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Chris Kirby

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Articles

  1. Chiang, I-Hsuan Ethan & Kirby, Chris & Nie, Ziye Zoe, 2021. "Short-term reversals, short-term momentum, and news-driven trading activity," Journal of Banking & Finance, Elsevier, vol. 125(C).

    Cited by:

    1. Cakici, Nusret & Zaremba, Adam, 2023. "Recency bias and the cross-section of international stock returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 84(C).
    2. Yue, Tian & Li, Tianjiao & Ruan, Xinfeng, 2023. "Does short-term momentum exist in China?," Pacific-Basin Finance Journal, Elsevier, vol. 77(C).

  2. Chris Kirby & Nikolai Roussanov, 2020. "Firm Characteristics, Cross-Sectional Regression Estimates, and Asset Pricing Tests," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(2), pages 290-334.

    Cited by:

    1. Chiang, I-Hsuan Ethan & Kirby, Chris & Nie, Ziye Zoe, 2021. "Short-term reversals, short-term momentum, and news-driven trading activity," Journal of Banking & Finance, Elsevier, vol. 125(C).
    2. Guillaume Coqueret, 2022. "Characteristics-driven returns in equilibrium," Papers 2203.07865, arXiv.org.
    3. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).

  3. Kirby, Chris, 2019. "The value premium and expected business conditions," Finance Research Letters, Elsevier, vol. 30(C), pages 360-366.

    Cited by:

    1. Qadan, Mahmoud & Jacob, Maram, 2022. "The value premium and investors' appetite for risk," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 194-219.
    2. Hsieh, Hui-Ching & Nguyen, Van Quoc Thinh, 2021. "Economic policy uncertainty and illiquidity return premium," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).

  4. Adriana Cordis & Chris Kirby, 2018. "Income Shifting as an Aspect of Tax Avoidance: Evidence from U.S. Multinational Corporations," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 21(01), pages 1-53, March.

    Cited by:

    1. Ming-Chin Chen & Chia-Wen Chang & Mei-Chueh Lee, 2020. "The effect of chief financial officers’ accounting expertise on corporate tax avoidance: the role of compensation design," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 273-296, January.

  5. Adriana S. Cordis & Chris Kirby, 2017. "Capital expenditures and firm performance: evidence from a cross†sectional analysis of stock returns," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57(4), pages 1019-1042, December.

    Cited by:

    1. Sungsoo Kim & Amitav Saha & Sudipta Bose, 2021. "Do capital expenditures influence earnings performance: Evidence from loss‐making firms," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2539-2575, April.
    2. Reddy, Krishna & Wellalage, Nirosha Hewa, 2023. "Effects of family ownership and family management on the performance of entrepreneurial firms," Research in International Business and Finance, Elsevier, vol. 65(C).

  6. Jeff Fleming & Chris Kirby, 2013. "Component-Driven Regime-Switching Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 263-301, March.

    Cited by:

    1. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
    2. Arnaud Dufays & Maciej Augustyniak & Luc Bauwens, 2016. "A new approach to volatility modeling: the High-Dimensional Markov model," Cahiers de recherche 1609, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    3. Ying Wang & Hoi Ying Wong, 2017. "VIX Forecast Under Different Volatility Specifications," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(2), pages 131-148, June.
    4. Augustyniak, Maciej & Dufays, Arnaud, 2018. "Modeling macroeconomic series with regime-switching models characterized by a high-dimensional state space," Economics Letters, Elsevier, vol. 170(C), pages 122-126.

  7. Kirby, Chris & Ostdiek, Barbara, 2012. "It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naïve Diversification," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 47(2), pages 437-467, April.

    Cited by:

