economic activity, predictive regressions, out-of-sample statistic, economic significance
currency carry trades, predictability
currency carry trade, currency risk factors
traded volatility, VIX option returns, tails of pricing and physical distributions
traded volatility, VIX option returns, tails of pricing and physical distributions, heterogeneiry
U-shaped pricing kernels, claims on the upside, negative call returns, short-selling, heterogeneity in beliefs
U-shaped pricing kernels, claims on the upside, monotonically declining pricing kernels,
jump structure, pure-jump price, crashes, arrival rate, extremes
Predictability, traded market variance, real economic activity, Treasury returns, stock market
Traded Volatility, VIX Option Returns, Tails of Pricing and Physical Distributions, Heterogeneity
Intra-Period Risk, First-Passage Probability, Value-At-Risk, Jump Models
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