Kenan-Flagler Business School
Chapel Hill, NC 27599-3490
Gardner Hall, CB 3305
Chapel Hill, NC 27599
University of North Carolina Kenan-Flagler Business School
University of North Carolina (UNC) at Chapel Hill - Department of Economics
in Total Papers Downloads
in Total Papers Citations
stock market volatility, macroeconomic variables, volatility decomposition, cross-section of returns
Structural change, historical tests, sequential tests
momentum, crashes, return chasing
momentum, crash risk, asset pricing
This is a National Bureau of Economic Research Paper. NBER charges a fee of
$5.00 for this paper.
File name: nber.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: DP10234.
Real Estate, MIDAS, Cap rate, Predictive regression
Stock Price Dynamics, Multivariate Jump-Diffusion Models, Latent variables, Stochastic Volatility, Objective and Risk Neutral Distributions, Nonparametric Option Pricing, Discrete time Option Pricing Models, Risk Neutral Valuation, Preference-free Option Pricing
beta, systematic risk, portfolio efficiency, errors in the variables
return asymmetry, international equity markets, portfolio allocation, skewness
MIDAS regressions, Realized variance
MIDAS regressions, realized variance
ICAPM, risk-return tradeoff, conditional variance, forecasting returns
Skewness, kurtosis, co-skewness, stochastic discount factors
variance estimation, volatility, asset pricing, MIDAS
MIDAS regressions, Bayesian VAR models
maximum likelihood estimation, jump diffusion processes, generalized method of moments, continuum of moment conditions, characteristic function, term structure models
real estate, predictability, market efficiency, REIT
Realized volatility, MIDAS regressions
Volatility, Risk, tick-by-tick applications, nonlinear MIDAS, microstructure noise
MIDAS Regressions, Macro Forecasting, Leads, Daily Financial Information, Daily Factors
Factor asset pricing models, ARCH filters
Rolling sample estimators, quadratic variation, volatility, efficient filtering, continuous record asymptotics, high-frequency data
Limit to arbitrage, Momentum
return predictability, real-time data, macroeconomic announcements, dynamic factor models
change-point, break dates, ARCH, high-frequency data
Market efficiency, expectations, news, data revision process
Skewness, Consumption, Macro-Finance, Recursive Preferences
Discount Window, Term Auction Facility, Stigma, Crisis, ABCP, TriParty Repo, monetary policy
Structural Change, Sequential Tests Merton Model
Conditional Portfolio Choice, Liquidity, Nonparametric
Volatility forecasting, multi-period forecasts, mixed-data sampling
MIDAS regressions, high frequency financial data
Survey forecasts, mixed frequency data sampling, forecast evaluation, rational expectations, Kalman filter, Kalman smoother, news announcement
File name: DP12179.
Principal Component Analysis, ARCH-type filters, realized volatility
File name: DP10034.
ARCH-type filters, Principal Component Analysis, realized volatility
Monetary policy, daily fed funds rate, price puzzle, mixed data frequencies
monetary policy, daily fed funds rate, price puzzle, mixed data frequencies
bond risk premium, stochastic volatility, term structure models
liquidity, Treasury market, limit order book, financial crisis, volatility, announcement
Granger causality test, Local asymptotic power, Mixed Data Sampling (MIDAS), Temporal aggregation, Vector autoregression (VAR)
File name: DP9655.
Granger causality, mixed data sampling (MIDAS), temporal aggression, vector autoregression (VAR)
Structural change, CUSUM, GARCH, quadratic variation, power variation, high frequency data, Brownian bridge, boundary crossing, sequential tests, local power
HYBRID process, weak GARCH, GARCH jump diffusion, realized measure, temporal aggregation, filtering
File name: DP12219.
GDP growth, Group Factor models, MIDAS
Tail risk, Survey of Professional Forecasters
unconventional monetary policy; euro area crisis; SMP; component models; high frequency data
File name: DP9778.
forecast evaluation, mixed frequency data sampling
macro forecasting, financial crisis
Systemic Risk, Financial Crises, Risk Measures
File name: DP12178.
Financial crises, Risk Measures, systemic risk
inflation expectations, inflation risks, balance of risks, survey forecasts, monetary policy
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $38.00 .
File name: manc318.
Granger causality test, max test, Mixed Data Sampling (MIDAS), Sims test, temporal aggregation
inflation expectations, risk, uncertainty, survey data, inflation dynamics, monetary policy
inflation forecasts, inflation risk, survey data, financial data, MIDAS regression
File name: eufm.
File name: DP10186.
forecast combination, MIDAS regression, real-time data
File name: DP9698.
conditional variance, Markov-switching, MIDAS, Risk-return trade-off
File name: DP12180.
Mixed frequency data, MIDAS regressions, profile likelihood
risk, return, financial crisis, flight-to-safety
Indirect inference, MIDAS regressions, State space model, Stochastic volatility, GDP forecasting.
Financial crisis, Systemic risk, Stress testing, credit risk, High-frequency data
File name: DP10236.
ARCH filters, Factor asset pricing models
File name: DP9654.
cointegration, mixed sampling frequencies, residual-based cointegration test, temporal aggregation, trace test
File name: JTSA.
Temporal aggregation, mixed sampling frequencies, cointegration, trace test, residual‐based cointegration tests.JEL. C12
change-point tests, CUSUM, GARCH, high-frequency data, Kolmogorov-Smirnov, location-scale distribution family, power variation, quadratic variation
time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem
Conditional volatility, model uncertainty, disagreement, factor models
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