    1. Florian Methling & Rüdiger Nitzsch, 2019. "Naïve diversification in thematic investing: heuristics for the core satellite investor," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 568-580, December.
    2. Michael Pinelis & David Ruppert, 2020. "Machine Learning Portfolio Allocation," Papers 2003.00656, arXiv.org, revised Nov 2021.
    3. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    4. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
    5. Platanakis, Emmanouil & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Horses for courses: Mean-variance for asset allocation and 1/N for stock selection," European Journal of Operational Research, Elsevier, vol. 288(1), pages 302-317.
    6. Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
    7. Symitsi, Efthymia & Chalvatzis, Konstantinos J., 2019. "The economic value of Bitcoin: A portfolio analysis of currencies, gold, oil and stocks," Research in International Business and Finance, Elsevier, vol. 48(C), pages 97-110.
    8. Chavez-Bedoya, Luis & Rosales, Francisco, 2021. "Reduction of estimation risk in optimal portfolio choice using redundant constraints," International Review of Financial Analysis, Elsevier, vol. 78(C).
    9. Thomas Conlon & John Cotter & Iason Kynigakis, 2021. "Machine Learning and Factor-Based Portfolio Optimization," Papers 2107.13866, arXiv.org.
    10. Hsu, Po-Hsuan & Han, Qiheng & Wu, Wensheng & Cao, Zhiguang, 2018. "Asset allocation strategies, data snooping, and the 1 / N rule," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 257-269.
    11. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
    12. Hossein Rad & Rand Kwong Yew Low & Joelle Miffre & Robert Faff, 2022. "The Strategic Allocation to Style-Integrated Portfolios of Commodity Futures," Post-Print hal-03881976, HAL.
    13. Fuertes, Ana-Maria & Zhao, Nan, 2023. "A Bayesian perspective on commodity style integration," Journal of Commodity Markets, Elsevier, vol. 30(C).
    14. A. Burak Paç & Mustafa Ç. Pınar, 2018. "On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets," Annals of Operations Research, Springer, vol. 266(1), pages 223-253, July.
    15. Chavez-Bedoya, Luis & Rosales, Francisco, 2022. "Orthogonal portfolios to assess estimation risk," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 906-937.
    16. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joelle, 2021. "The risk premia of energy futures," Energy Economics, Elsevier, vol. 102(C).
    17. Bazgour, Tarik & Heuchenne, Cedric & Sougné, Danielle, 2016. "Conditional portfolio allocation: Does aggregate market liquidity matter?," Journal of Empirical Finance, Elsevier, vol. 35(C), pages 110-135.
    18. Fuertes, Ana-Maria & Zhao, Nan, 2022. "A Bayesian Perspective on Commodity Style Integration," MPRA Paper 117831, University Library of Munich, Germany, revised 2023.
    19. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    20. Cederburg, Scott & O’Doherty, Michael S. & Wang, Feifei & Yan, Xuemin (Sterling), 2020. "On the performance of volatility-managed portfolios," Journal of Financial Economics, Elsevier, vol. 138(1), pages 95-117.
    21. Stadtmüller, Immo & Auer, Benjamin R. & Schuhmacher, Frank, 2022. "On the benefits of active stock selection strategies for diversified investors," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 342-354.
    22. Markus Hirschberger & Ralph E. Steuer & Sebastian Utz & Maximilian Wimmer & Yue Qi, 2013. "Computing the Nondominated Surface in Tri-Criterion Portfolio Selection," Operations Research, INFORMS, vol. 61(1), pages 169-183, February.
    23. Eduardo C. Garrido-Merch'an & Gabriel Gonz'alez Piris & Maria Coronado Vaca, 2023. "Bayesian Optimization of ESG Financial Investments," Papers 2303.01485, arXiv.org.
    24. Chulwoo Han, 2020. "How much should portfolios shrink?," Financial Management, Financial Management Association International, vol. 49(3), pages 707-740, September.
    25. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2017. "Predictability and diversification benefits of investing in commodity and currency futures," International Review of Financial Analysis, Elsevier, vol. 50(C), pages 52-66.
    26. Huang, Hung-Hsi & Lin, Shin-Hung & Wang, Ching-Ping & Chiu, Chia-Yung, 2014. "Adjusting MV-efficient portfolio frontier bias for skewed and non-mesokurtic returns," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 59-83.
    27. Raymond Kan & Xiaolu Wang & Guofu Zhou, 2022. "Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case," Management Science, INFORMS, vol. 68(3), pages 2047-2068, March.
    28. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
    29. Alemany, Nuria & Aragó, Vicent & Salvador, Enrique, 2020. "The distribution of index futures realised volatility under seasonality and microstructure noise," Economic Modelling, Elsevier, vol. 93(C), pages 398-414.
    30. Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020. "Can Volatility Solve the Naive Portfolio Puzzle?," Papers 2005.03204, arXiv.org, revised Feb 2022.
    31. Bian, Zhicun & Liao, Yin & O’Neill, Michael & Shi, Jing & Zhang, Xueyong, 2020. "Large-scale minimum variance portfolio allocation using double regularization," Journal of Economic Dynamics and Control, Elsevier, vol. 116(C).
    32. Calice, Giovanni & Lin, Ming-Tsung, 2021. "Exploring risk premium factors for country equity returns," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 294-322.
    33. Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
    34. Moura, Guilherme V. & Santos, André A. P. & Ruiz Ortega, Esther, 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
    35. Bessler, Wolfgang & Wolff, Dominik, 2015. "Do commodities add value in multi-asset portfolios? An out-of-sample analysis for different investment strategies," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 1-20.
    36. Apostolos Kourtis & Raphael N. Markellos & Lazaros Symeonidis, 2016. "An International Comparison of Implied, Realized, and GARCH Volatility Forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1164-1193, December.
    37. Hubert Dichtl & Wolfgang Drobetz & Viktoria‐Sophie Wendt, 2021. "How to build a factor portfolio: Does the allocation strategy matter?," European Financial Management, European Financial Management Association, vol. 27(1), pages 20-58, January.
    38. Sebastian Lobe & Christoph Schmidhammer & Jennifer Pickel, 2013. "Don’t Cry for Me Germania?," Schmalenbach Journal of Business Research, Springer, vol. 65(7), pages 688-706, December.
    39. Chunyang Zhou & Chongfeng Wu & Weidong Xu, 2020. "Incorporating time‐varying jump intensities in the mean‐variance portfolio decisions," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(3), pages 460-478, March.
    40. Oikonomou, Ioannis & Platanakis, Emmanouil & Sutcliffe, Charles, 2018. "Socially responsible investment portfolios: Does the optimization process matter?," The British Accounting Review, Elsevier, vol. 50(4), pages 379-401.
    41. M. Ryan Haley, 2017. "K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?," Annals of Finance, Springer, vol. 13(3), pages 341-353, August.
    42. Yuki Shigeta, 2017. "Portfolio selections under mean-variance preference with multiple priors for means and variances," Annals of Finance, Springer, vol. 13(1), pages 97-124, February.
    43. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2021. "Alternative Financial Methods for Improving the Investment in Renewable Energy Companies," Mathematics, MDPI, vol. 9(9), pages 1-25, May.
    44. Santos, André Alves Portela & Ferreira, Alexandre R., 2017. "On the choice of covariance specifications for portfolio selection problems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 37(1), May.
    45. Carlos Trucíos & Mauricio Zevallos & Luiz K. Hotta & André A. P. Santos, 2019. "Covariance Prediction in Large Portfolio Allocation," Econometrics, MDPI, vol. 7(2), pages 1-24, May.
    46. Doan, Bao & Papageorgiou, Nicolas & Reeves, Jonathan J. & Sherris, Michael, 2018. "Portfolio management with targeted constant market volatility," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 134-147.
    47. Kircher, Felix & Rösch, Daniel, 2021. "A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks," Journal of Banking & Finance, Elsevier, vol. 133(C).
    48. Hwang, Inchang & Xu, Simon & In, Francis, 2018. "Naive versus optimal diversification: Tail risk and performance," European Journal of Operational Research, Elsevier, vol. 265(1), pages 372-388.
    49. Rad, Hossein & Low, Rand Kwong Yew & Miffre, Joëlle & Faff, Robert, 2020. "Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 164-180.
    50. Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012. "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century 62020, Verein für Socialpolitik / German Economic Association.
    51. Cheng Yan & Ji Yan, 2021. "Optimal and naive diversification in an emerging market: Evidence from China's A‐shares market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 3740-3758, July.
    52. Fan, Minyou & Kearney, Fearghal & Li, Youwei & Liu, Jiadong, 2020. "Momentum and the Cross-Section of Stock Volatility," QBS Working Paper Series 2020/01, Queen's University Belfast, Queen's Business School.
    53. Han, Yufeng & Hu, Ting & Yang, Jian, 2016. "Are there exploitable trends in commodity futures prices?," Journal of Banking & Finance, Elsevier, vol. 70(C), pages 214-234.
    54. Johannes Bock, 2018. "An updated review of (sub-)optimal diversification models," Papers 1811.08255, arXiv.org.
    55. Jules Sadefo Kamdem, 2023. "Risk-Adjusted Performance And Semi-Moments Of Non-Gaussian Portfolio Returns Distributions," Working Papers hal-04134833, HAL.
    56. Wang, Chou-Wen & Liu, Kai & Li, Bin & Tan, Ken Seng, 2022. "Portfolio optimization under multivariate affine generalized hyperbolic distributions," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 49-66.
    57. Trung H. Le & Apostolos Kourtis & Raphael Markellos, 2023. "Modeling skewness in portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(6), pages 734-770, June.
    58. Lassance, Nathan & Vanderveken, Rodolphe & Vrins, Frédéric, 2022. "On the optimal combination of naive and mean-variance portfolio strategies," LIDAM Discussion Papers LFIN 2022006, Université catholique de Louvain, Louvain Finance (LFIN).
    59. Díaz, Antonio & Esparcia, Carlos & Huélamo, Diego, 2023. "Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    60. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    61. Dahlquist, Magnus & Hasseltoft, Henrik, 2020. "Economic momentum and currency returns," Journal of Financial Economics, Elsevier, vol. 136(1), pages 152-167.
    62. Caldeira, João F. & Santos, André A.P. & Torrent, Hudson S., 2023. "Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics," Economic Modelling, Elsevier, vol. 122(C).
    63. Erindi Allaj, 2020. "The Black–Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation," Computational Management Science, Springer, vol. 17(3), pages 465-492, October.
    64. Davide Lauria & W. Brent Lindquist & Stefan Mittnik & Svetlozar T. Rachev, 2022. "ESG-Valued Portfolio Optimization and Dynamic Asset Pricing," Papers 2206.02854, arXiv.org.
    65. Qiao, W. & Bu, D. & Gibberd, A. & Liao, Y. & Wen, T. & Li, E., 2023. "When “time varying” volatility meets “transaction cost” in portfolio selection," Journal of Empirical Finance, Elsevier, vol. 73(C), pages 220-237.
    66. Humphrey, Jacquelyn E. & Benson, Karen L. & Low, Rand K.Y. & Lee, Wei-Lun, 2015. "Is diversification always optimal?," Pacific-Basin Finance Journal, Elsevier, vol. 35(PB), pages 521-532.
    67. Kolev, Gueorgui I. & Karapandza, Rasa, 2017. "Out-of-sample equity premium predictability and sample split–invariant inference," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 188-201.
    68. Caio Vigo Pereira, 2020. "Portfolio Efficiency with High-Dimensional Data as Conditioning Information," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202015, University of Kansas, Department of Economics, revised Sep 2020.
    69. Donatien Tafin Djoko & Yves Till�, 2015. "Selection of balanced portfolios to track the main properties of a large market," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 359-370, February.
    70. Wang, Feifei & Yan, Xuemin Sterling, 2021. "Downside risk and the performance of volatility-managed portfolios," Journal of Banking & Finance, Elsevier, vol. 131(C).
    71. Carolina Fugazza & Massimo Guidolin & Giovanna Nicodano, 2015. "Equally Weighted vs. Long†Run Optimal Portfolios," European Financial Management, European Financial Management Association, vol. 21(4), pages 742-789, September.
    72. Iason Kynigakis & Ekaterini Panopoulou, 2022. "Does model complexity add value to asset allocation? Evidence from machine learning forecasting models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(3), pages 603-639, April.
    73. Barroso, Pedro & Detzel, Andrew, 2021. "Do limits to arbitrage explain the benefits of volatility-managed portfolios?," Journal of Financial Economics, Elsevier, vol. 140(3), pages 744-767.
    74. Han, Chulwoo, 2020. "A nonparametric approach to portfolio shrinkage," Journal of Banking & Finance, Elsevier, vol. 120(C).
    75. Yan, Cheng & Zhang, Huazhu, 2017. "Mean-variance versus naïve diversification: The role of mispricing," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 61-81.
    76. Fethke, Tobias & Prokopczuk, Marcel, 2018. "Is Commodity Index Investing Profitable?," Hannover Economic Papers (HEP) dp-635, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    77. Chuting Sun & Qi Wu & Xing Yan, 2023. "Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning," Papers 2301.07318, arXiv.org, revised Jan 2024.
    78. Santos, André A.P. & Torrent, Hudson S., 2022. "Markowitz meets technical analysis: Building optimal portfolios by exploiting information in trend-following signals," Finance Research Letters, Elsevier, vol. 49(C).
    79. Zakamulin, Valeriy, 2017. "Superiority of optimized portfolios to naive diversification: Fact or fiction?," Finance Research Letters, Elsevier, vol. 22(C), pages 122-128.
    80. Hsu, Ching-Chi & Chen, Miao-Ling, 2021. "Currency momentum strategies based on the Chinese Yuan: Timing of foreign exchange volatility," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 72(C).
    81. Fletcher, Jonathan & Basu, Devraj, 2016. "An examination of the benefits of dynamic trading strategies in U.K. closed-end funds," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 109-118.
    82. Víctor Adame-García & Fernando Fernández-Rodríguez & Simón Sosvilla-Rivero, 2017. "“Resolution of optimization problems and construction of efficient portfolios: An application to the Euro Stoxx 50 index"," IREA Working Papers 201702, University of Barcelona, Research Institute of Applied Economics, revised Feb 2017.
    83. Henryk Gzyl & Alfredo Rios, 2018. "Which portfolio is better? A discussion of several possible comparison criteria," Papers 1805.06345, arXiv.org, revised Jun 2022.
    84. Moura, Guilherme V. & Santos, André A.P. & Ruiz, Esther, 2020. "Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 118(C).
    85. Topaloglou, Nikolas & Vladimirou, Hercules & Zenios, Stavros A., 2020. "Integrated dynamic models for hedging international portfolio risks," European Journal of Operational Research, Elsevier, vol. 285(1), pages 48-65.
    86. Irina Murtazashvili & Nadia Vozlyublennaia, 2013. "Diversification Strategies: Do Limited Data Constrain Investors?," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 36(2), pages 215-232, June.
    87. Kalotychou, Elena & Staikouras, Sotiris K. & Zhao, Gang, 2014. "The role of correlation dynamics in sector allocation," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 1-12.
    88. Yang, Junmin & Cao, Zhiguang & Han, Qiheng & Wang, Qiyu, 2019. "Tactical asset allocation on technical trading rules and data snooping," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    89. Turtle, H.J. & Wang, Kainan, 2016. "The benefits of improved covariance estimation," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 233-246.
    90. Hammadi Zouari, 2022. "On the Effectiveness of Stock Index Futures for Tail Risk Protection," International Journal of Economics and Financial Issues, Econjournals, vol. 12(3), pages 38-52, May.

  8. Fleming, Jeff & Kirby, Chris, 2011. "Long memory in volatility and trading volume," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1714-1726, July.

    Cited by:

    1. Long H. Vo, 2017. "Estimating Financial Volatility with High-Frequency Returns," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(2), pages 84-114, October.
    2. Wei Lin & Gloria González‐Rivera, 2019. "Extreme returns and intensity of trading," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 34(7), pages 1121-1140, November.
    3. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
    4. Fei Su & Lei Wang, 2020. "Conditional Volatility Persistence and Realized Volatility Asymmetry: Evidence from the Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(14), pages 3252-3269, November.
    5. Kunal Saha & Vinodh Madhavan & Chandrashekhar G. R. & David McMillan, 2020. "Pitfalls in long memory research," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1733280-173, January.
    6. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2014. "How does trading volume affect financial return distributions?," International Review of Financial Analysis, Elsevier, vol. 35(C), pages 190-206.
    7. Cordis, Adriana S. & Kirby, Chris, 2014. "Discrete stochastic autoregressive volatility," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 160-178.
    8. Kumar, Dilip, 2014. "Long range dependence in the high frequency USD/INR exchange rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 396(C), pages 134-148.
    9. Xiao, Weilin & Zhang, Weiguo & Zhang, Xili & Chen, Xiaoyan, 2014. "The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 394(C), pages 320-337.
    10. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
    11. Wingert, Simon & Mboya, Mwasi Paza & Sibbertsen, Philipp, 2020. "Distinguishing between breaks in the mean and breaks in persistence under long memory," Economics Letters, Elsevier, vol. 193(C).
    12. Li, Xingyi & Zakamulin, Valeriy, 2020. "The term structure of volatility predictability," International Journal of Forecasting, Elsevier, vol. 36(2), pages 723-737.
    13. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    14. Paulo M.M. Rodrigues & Marina Balboa, 2021. "Multivariate Fractional Integration Tests allowing for Conditional Heteroskedasticity with an Application to Return Volatility and Trading Volume," Working Papers w202102, Banco de Portugal, Economics and Research Department.
    15. Chen, Shengming & Bouteska, Ahmed & Sharif, Taimur & Abedin, Mohammad Zoynul, 2023. "The Russia–Ukraine war and energy market volatility: A novel application of the volatility ratio in the context of natural gas," Resources Policy, Elsevier, vol. 85(PA).
    16. Shi, Yanlin & Ho, Kin-Yip, 2015. "Long memory and regime switching: A simulation study on the Markov regime-switching ARFIMA model," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 189-204.
    17. Ma, Chaoqun & Mi, Xianhua & Cai, Zongwu, 2020. "Nonlinear and time-varying risk premia," China Economic Review, Elsevier, vol. 62(C).
    18. Koubaa, Yosra & Slim, Skander, 2019. "The relationship between trading activity and stock market volatility: Does the volume threshold matter?," Economic Modelling, Elsevier, vol. 82(C), pages 168-184.
    19. Bucci, Andrea & Ciciretti, Vito, 2022. "Market regime detection via realized covariances," Economic Modelling, Elsevier, vol. 111(C).
    20. Bissoondoyal-Bheenick, Emawtee & Do, Hung & Hu, Xiaolu & Zhong, Angel, 2022. "Sentiment and stock market connectedness: Evidence from the U.S. – China trade war," International Review of Financial Analysis, Elsevier, vol. 80(C).
    21. Pham, Son Duy & Nguyen, Thao Thac Thanh & Do, Hung Xuan, 2022. "Dynamic volatility connectedness between thermal coal futures and major cryptocurrencies: Evidence from China," Energy Economics, Elsevier, vol. 112(C).
    22. Ladislav Kristoufek, 2013. "Testing power-law cross-correlations: Rescaled covariance test," Papers 1307.4727, arXiv.org, revised Aug 2013.
    23. Darolles, Serge & Le Fol, Gaëlle & Mero, Gulten, 2017. "Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows," Journal of Econometrics, Elsevier, vol. 201(2), pages 367-383.
    24. Jongho Kang & Jangkoo Kang & Jaeram Lee, 2022. "Who and what drives informed options trading after the market opens?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 338-364, March.
    25. Wenger, Kai & Leschinski, Christian & Sibbertsen, Philipp, 2018. "A simple test on structural change in long-memory time series," Economics Letters, Elsevier, vol. 163(C), pages 90-94.
    26. Luis Goncalves de Faria, 2022. "An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation," Papers 2206.09772, arXiv.org.
    27. Kao, Yu-Sheng & Zhao, Kai & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2024. "The asymmetric relationships between the Bitcoin futures’ return, volatility, and trading volume," International Review of Economics & Finance, Elsevier, vol. 89(PA), pages 524-542.
    28. Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
    29. Beata Szetela & Grzegorz Mentel & Yuriy Bilan & Urszula Mentel, 2021. "The relationship between trend and volume on the bitcoin market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 11(1), pages 25-42, March.
    30. Jawadi Fredj & Ureche-Rangau Loredana, 2013. "Threshold linkages between volatility and trading volume: evidence from developed and emerging markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 313-333, May.
    31. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je, 2020. "Volatility forecasting using related markets’ information for the Tokyo stock exchange," Economic Modelling, Elsevier, vol. 90(C), pages 143-158.
    32. Marius Matei & Xari Rovira & Núria Agell, 2019. "Bivariate Volatility Modeling with High-Frequency Data," Econometrics, MDPI, vol. 7(3), pages 1-15, September.
    33. Henryk Gurgul & Lukaz Lach & Tomasz Wojtowicz, 2016. "Impact of US Macroeconomic News Announcements on Intraday Causalities on Selected European Stock Markets," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(5), pages 405-425, October.
    34. Haugom, Erik & Ray, Rina, 2017. "Heterogeneous traders, liquidity, and volatility in crude oil futures market," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 36-49.
    35. Feng, Yuanhua & Zhou, Chen, 2015. "Forecasting financial market activity using a semiparametric fractionally integrated Log-ACD," International Journal of Forecasting, Elsevier, vol. 31(2), pages 349-363.
    36. Ran Xiao, 2019. "Essays on Price Discovery and Volatility Dynamics in Emerging Market Currencies," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2019.
    37. Morten Ø. Nielsen & Per Houmann Frederiksen, 2008. "Fully Modified Narrow-band Least Squares Estimation Of Stationary Fractional Cointegration," Working Paper 1171, Economics Department, Queen's University.
    38. Voges, Michelle & Sibbertsen, Philipp, 2021. "Cyclical fractional cointegration," Econometrics and Statistics, Elsevier, vol. 19(C), pages 114-129.
    39. Huang, Teng-Ching & Tu, Yu-Chen & Chou, Heng-Chih, 2015. "Long memory and the relation between options and stock prices," Finance Research Letters, Elsevier, vol. 12(C), pages 77-91.
    40. Gao, Guangyuan & Ho, Kin-Yip & Shi, Yanlin, 2020. "Long memory or regime switching in volatility? Evidence from high-frequency returns on the U.S. stock indices," Pacific-Basin Finance Journal, Elsevier, vol. 61(C).
    41. Jeff Fleming & Chris Kirby, 2013. "Component-Driven Regime-Switching Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 263-301, March.
    42. Saif Siddiqui & Preeti Roy, 2019. "Asymmetric relationship between implied volatility, index returns and trading volume: an application of quantile regression model," DECISION: Official Journal of the Indian Institute of Management Calcutta, Springer;Indian Institute of Management Calcutta, vol. 46(3), pages 239-252, September.
    43. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2016. "Stock and currency market linkages: New evidence from realized spillovers in higher moments," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 167-185.
    44. Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018.
    45. Todorova, Neda & Souček, Michael, 2014. "Overnight information flow and realized volatility forecasting," Finance Research Letters, Elsevier, vol. 11(4), pages 420-428.
    46. Samet Günay & Yanlin Shi, 2016. "Long-Memory in Volatilities of CDS Spreads: Evidences from the Emerging Markets," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 122-137, March.
    47. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
    48. Cai, Wenwu & Lu, Jing, 2019. "Investors’ financial attention frequency and trading activity," Pacific-Basin Finance Journal, Elsevier, vol. 58(C).
    49. Chiah, Mardy & Tian, Xiao & Zhong, Angel, 2022. "Lockdown and retail trading in the equity market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 33(C).
    50. Ahoniemi, Katja & Lanne, Markku, 2013. "Overnight stock returns and realized volatility," International Journal of Forecasting, Elsevier, vol. 29(4), pages 592-604.
    51. Emawtee Bissoondoyal-Bheenick & Robert Brooks & Wei Chi & Hung Xuan Do, 2018. "Volatility spillover between the US, Chinese and Australian stock markets," Australian Journal of Management, Australian School of Business, vol. 43(2), pages 263-285, May.
    52. Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
    53. Carroll, Rachael & Kearney, Colm, 2015. "Testing the mixture of distributions hypothesis on target stocks," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 39(C), pages 1-14.
    54. Anagnostidis, Panagiotis & Emmanouilides, Christos J., 2015. "Nonlinearity in high-frequency stock returns: Evidence from the Athens Stock Exchange," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 473-487.
    55. Kao, Yu-Sheng & Chuang, Hwei-Lin & Ku, Yu-Cheng, 2020. "The empirical linkages among market returns, return volatility, and trading volume: Evidence from the S&P 500 VIX Futures," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    56. Todorova, Neda & Souček, Michael, 2014. "The impact of trading volume, number of trades and overnight returns on forecasting the daily realized range," Economic Modelling, Elsevier, vol. 36(C), pages 332-340.

  9. Cordis, Adriana S. & Kirby, Chris, 2011. "Regime-switching factor models in which the number of factors defines the regime," Economics Letters, Elsevier, vol. 112(2), pages 198-201, August.

    Cited by:

    1. Ergemen, Yunus Emre & Rodríguez-Caballero, C. Vladimir, 2023. "Estimation of a dynamic multi-level factor model with possible long-range dependence," International Journal of Forecasting, Elsevier, vol. 39(1), pages 405-430.
    2. MeiChi Huang, 2019. "A Nationwide or Localized Housing Crisis? Evidence from Structural Instability in US Housing Price and Volume Cycles," Computational Economics, Springer;Society for Computational Economics, vol. 53(4), pages 1547-1563, April.

  10. Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2008. "The specification of GARCH models with stochastic covariates," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(10), pages 911-934, October.

    Cited by:

    1. Heejoon Han & Dennis Kristensen, 2012. "Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates," CREATES Research Papers 2012-25, Department of Economics and Business Economics, Aarhus University.
    2. Sabbaghi, Omid, 2011. "Asymmetric volatility and trading volume: The G5 evidence," Global Finance Journal, Elsevier, vol. 22(2), pages 169-181.
    3. Bu, Ruijun & Kim, Jihyun & Wang, Bin, 2023. "Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications," Journal of Econometrics, Elsevier, vol. 235(2), pages 1934-1954.

  11. David Chan & Robert Kohn & Chris Kirby, 2006. "Multivariate Stochastic Volatility Models with Correlated Errors," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 245-274.

    Cited by:

    1. Jacek Osiewalski & Anna Pajor, 2009. "Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(2), pages 179-202, November.
    2. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
    3. Tsunehiro Ishihara & Yasuhiro Omori, 2009. "Efficient Bayesian estimation of a multivariate stochastic volatility model with cross leverage and heavy-tailed errors," CARF F-Series CARF-F-198, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    4. Mike K. P. So & C. Y. Choi, 2009. "A threshold factor multivariate stochastic volatility model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 712-735.
    5. Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
    6. Asai, M. & Caporin, M. & McAleer, M.J., 2012. "Forecasting Value-at-Risk Using Block Structure Multivariate Stochastic Volatility Models," Econometric Institute Research Papers EI 2012-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    7. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    8. Kurose, Yuta & Omori, Yasuhiro, 2020. "Multiple-block dynamic equicorrelations with realized measures, leverage and endogeneity," Econometrics and Statistics, Elsevier, vol. 13(C), pages 46-68.
    9. Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014. "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series CIRJE-F-932, CIRJE, Faculty of Economics, University of Tokyo.
    10. Yuta Kurose & Yasuhiro Omori, 2014. "Dynamic Equicorrelation Stochastic Volatility," CIRJE F-Series CIRJE-F-941, CIRJE, Faculty of Economics, University of Tokyo.
    11. Michael Smith & Andrew Pitts, 2006. "Foreign Exchange Intervention by the Bank of Japan: Bayesian Analysis Using a Bivariate Stochastic Volatility Model," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 425-451.
    12. Jun Yu & Renate Meyer, 2006. "Multivariate Stochastic Volatility Models: Bayesian Estimation and Model Comparison," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 361-384.
    13. Jouchi Nakajima & Tsuyoshi Kunihama & Yasuhiro Omori, 2015. "Bayesian Modeling of Dynamic Extreme Values: Extension of Generalized Extreme Value Distributions with Latent Stochastic Processes ," CIRJE F-Series CIRJE-F-952, CIRJE, Faculty of Economics, University of Tokyo.
    14. Yuta Kurose & Yasuhiro Omori, 2016. "Multiple-block Dynamic Equicorrelations with Realized Measures, Leverage and Endogeneity," CIRJE F-Series CIRJE-F-1024, CIRJE, Faculty of Economics, University of Tokyo.
    15. Mao, Xiuping & Ruiz Ortega, Esther & Lopes Moreira Da Veiga, María Helena, 2013. "One for all : nesting asymmetric stochastic volatility models," DES - Working Papers. Statistics and Econometrics. WS ws131110, Universidad Carlos III de Madrid. Departamento de Estadística.
    16. Philipp Otto & Osman Dou{g}an & Suleyman Tac{s}p{i}nar & Wolfgang Schmid & Anil K. Bera, 2023. "Spatial and Spatiotemporal Volatility Models: A Review," Papers 2308.13061, arXiv.org.
    17. So, Mike K.P. & Choi, C.Y., 2008. "A multivariate threshold stochastic volatility model," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(3), pages 306-317.
    18. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
    19. Roberto Casarin & Domenico Sartore & Marco Tronzano, 2018. "A Bayesian Markov-Switching Correlation Model for Contagion Analysis on Exchange Rate Markets," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(1), pages 101-114, January.
    20. McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.

  12. Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2006. "Information, Trading, and Volatility: Evidence from Weather‐Sensitive Markets," Journal of Finance, American Finance Association, vol. 61(6), pages 2899-2930, December.

    Cited by:

    1. Isengildina-Massa, Olga & Irwin, Scott H. & Good, Darrel L. & Gomez, Jennifer K., 2008. "The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 40(1), pages 1-15, April.
    2. Gaurav Raizada & Vartika Srivastava & S. V. D. Nageswara Rao, 2020. "Shall One Sit “Longer” for a Free Lunch? Impact of Trading Durations on the Realized Variances and Volatility Spillovers," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 18(1), pages 1-28, March.
    3. Liang, Chao & Xia, Zhenglan & Lai, Xiaodong & Wang, Lu, 2022. "Natural gas volatility prediction: Fresh evidence from extreme weather and extended GARCH-MIDAS-ES model," Energy Economics, Elsevier, vol. 116(C).
    4. Henry He Huang & Joseph Kerstein & Chong Wang, 2018. "The impact of climate risk on firm performance and financing choices: An international comparison," Journal of International Business Studies, Palgrave Macmillan;Academy of International Business, vol. 49(5), pages 633-656, July.
    5. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2012. "The Adverse Impact of Gradual Temperature Change on Capital Investment," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124676, Agricultural and Applied Economics Association.
    6. Qin Wang & Hsiao-Fen Yang, 2015. "Earnings announcements, trading volume, and price discovery: evidence from dual class firms," Review of Quantitative Finance and Accounting, Springer, vol. 44(4), pages 669-700, May.
    7. Balvers, Ronald & Du, Ding & Zhao, Xiaobing, 2017. "Temperature shocks and the cost of equity capital: Implications for climate change perceptions," Journal of Banking & Finance, Elsevier, vol. 77(C), pages 18-34.
    8. Sirimon Treepongkaruna & Stephen Gray, 2009. "Information and volatility links in the foreign exchange market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 49(2), pages 385-405, June.
    9. Fung, Hung-Gay & Tse, Yiuman & Yau, Jot & Zhao, Lin, 2013. "A leader of the world commodity futures markets in the making? The case of China's commodity futures," International Review of Financial Analysis, Elsevier, vol. 27(C), pages 103-114.
    10. Vicente Medina Martínez & Ángel Pardo Tornero, 2012. "Stylized facts of CO2 returns," Working Papers. Serie AD 2012-14, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    11. Batten, Jonathan A. & Ciner, Cetin & Lucey, Brian M., 2010. "The macroeconomic determinants of volatility in precious metals markets," Resources Policy, Elsevier, vol. 35(2), pages 65-71, June.
    12. Hörner, Johannes & Lovo, Stefano & Tomala, Tristan, 2018. "Belief-free price formation," Journal of Financial Economics, Elsevier, vol. 127(2), pages 342-365.
    13. Wang, Junbo & Wu, Chunchi, 2015. "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 183-203.
    14. Yiuman Tse & Jose A. Gutierrez, 2009. "Where does Volatility and Return Come From? The Case of Asian ETFs," Working Papers 0063, College of Business, University of Texas at San Antonio.
    15. Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
    16. Shalini, Velappan & Prasanna, Krishna, 2016. "Impact of the financial crisis on Indian commodity markets: Structural breaks and volatility dynamics," Energy Economics, Elsevier, vol. 53(C), pages 40-57.
    17. Li, Jianping & Li, Guowen & Liu, Mingxi & Zhu, Xiaoqian & Wei, Lu, 2022. "A novel text-based framework for forecasting agricultural futures using massive online news headlines," International Journal of Forecasting, Elsevier, vol. 38(1), pages 35-50.
    18. Yiuman Tse & Brian C. McTier & John K. Wald, 2011. "Do Stock Markets Catch the Flu? We examine the impact of influenza on the U.S. stock market. A higher incidence of flu is associated with decreased trading, decreased volatility, and higher bid-ask sp," Working Papers 0004, College of Business, University of Texas at San Antonio.
    19. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
    20. Haensly, Paul J., 2022. "Lessons from naïve diversification about the risk-reward trade-off," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    21. Gutierrez, Jose A. & Martinez, Valeria & Tse, Yiuman, 2009. "Where does return and volatility come from? The case of Asian ETFs," International Review of Economics & Finance, Elsevier, vol. 18(4), pages 671-679, October.
    22. Mu, Xiaoyi, 2007. "Weather, storage, and natural gas price dynamics: Fundamentals and volatility," Energy Economics, Elsevier, vol. 29(1), pages 46-63, January.
    23. Yao An & Ning Liu & Lin Zhang & Huanhuan Zheng, 2022. "Adapting to climate risks through cross-border investments: industrial vulnerability and smart city resilience," Climatic Change, Springer, vol. 174(1), pages 1-29, September.
    24. Jin, Na, 2011. "Three essays on commodity futures and options markets," ISU General Staff Papers 201101010800001428, Iowa State University, Department of Economics.
    25. Hsin, Chin-Wen & Tseng, Po-Wen, 2012. "Stock price synchronicities and speculative trading in emerging markets," Journal of Multinational Financial Management, Elsevier, vol. 22(3), pages 82-109.
    26. Katherine B. Ensor & Yu Han & Barbara Ostdiek & Stuart M. Turnbull, 2020. "Dynamic jump intensities and news arrival in oil futures markets," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 292-325, July.

  13. Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2006. "Stochastic Volatility, Trading Volume, and the Daily Flow of Information," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1551-1590, May.

    Cited by:

    1. Rossi, Eduardo & Santucci de Magistris, Paolo, 2013. "Long memory and tail dependence in trading volume and volatility," Journal of Empirical Finance, Elsevier, vol. 22(C), pages 94-112.
    2. Asai, Manabu & Brugal, Ivan, 2013. "Forecasting volatility via stock return, range, trading volume and spillover effects: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 25(C), pages 202-213.
    3. Sirimon Treepongkaruna & Robert Brooks & Stephen Gray, 2012. "Do trading hours affect volatility links in the foreign exchange market?," Australian Journal of Management, Australian School of Business, vol. 37(1), pages 7-27, April.
    4. Chang, Yoosoon & Isaac Miller, J. & Park, Joon Y., 2009. "Extracting a common stochastic trend: Theory with some applications," Journal of Econometrics, Elsevier, vol. 150(2), pages 231-247, June.
    5. Ho, Kin-Yip & Zheng, Lin & Zhang, Zhaoyong, 2012. "Volume, volatility and information linkages in the stock and option markets," Review of Financial Economics, Elsevier, vol. 21(4), pages 168-174.
    6. Ai-ru (Meg) Cheng & Yin-Wong Cheung, 2008. "Return, Trading Volume, and Market Depth in Currency Futures Markets," Working Papers 202008, Hong Kong Institute for Monetary Research.
    7. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "Amplitude-Duration-Persistence Trade-off Relationship for Long Term Bear Stock Markets," MPRA Paper 54177, University Library of Munich, Germany.
    8. Shen, Dehua & Li, Xiao & Zhang, Wei, 2018. "Baidu news information flow and return volatility: Evidence for the Sequential Information Arrival Hypothesis," Economic Modelling, Elsevier, vol. 69(C), pages 127-133.
    9. Keunbae Ahn, 2021. "Predictable Fluctuations in the Cross-Section and Time-Series of Asset Prices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2021.
    10. Chundakkadan, Radeef & Sasidharan, Subash, 2019. "Liquidity pull-back and predictability of government security yield volatility," Economic Modelling, Elsevier, vol. 77(C), pages 124-132.
    11. Czudaj, Robert L., 2019. "Dynamics between trading volume, volatility and open interest in agricultural futures markets: A Bayesian time-varying coefficient approach," Econometrics and Statistics, Elsevier, vol. 12(C), pages 78-145.
    12. Manabu Asai & Michael McAleer, 2017. "Forecasting the volatility of Nikkei 225 futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 37(11), pages 1141-1152, November.
    13. Sabbaghi, Omid, 2011. "Asymmetric volatility and trading volume: The G5 evidence," Global Finance Journal, Elsevier, vol. 22(2), pages 169-181.
    14. Li, Ziran & Sun, Jiajing & Wang, Shouyang, 2013. "An information diffusion-based model of oil futures price," Energy Economics, Elsevier, vol. 36(C), pages 518-525.
    15. He, Xue-Zhong & Li, Kai & Santi, Caterina & Shi, Lei, 2022. "Social interaction, volatility clustering, and momentum," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 125-149.
    16. Koubaa, Yosra & Slim, Skander, 2019. "The relationship between trading activity and stock market volatility: Does the volume threshold matter?," Economic Modelling, Elsevier, vol. 82(C), pages 168-184.
    17. Amir Rubin & Daniel Smith, 2010. "Comparing Different Explanations of the Volatility Trend," NCER Working Paper Series 68, National Centre for Econometric Research.
    18. Shimokawa, Tetsuya & Suzuki, Kyoko & Misawa, Tadanobu, 2007. "An agent-based approach to financial stylized facts," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 379(1), pages 207-225.
    19. Jawadi Fredj & Ureche-Rangau Loredana, 2013. "Threshold linkages between volatility and trading volume: evidence from developed and emerging markets," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 17(3), pages 313-333, May.
    20. Kate Phylaktis & Antonis Aristidou, 2013. "Margin Changes and Futures Trading Activity: a New Approach," European Financial Management, European Financial Management Association, vol. 19(1), pages 45-71, January.
    21. Wai Fong & Wing Wong, 2006. "The modified mixture of distributions model: a revisit," Annals of Finance, Springer, vol. 2(2), pages 167-178, March.
    22. Luo, Dan & Mao, Yipeng, 2021. "Fundamental volatility and informative trading volume in a rational expectations equilibrium," Economic Modelling, Elsevier, vol. 105(C).
    23. Wang, Junbo & Wu, Chunchi, 2015. "Liquidity, credit quality, and the relation between volatility and trading activity: Evidence from the corporate bond market," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 183-203.
    24. Farag, Hisham & Cressy, Robert, 2011. "Do regulatory policies affect the flow of information in emerging markets?," Research in International Business and Finance, Elsevier, vol. 25(3), pages 238-254, September.
    25. Park, Beum-Jo, 2022. "The COVID-19 pandemic, volatility, and trading behavior in the bitcoin futures market," Research in International Business and Finance, Elsevier, vol. 59(C).
    26. Fleming, Jeff & Kirby, Chris, 2011. "Long memory in volatility and trading volume," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1714-1726, July.
    27. Chang, Yoosoon & Miller, J. Isaac & Park, Joon Y., 2005. "Extracting a Common Stochastic Trend: Theories with Some Applications," Working Papers 2005-06, Rice University, Department of Economics.
    28. Sin, Chor-Yiu (CY), 2013. "Using CARRX models to study factors affecting the volatilities of Asian equity markets," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 552-564.
    29. Matthew Pritsker, 2005. "Large investors: implications for equilibrium asset, returns, shock absorption, and liquidity," Finance and Economics Discussion Series 2005-36, Board of Governors of the Federal Reserve System (U.S.).
    30. Xiong Xiong & Zhang Jin & Feng Xu & Jin Xi, 2016. "Review on Financial Innovations in Big Data Era," Journal of Systems Science and Information, De Gruyter, vol. 4(6), pages 489-504, December.
    31. Marvasti, Akbar & Lamberte, Antonio, 2016. "Commodity price volatility under regulatory changes and disaster," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 355-361.
    32. Mougoué, Mbodja & Aggarwal, Raj, 2011. "Trading volume and exchange rate volatility: Evidence for the sequential arrival of information hypothesis," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2690-2703, October.
    33. Tripathi, Abhinava & Pandey, Ashish, 2021. "Information dissemination across global markets during the spread of COVID-19 pandemic," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 103-115.
    34. Vasyl Golosnoy & Yarema Okhrin, 2015. "Using information quality for volatility model combinations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1055-1073, June.
    35. Zhang, Yongjie & Feng, Lina & Jin, Xi & Shen, Dehua & Xiong, Xiong & Zhang, Wei, 2014. "Internet information arrival and volatility of SME PRICE INDEX," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 399(C), pages 70-74.
    36. Park, Beum-Jo, 2010. "Surprising information, the MDH, and the relationship between volatility and trading volume," Journal of Financial Markets, Elsevier, vol. 13(3), pages 344-366, August.
    37. Pengfei Wang & Wei Zhang & Xiao Li & Dehua Shen, 2019. "Trading volume and return volatility of Bitcoin market: evidence for the sequential information arrival hypothesis," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 14(2), pages 377-418, June.
    38. Loredana Ureche-Rangau & Fabien Collado & Ulysse Galiay, 2011. "The dynamics of the volatility – trading volume relationship: New evidence from developed and emerging markets," Economics Bulletin, AccessEcon, vol. 31(3), pages 2569-2583.

  14. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 2006. "Bootstrap tests of multiple inequality restrictions on variance ratios," Economics Letters, Elsevier, vol. 91(3), pages 343-348, June.

    Cited by:

    1. Amélie Charles & Olivier Darné, 2009. "Variance‐Ratio Tests Of Random Walk: An Overview," Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
    2. Le-Yu Chen & Jerzy Szroeter, 2009. "Hypothesis testing of multiple inequalities: the method of constraint chaining," CeMMAP working papers CWP13/09, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.

  15. Kirby, Chris, 2006. "Linear filtering for asymmetric stochastic volatility models," Economics Letters, Elsevier, vol. 92(2), pages 284-292, August.

    Cited by:

    1. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    2. Hang Qian, 2014. "A Flexible State Space Model And Its Applications," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(2), pages 79-88, March.
    3. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.

  16. Jeff Fleming & Chris Kirby, 2003. "A Closer Look at the Relation between GARCH and Stochastic Autoregressive Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 365-419.

    Cited by:

    1. Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper 2008-15, Federal Reserve Bank of Atlanta.
    2. Caldeira, João F. & Moura, Guilherme V. & Santos, André A.P., 2016. "Bond portfolio optimization using dynamic factor models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 128-158.
    3. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2012. "GARCH Option Valuation: Theory and Evidence," CREATES Research Papers 2012-50, Department of Economics and Business Economics, Aarhus University.
    4. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    5. Kirby, Chris, 2006. "Linear filtering for asymmetric stochastic volatility models," Economics Letters, Elsevier, vol. 92(2), pages 284-292, August.
    6. Xing Yan & Weizhong Zhang & Lin Ma & Wei Liu & Qi Wu, 2020. "Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning," Papers 2010.08263, arXiv.org.
    7. Jacek Osiewalski & Anna Pajor, 2009. "Bayesian Analysis for Hybrid MSF-SBEKK Models of Multivariate Volatility," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 1(2), pages 179-202, November.
    8. Christoffersen, Peter & Jacobs, Kris & Ornthanalai, Chayawat, 2012. "Dynamic jump intensities and risk premiums: Evidence from S&P500 returns and options," Journal of Financial Economics, Elsevier, vol. 106(3), pages 447-472.
    9. Fulvio Corsi & Francesco Audrino, 2012. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 591-616, September.
    10. Ilias Tsiakas, 2004. "Analysis of the predictive ability of information accumulated over nights, weekends and holidays," Econometric Society 2004 Australasian Meetings 208, Econometric Society.
    11. Liu, Xiaochun, 2021. "On fiscal and monetary policy-induced macroeconomic volatility dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    12. Su, Fei & Wang, Xinyi & Yuan, Yulin, 2022. "The intraday dynamics and intraday price discovery of bitcoin," Research in International Business and Finance, Elsevier, vol. 60(C).
    13. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2013. "The Conditional CAPM, Cross-Section Returns and Stochastic Volatility," MPRA Paper 52469, University Library of Munich, Germany.
    14. Ren-Her Wang & John Aston & Cheng-Der Fuh, 2010. "The Role of Additional Information in Option Pricing: Estimation Issues for the State Space Model," Computational Economics, Springer;Society for Computational Economics, vol. 36(4), pages 283-307, December.
    15. Chih-Wei Lee & Cheng-Kun Kuo, 2015. "Combining hazard rates with the CreditGrades model: A hybrid method to value CDS contracts," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(04), pages 1-14, December.
    16. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    17. Franses, Ph.H.B.F. & van der Leij, M.J. & Paap, R., 2005. "A simple test for GARCH against a stochastic volatility," Econometric Institute Research Papers EI 2005-41, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    18. Prateek Sharma & Vipul _, 2015. "Forecasting stock index volatility with GARCH models: international evidence," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 32(4), pages 445-463, October.
    19. Diego Ferreira & Andreza Aparecida Palma, 2018. "Inflation And Inflation Uncertainty In Latin America: A Time-Varying Stochastic Volatility In Mean Approach," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 125, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    20. Jean Pierre Fernández Prada Saucedo & Gabriel Rodríguez, 2020. "Modeling the Volatility of Returns on Commodities: An Application and Empirical Comparison of GARCH and SV Models," Documentos de Trabajo / Working Papers 2020-484, Departamento de Economía - Pontificia Universidad Católica del Perú.
    21. John M Maheu & Thomas H McCurdy, 2007. "Modeling foreign exchange rates with jumps," Working Papers tecipa-279, University of Toronto, Department of Economics.
    22. Fung, Ka Wai Terence & Lau, Chi Keung Marco & Chan, Kwok Ho, 2014. "The conditional equity premium, cross-sectional returns and stochastic volatility," Economic Modelling, Elsevier, vol. 38(C), pages 316-327.
    23. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2005. "Volatility forecasting," CFS Working Paper Series 2005/08, Center for Financial Studies (CFS).
    24. Jeff Fleming & Chris Kirby & Barbara Ostdiek, 2006. "Stochastic Volatility, Trading Volume, and the Daily Flow of Information," The Journal of Business, University of Chicago Press, vol. 79(3), pages 1551-1590, May.
    25. Simon Lalancette & Jean†Guy Simonato, 2017. "The Role of the Conditional Skewness and Kurtosis in VIX Index Valuation," European Financial Management, European Financial Management Association, vol. 23(2), pages 325-354, March.
    26. Norris I. Bruce, 2008. "Pooling and Dynamic Forgetting Effects in Multitheme Advertising: Tracking the Advertising Sales Relationship with Particle Filters," Marketing Science, INFORMS, vol. 27(4), pages 659-673, 07-08.
    27. Richard Hawkes & Paresh Date, 2007. "Medium‐term horizon volatility forecasting: A comparative study," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 23(6), pages 465-481, November.
    28. Stentoft, Lars, 2011. "American option pricing with discrete and continuous time models: An empirical comparison," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 880-902.
    29. Peter Christoffersen & Kris Jacobs & Chayawat Ornthanalai, 2009. "Exploring Time-Varying Jump Intensities: Evidence from S&P500 Returns and Options," CIRANO Working Papers 2009s-34, CIRANO.
    30. Ender Demir & Ka Wai Terence Fung & Zhou Lu, 2016. "Capital Asset Pricing Model and Stochastic Volatility: A Case Study of India," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(1), pages 52-65, January.
    31. Wu, Qi & Yan, Xing, 2019. "Capturing deep tail risk via sequential learning of quantile dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    32. Tsiakas, Ilias, 2008. "Overnight information and stochastic volatility: A study of European and US stock exchanges," Journal of Banking & Finance, Elsevier, vol. 32(2), pages 251-268, February.
    33. Vasyl Golosnoy & Yarema Okhrin, 2015. "Using information quality for volatility model combinations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1055-1073, June.
    34. Dennis Koch & Vahidin Jeleskovic & Zahid I. Younas, 2024. "Modelling and Predicting the Conditional Variance of Bitcoin Daily Returns: Comparsion of Markov Switching GARCH and SV Models," Papers 2401.03393, arXiv.org, revised Jan 2024.

  17. Fleming, Jeff & Kirby, Chris & Ostdiek, Barbara, 2003. "The economic value of volatility timing using "realized" volatility," Journal of Financial Economics, Elsevier, vol. 67(3), pages 473-509, March.

    Cited by:

    1. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-scale portfolio allocation under transaction costs and model uncertainty," CFS Working Paper Series 582, Center for Financial Studies (CFS).
    2. Panagiotis Schizas & Dimitrios D. Thomakos, 2015. "Market timing and trading strategies using asset rotation: non-neutral market positioning for exploiting arbitrage opportunities," Quantitative Finance, Taylor & Francis Journals, vol. 15(2), pages 285-298, February.
    3. Márcio Gomes Pinto Garcia & Marcelo Cunha Medeiros & Francisco Eduardo de Luna e Almeida Santos, 2014. "Economic gains of realized volatility in the Brazilian stock market," Brazilian Review of Finance, Brazilian Society of Finance, vol. 12(3), pages 319-349.
    4. Markus Leippold & Hanlin Yang, 2023. "Mixed‐frequency predictive regressions with parameter learning," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 1955-1972, December.
    5. Anthony S. Tay & Peter F. Christoffersen & Francis X. Diebold & Roberto S. Mariano & Yiu Kuen Tse, 2006. "Direction-of-Change Forecasts Based on Conditional Variance, Skewness and Kurtosis Dynamics : International Evidence," Finance Working Papers 22481, East Asian Bureau of Economic Research.
    6. Fletcher, Jonathan, 2011. "Do optimal diversification strategies outperform the 1/N strategy in U.K. stock returns?," International Review of Financial Analysis, Elsevier, vol. 20(5), pages 375-385.
    7. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2017. "The contribution of jumps to forecasting the density of returns," Post-Print halshs-01442618, HAL.
    8. Dai, Zhifeng & Zhang, Xiaotong & Li, Tingyu, 2023. "Forecasting stock return volatility in data-rich environment: A new powerful predictor," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    9. Golosnoy, Vasyl & Gribisch, Bastian & Seifert, Miriam Isabel, 2019. "Exponential smoothing of realized portfolio weights," Journal of Empirical Finance, Elsevier, vol. 53(C), pages 222-237.
    10. Charoenwong, Charlie & Ding, David K. & Wang, Ping, 2013. "Short sales constraint and SEO pricing," International Review of Financial Analysis, Elsevier, vol. 29(C), pages 107-118.
    11. Fernandez-Perez, Adrian & Fuertes, Ana-Maria & Miffre, Joëlle, 2019. "A comprehensive appraisal of style-integration methods," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 134-150.
    12. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Post-Print halshs-02505861, HAL.
    13. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
    14. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    15. Lakshmi Balasubramanyan, 2005. "Do Time-Varying Covariances, Volatility Comovement and Spillover Matter?," Finance 0509002, University Library of Munich, Germany.
    16. Tim Bollerslev & Andrew J. Patton & Rogier Quaedvlieg, 2016. "Modeling and Forecasting (Un)Reliable Realized Covariances for More Reliable Financial Decisions," CREATES Research Papers 2016-10, Department of Economics and Business Economics, Aarhus University.
    17. João F. Caldeira & Guilherme V. Moura & Francisco J. Nogales & André A. P. Santos, 2017. "Combining Multivariate Volatility Forecasts: An Economic-Based Approach," Journal of Financial Econometrics, Oxford University Press, vol. 15(2), pages 247-285.
    18. Ding, Wenjie & Mazouz, Khelifa & Wang, Qingwei, 2021. "Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies," Journal of Empirical Finance, Elsevier, vol. 63(C), pages 42-56.
    19. Caporin, Massimiliano & Ranaldo, Angelo & Velo, Gabriel G., 2014. "Precious Metals Under the Microscope: A High-Frequency Analysis," Working Papers on Finance 1409, University of St. Gallen, School of Finance.
    20. Rui Pedro Brito & Hélder Sebastião & Pedro Godinho, 2017. "On the gains of using high frequency data and higher moments in Portfolio Selection," CeBER Working Papers 2017-02, Centre for Business and Economics Research (CeBER), University of Coimbra.
    21. Phan, Dinh Hoang Bach & Sharma, Susan Sunila & Narayan, Paresh Kumar, 2016. "Intraday volatility interaction between the crude oil and equity markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 40(C), pages 1-13.
    22. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    23. Meichi Huang & Chih-Chiang Wu, 2015. "Economic benefits and determinants of extreme dependences between REIT and stock returns," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 299-327, February.
    24. Fei Su & Lei Wang, 2020. "Conditional Volatility Persistence and Realized Volatility Asymmetry: Evidence from the Chinese Stock Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(14), pages 3252-3269, November.
    25. Hossein Asgharian & Charlotte Christiansen & Ai Jun Hou, 2016. "Macro-Finance Determinants of the Long-Run Stock–Bond Correlation: The DCC-MIDAS Specification," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 617-642.
    26. Diebold, Francis X. & Yilmaz, Kamil, 2015. "Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring," OUP Catalogue, Oxford University Press, number 9780199338306.
    27. Christian Hafner & Philip Hans Franses, 2009. "A Generalized Dynamic Conditional Correlation Model: Simulation and Application to Many Assets," Econometric Reviews, Taylor & Francis Journals, vol. 28(6), pages 612-631.
    28. Liu, Jing & Ma, Feng & Zhang, Yaojie, 2019. "Forecasting the Chinese stock volatility across global stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 466-477.
    29. Lyócsa, Štefan & Todorova, Neda, 2020. "Trading and non-trading period realized market volatility: Does it matter for forecasting the volatility of US stocks?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 628-645.
    30. Kim Christensen & Charlotte Christiansen & Anders M. Posselt, 2019. "The Economic Value of VIX ETPs," CREATES Research Papers 2019-14, Department of Economics and Business Economics, Aarhus University.
    31. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2005. "Practical Volatility and Correlation Modeling for Financial Market Risk Management," PIER Working Paper Archive 05-007, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    32. Trong‐Nghia Nguyen & Minh‐Ngoc Tran & Robert Kohn, 2022. "Recurrent conditional heteroskedasticity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 37(5), pages 1031-1054, August.
    33. Lillie Lam & Laurence Fung & Ip-wing Yu, 2009. "Forecasting a Large Dimensional Covariance Matrix of a Portfolio of Different Asset Classes," Working Papers 0901, Hong Kong Monetary Authority.
    34. Peter C. B. Phillips & Jun Yu, 2009. "Information Loss in Volatility Measurement with Flat Price Trading," Global COE Hi-Stat Discussion Paper Series gd08-039, Institute of Economic Research, Hitotsubashi University.
    35. Becker, R. & Clements, A.E. & Doolan, M.B. & Hurn, A.S., 2015. "Selecting volatility forecasting models for portfolio allocation purposes," International Journal of Forecasting, Elsevier, vol. 31(3), pages 849-861.
    36. Pilar Gargallo & Luis Lample & Jesús A. Miguel & Manuel Salvador, 2021. "Co-Movements between Eu Ets and the Energy Markets: A Var-Dcc-Garch Approach," Mathematics, MDPI, vol. 9(15), pages 1-36, July.
    37. Sévi, Benoît, 2014. "Forecasting the volatility of crude oil futures using intraday data," European Journal of Operational Research, Elsevier, vol. 235(3), pages 643-659.
    38. Le Pen, Yannick & Sévi, Benoît, 2010. "Volatility transmission and volatility impulse response functions in European electricity forward markets," Energy Economics, Elsevier, vol. 32(4), pages 758-770, July.
    39. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 525-554.
    40. Wang, Yajing & Liang, Fang & Wang, Tianyi & Huang, Zhuo, 2020. "Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market," Economic Modelling, Elsevier, vol. 87(C), pages 148-157.
    41. Fengler, Matthias R. & Gisler, Katja I. M., 2014. "A variance spillover analysis without covariances: what do we miss?," Economics Working Paper Series 1409, University of St. Gallen, School of Economics and Political Science.
    42. Štefan Lyócsa & Peter Molnár, 2016. "Volatility forecasting of strategically linked commodity ETFs: gold-silver," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1809-1822, December.
    43. Kevin Sheppard & Andrew J. Patton, 2008. "Evaluating Volatility and Correlation Forecasts," Economics Series Working Papers 2008fe22, University of Oxford, Department of Economics.
    44. Tim Bollerslev & Benjamin Hood & John Huss & Lasse Heje Pedersen, 2018. "Risk Everywhere: Modeling and Managing Volatility," The Review of Financial Studies, Society for Financial Studies, vol. 31(7), pages 2729-2773.
    45. Oleg Sokolinskiy & Dick van Dijk, 2011. "Forecasting Volatility with Copula-Based Time Series Models," Tinbergen Institute Discussion Papers 11-125/4, Tinbergen Institute.
    46. Pasquale Della Corte & Lucio Sarno & Daniel L. Thornton, 2007. "The expectation hypothesis of the term structure of very short-term rates: statistical tests and economic value," Working Papers 2006-061, Federal Reserve Bank of St. Louis.
    47. Bauwens, Luc & Xu, Yongdeng, 2023. "The contribution of realized covariance models to the economic value of volatility timing," LIDAM Discussion Papers CORE 2023018, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    48. Yu‐Sheng Lai, 2018. "Estimation of the optimal futures hedge ratio for equity index portfolios using a realized beta generalized autoregressive conditional heteroskedasticity model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(11), pages 1370-1390, November.
    49. Chih-Nan Chen & Chien-Hsiu Lin, 2022. "Optimal carry trade portfolio choice under regime shifts," Review of Quantitative Finance and Accounting, Springer, vol. 59(2), pages 483-506, August.
    50. Moreira, Alan & Muir, Tyler, 2019. "Should Long-Term Investors Time Volatility?," Journal of Financial Economics, Elsevier, vol. 131(3), pages 507-527.
    51. Torben G. Andersen & Tim Bollerslev & Xin Huang, 2007. "A Reduced Form Framework for Modeling Volatility of Speculative Prices based on Realized Variation Measures," CREATES Research Papers 2007-14, Department of Economics and Business Economics, Aarhus University.
    52. Linton, Oliver & Wu, Jianbin, 2020. "A coupled component DCS-EGARCH model for intraday and overnight volatility," Journal of Econometrics, Elsevier, vol. 217(1), pages 176-201.
    53. Fulvio Corsi & Francesco Audrino, 2012. "Realized Covariance Tick-by-Tick in Presence of Rounded Time Stamps and General Microstructure Effects," Journal of Financial Econometrics, Oxford University Press, vol. 10(4), pages 591-616, September.
    54. Zhang, Yaojie & Wahab, M.I.M. & Wang, Yudong, 2023. "Forecasting crude oil market volatility using variable selection and common factor," International Journal of Forecasting, Elsevier, vol. 39(1), pages 486-502.
    55. Guo, Xiaozhu & Huang, Dengshi & Li, Xiafei & Liang, Chao, 2023. "Are categorical EPU indices predictable for carbon futures volatility? Evidence from the machine learning method," International Review of Economics & Finance, Elsevier, vol. 83(C), pages 672-693.
    56. Luo, Jiawen & Klein, Tony & Walther, Thomas & Ji, Qiang, 2021. "Forecasting Realized Volatility of Crude Oil Futures Prices based on Machine Learning," QBS Working Paper Series 2021/04, Queen's University Belfast, Queen's Business School.
    57. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    58. R. P. Brito & H. Sebastião & P. Godinho, 2017. "Portfolio choice with high frequency data: CRRA preferences and the liquidity effect," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(2), pages 65-86, August.
    59. Ralf Becker & Adam Clements & Robert O'Neill, 2018. "A Multivariate Kernel Approach to Forecasting the Variance Covariance of Stock Market Returns," Econometrics, MDPI, vol. 6(1), pages 1-27, February.
    60. Andersen, Torben G. & Bollerslev, Tim & Francis X. Diebold,, 2003. "Some Like it Smooth, and Some Like it Rough: Untangling Continuous and Jump Components in Measuring, Modeling, and Forecasting Asset Return Volatility," CFS Working Paper Series 2003/35, Center for Financial Studies (CFS).
    61. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2004. "A Jackknife Estimator for Tracking Error Variance of Optimal Portfolios Constructed Using Estimated Inputs1," NBER Working Papers 10447, National Bureau of Economic Research, Inc.
    62. Gomes, Francisco J., 2007. "Exploiting short-run predictability," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1427-1440, May.
    63. Vortelinos, Dimitrios I., 2013. "Portfolio analysis of intraday covariance matrix in the Greek equity market," Research in International Business and Finance, Elsevier, vol. 27(1), pages 66-79.
    64. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
    65. Herwartz, Helmut & Golosnoy, Vasyl, 2007. "Semiparametric Approaches to the Prediction of Conditional Correlation Matrices in Finance," Economics Working Papers 2007-23, Christian-Albrechts-University of Kiel, Department of Economics.
    66. Gopal K. Basak & Ravi Jagannathan & Tongshu Ma, 2009. "Jackknife Estimator for Tracking Error Variance of Optimal Portfolios," Management Science, INFORMS, vol. 55(6), pages 990-1002, June.
    67. Wu, Chih-Chiang & Wu, Chang-Che, 2017. "The asymmetry in carry trade and the U.S. dollar," The Quarterly Review of Economics and Finance, Elsevier, vol. 65(C), pages 304-313.
    68. Chiriac, Roxana & Voev, Valeri, 2008. "Modelling and forecasting multivariate realized volatility," CoFE Discussion Papers 08/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
    69. Vincenzo Candila, 2013. "A Comparison of the Forecasting Performances of Multivariate Volatility Models," Working Papers 3_228, Dipartimento di Scienze Economiche e Statistiche, Università degli Studi di Salerno.
    70. Yi, Chae-Deug, 2020. "Jump probability using volatility periodicity filters in US Dollar/Euro exchange rates," The North American Journal of Economics and Finance, Elsevier, vol. 53(C).
    71. Yu‐Sheng Lai, 2022. "High‐frequency data and stock–bond investing," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 41(8), pages 1623-1638, December.
    72. Vassallo, Danilo & Buccheri, Giuseppe & Corsi, Fulvio, 2021. "A DCC-type approach for realized covariance modeling with score-driven dynamics," International Journal of Forecasting, Elsevier, vol. 37(2), pages 569-586.
    73. Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
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    83. Wu, Chih-Chiang & Liang, Shin-Shun, 2011. "The economic value of range-based covariance between stock and bond returns with dynamic copulas," Journal of Empirical Finance, Elsevier, vol. 18(4), pages 711-727, September.
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  20. Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-382.

    Cited by:

    1. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
    2. Cesare Robotti, 2003. "Dynamic strategies, asset pricing models, and the out-of-sample performance of the tangency portfolio," FRB Atlanta Working Paper 2003-6, Federal Reserve Bank of Atlanta.
    3. Yao, Juan & Gao, Jiti & Alles, Lakshman, 2005. "Dynamic investigation into the predictability of Australian industrial stock returns: Using financial and economic information," Pacific-Basin Finance Journal, Elsevier, vol. 13(2), pages 225-245, March.
    4. Raymond Kan & Cesare Robotti, 2006. "Specification tests of asset pricing models using excess returns," FRB Atlanta Working Paper 2006-10, Federal Reserve Bank of Atlanta.
    5. Pierluigi Balduzzi & Cesare Robotti, 2005. "Asset-pricing models and economic risk premia: a decomposition," FRB Atlanta Working Paper 2005-13, Federal Reserve Bank of Atlanta.
    6. Narayan, Paresh Kumar & Bannigidadmath, Deepa, 2015. "Are Indian stock returns predictable?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 506-531.
    7. Neely, Christopher J., 2022. "How persistent are unconventional monetary policy effects?," Journal of International Money and Finance, Elsevier, vol. 126(C).
    8. Uppal, Raman & Kogan, Leonid, 2002. "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers 3306, C.E.P.R. Discussion Papers.
    9. Lioui, Abraham & Poncet, Patrice, 2003. "International asset allocation: A new perspective," Journal of Banking & Finance, Elsevier, vol. 27(11), pages 2203-2230, November.
    10. Fletcher, Jonathan, 2001. "An examination of predictable risk and return in UK stock returns," Journal of Economics and Business, Elsevier, vol. 53(6), pages 527-546.
    11. Bali, Turan G. & Cakici, Nusret & Chabi-Yo, Fousseni, 2015. "A new approach to measuring riskiness in the equity market: Implications for the risk premium," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 101-117.
    12. Nijman, T.E. & de Roon, F.A., 2001. "Testing for mean-variance spanning : A survey," Other publications TiSEM 0159f80a-c61b-4519-b004-a, Tilburg University, School of Economics and Management.
    13. Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
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    32. Doron Avramov, "undated". "Stock-Return Predictability and Model Uncertainty," Rodney L. White Center for Financial Research Working Papers 12-00, Wharton School Rodney L. White Center for Financial Research.
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    36. Zhou, Guofu, 2010. "How much stock return predictability can we expect from an asset pricing model?," Economics Letters, Elsevier, vol. 108(2), pages 184-186, August.

  21. Kirby, Chris, 1997. "Measuring the Predictable Variation in Stock and Bond Returns," The Review of Financial Studies, Society for Financial Studies, vol. 10(3), pages 579-630.

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    1. Sellin, Peter, 1998. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Working Paper Series 72, Sveriges Riksbank (Central Bank of Sweden).
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    4. Robert J. Shiller, 1998. "Human Behavior and the Efficiency of the Financial System," NBER Working Papers 6375, National Bureau of Economic Research, Inc.
    5. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 529, European Central Bank.
    6. Mark E. Wohar & David E. Rapach, 2005. "Valuation ratios and long-horizon stock price predictability," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(3), pages 327-344.
    7. Christopher Busch & David Domeij & Fatih Guvenen & Rocio Madera, 2020. "Skewed Idiosyncratic Income Risk over the Business Cycle: Sources and Insurance," Working Papers 1180, Barcelona School of Economics.
    8. Xu, Yexiao, 2004. "Small levels of predictability and large economic gains," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 247-275, March.
    9. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
    10. Gagnon, Marie-Hélène & Power, Gabriel J. & Toupin, Dominique, 2023. "The sum of all fears: Forecasting international returns using option-implied risk measures," Journal of Banking & Finance, Elsevier, vol. 146(C).
    11. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," LIDAM Discussion Papers CORE 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    12. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
    13. Arize, Augustine C. & Malindretos, John & Nippani, Srinivas, 2004. "Variations in exchange rates and inflation in 82 countries: an empirical investigation," The North American Journal of Economics and Finance, Elsevier, vol. 15(2), pages 227-247, August.
    14. Simin, Timothy, 2008. "The Poor Predictive Performance of Asset Pricing Models," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 355-380, June.
    15. Rangan Gupta & Mampho P. Modise, 2010. "South African Stock Return Predictability in the Context of Data Mining: The Role of Financial Variables and International Stock Returns," Working Papers 201027, University of Pretoria, Department of Economics.
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    18. Austin Murphy & Anandi Sahu, 2001. "Empirical evidence of a positive inflation premium being incorporated into stock prices," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 29(2), pages 177-185, June.
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    20. Patrick J. Coe & James M. Nason, 2004. "Long-run monetary neutrality and long-horizon regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 19(3), pages 355-373.
    21. Hahn, Jaehoon & Lee, Hangyong, 2006. "Interpreting the predictive power of the consumption-wealth ratio," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 183-202, March.
    22. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, vol. 21(1), pages 137-166.
    23. Marie-Hélène Gagnon & Gabriel Power & Dominique Toupin, 2018. "Forecasting International Index Returns using Option-implied Variables," Cahiers de recherche 1807, Centre de recherche sur les risques, les enjeux économiques, et les politiques publiques.
    24. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
    25. Kirby, Chris, 1998. "The Restrictions on Predictability Implied by Rational Asset Pricing Models," The Review of Financial Studies, Society for Financial Studies, vol. 11(2), pages 343-382.
    26. Rapach, David E. & Wohar, Mark E., 2006. "In-sample vs. out-of-sample tests of stock return predictability in the context of data mining," Journal of Empirical Finance, Elsevier, vol. 13(2), pages 231-247, March.
    27. Christoffersen, Peter F. & Diebold, Francis X., 2003. "Financial asset returns, direction-of-change forecasting, and volatility dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies (CFS).
    28. Jorge Selaive & Vicente Tuesta R, 2005. "Can Fluctuations in the Consumption-Wealth Ratio Help to Predict Exchange Rates?," Working Papers 2005-002, Banco Central de Reserva del Perú.
    29. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
    30. Mark E. Wohar & David E. Rapach, 2005. "Return Predictability and the Implied Intertemporal Hedging Demands for Stocks and Bonds: International Evidence," Computing in Economics and Finance 2005 329, Society for Computational Economics.
    31. Kilian, Lutz, 1999. "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(5), pages 491-510, Sept.-Oct.
    32. Wang, Zhenyu & Zhang, Xiaoyan, 2012. "Empirical evaluation of asset pricing models: Arbitrage and pricing errors in contingent claims," Journal of Empirical Finance, Elsevier, vol. 19(1), pages 65-78.
    33. Nida Çakır Melek & Charles W. Calomiris & Harry Mamaysky, 2020. "Mining for Oil Forecasts," Research Working Paper RWP 20-20, Federal Reserve Bank of Kansas City.
    34. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-Run Stock Market Outlook: An Update," NBER Working Papers 8221, National Bureau of Economic Research, Inc.
    35. Charles W. Calomiris & Nida Çakır Melek & Harry Mamaysky, 2021. "Predicting the Oil Market," NBER Working Papers 29379, National Bureau of Economic Research, Inc.
    36. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
    37. Belter, Klaus & Engsted, Tom & Tanggaard, Carsten, 2003. "A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability," Finance Working Papers 03-1, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    38. Bekaert, Geert & Liu, Jun, 2001. "Conditioning Information and Variance on Pricing Kernals," University of California at Los Angeles, Anderson Graduate School of Management qt9m7392rq, Anderson Graduate School of Management, UCLA.
    39. Serletis, Apostolos & Gogas, Periklis, 2004. "Long-horizon regression tests of the theory of purchasing power parity," Journal of Banking & Finance, Elsevier, vol. 28(8), pages 1961-1985, August.
    40. Peter Sellin, 2001. "Monetary Policy and the Stock Market: Theory and Empirical Evidence," Journal of Economic Surveys, Wiley Blackwell, vol. 15(4), pages 491-541, September.
    41. Mark Kamstra, 2003. "Pricing firms on the basis of fundamentals," Economic Review, Federal Reserve Bank of Atlanta, vol. 88(Q1), pages 49-70.
    42. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006 129, Money Macro and Finance Research Group.
    43. Mika Vaihekoski, 1998. "Short-term returns and the predictability of Finnish stock returns," Finnish Economic Papers, Finnish Economic Association, vol. 11(1), pages 19-36, Spring.
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