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Citations for "The empirical risk-return relation: A factor analysis approach"

by Ludvigson, Sydney C. & Ng, Serena

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  1. Rangan Gupta & Shawkat Hammoudeh & Mampho P. Modise & Duc Khuong Nguyen, 2013. "Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?," Working Papers 201351, University of Pretoria, Department of Economics.
  2. Cavicchioli, Maddalena & Forni, Mario & Lippi, Marco & Zaffaroni, Paolo, 2016. "Eigenvalue Ratio Estimators for the Number of Common Factors," CEPR Discussion Papers 11440, C.E.P.R. Discussion Papers.
  3. Jun Yu, 2006. "Temporal Aggregation and Risk-Return Relation," Working Papers 01-2007, Singapore Management University, School of Economics.
  4. Ioannis Kasparis & Peter C.B. Phillips, 2009. "Dynamic Misspecification in Nonparametric Cointegrating Regression," Cowles Foundation Discussion Papers 1700, Cowles Foundation for Research in Economics, Yale University.
  5. Nikolay Gospodinov & Raymond Kan & Cesare Robotti, 2012. "Robust inference in linear asset pricing models," FRB Atlanta Working Paper 2012-17, Federal Reserve Bank of Atlanta.
  6. Aslanidis, Nektarios & Christiansen, Charlotte & Lambertides, Neophytos & Savva, Christos S., 2015. "Idiosyncratic Volatility Puzzle: Influence of Macro-Finance Factors," Working Papers 2072/246968, Universitat Rovira i Virgili, Department of Economics.
  7. Guidolin, Massimo & Hyde, Stuart, 2012. "Simple VARs cannot approximate Markov switching asset allocation decisions: An out-of-sample assessment," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3546-3566.
  8. Enrique Salvador, 2012. "The Risk-Return Trade-Off in Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(6), pages 106-128, November.
  9. Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
  10. Hammoudeh, Shawkat & Yuan, Yuan & Chiang, Thomas & Nandha, Mohan, 2010. "Symmetric and asymmetric US sector return volatilities in presence of oil, financial and economic risks," Energy Policy, Elsevier, vol. 38(8), pages 3922-3932, August.
  11. Jack Fosten, 2016. "Forecast evaluation with factor-augmented models," University of East Anglia School of Economics Working Paper Series 2016-05, School of Economics, University of East Anglia, Norwich, UK..
  12. John Cotter & Enrique Salvador, 2014. "The non-linear trade-off between return and risk: a regime-switching multi-factor framework," Papers 1410.6005, arXiv.org.
  13. Aslanidis, Nektarios & Christiansen, Charlotte, 2014. "Quantiles of the realized stock–bond correlation and links to the macroeconomy," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 321-331.
  14. Elena Andreou & Eric Ghysels & Andros Kourtellos, 2010. "Should macroeconomic forecasters use daily financial data and how?," University of Cyprus Working Papers in Economics 09-2010, University of Cyprus Department of Economics.
  15. Exterkate, Peter & Groenen, Patrick J.F. & Heij, Christiaan & van Dijk, Dick, 2016. "Nonlinear forecasting with many predictors using kernel ridge regression," International Journal of Forecasting, Elsevier, vol. 32(3), pages 736-753.
  16. Lasse Bork & Hans Dewachter & Romain Houssa, 2009. "Identification of Macroeconomic Factors in Large Panels," CREATES Research Papers 2009-43, Department of Economics and Business Economics, Aarhus University.
  17. Patrick GAGLIARDINI & Elisa OSSOLA & Olivier SCAILLET, . "Time-Varying Risk Premium In Large Cross-Sectional Equidity Datasets," Swiss Finance Institute Research Paper Series 11-40, Swiss Finance Institute.
  18. Leonardo Morales-Arias & Alexander Dross, 2010. "Adaptive Forecasting of Exchange Rates with Panel Data," Research Paper Series 285, Quantitative Finance Research Centre, University of Technology, Sydney.
  19. Urban J. Jermann, 2005. "The Equity Premium Implied by Production," 2005 Meeting Papers 630, Society for Economic Dynamics.
  20. Lasse Bork, 2009. "Estimating US Monetary Policy Shocks Using a Factor-Augmented Vector Autoregression: An EM Algorithm Approach," CREATES Research Papers 2009-11, Department of Economics and Business Economics, Aarhus University.
  21. Yannick Le Pen & Benoît Sévi, 2013. "Futures trading and the excess comovement of commodity prices," Working Papers 2013-19, Department of Research, Ipag Business School.
  22. Claudio Morana, 2013. " Insights on the global macro-finance interface: Structural sources of risk factors fluctuations and the cross-section of expected stock returns," CeRP Working Papers 138, Center for Research on Pensions and Welfare Policies, Turin (Italy).
  23. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "Time‐Varying Risk Premium in Large Cross‐Sectional Equity Data Sets," Econometrica, Econometric Society, vol. 84, pages 985-1046, 05.
  24. Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, Elsevier.
  25. Lustig, Hanno & Verdelhan, Adrien, 2012. "Business cycle variation in the risk-return trade-off," Journal of Monetary Economics, Elsevier, vol. 59(S), pages S35-S49.
  26. Rangan Gupta & Mampho P. Modise, 2012. "Valuation Ratios and Stock Return Predictability in South Africa: Is It There?," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 48(1), pages 70-82, January.
  27. Lin Peng & Turan G. Bali, 2006. "Is there a risk-return trade-off? Evidence from high-frequency data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(8), pages 1169-1198.
  28. Kyle Jurado & Sydney C. Ludvigson & Serena Ng, 2013. "Measuring Uncertainty," NBER Working Papers 19456, National Bureau of Economic Research, Inc.
  29. Aslanidis, Nektarios & Christiansen, Charlotte & Savva, Christos S., 2015. "Risk-Return Trade-Off for European Stock Markets," Working Papers 2072/246967, Universitat Rovira i Virgili, Department of Economics.
  30. Gupta, Rangan & Modise, Mampho P., 2013. "Macroeconomic Variables and South African Stock Return Predictability," Economic Modelling, Elsevier, vol. 30(C), pages 612-622.
  31. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," Journal of Econometrics, Elsevier, vol. 193(2), pages 367-389.
  32. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
  33. repec:ipg:wpaper:2013-020 is not listed on IDEAS
  34. Narayan, Paresh Kumar & Narayan, Seema & Thuraisamy, Kannan Sivananthan, 2014. "Can institutions and macroeconomic factors predict stock returns in emerging markets?," Emerging Markets Review, Elsevier, vol. 19(C), pages 77-95.
  35. Igor Makarov & D. Papanikolaou, 2008. "Sources of systematic risk," LSE Research Online Documents on Economics 53906, London School of Economics and Political Science, LSE Library.
  36. Frazier, David T. & Liu, Xiaochun, 2016. "A new approach to risk-return trade-off dynamics via decomposition," Journal of Economic Dynamics and Control, Elsevier, vol. 62(C), pages 43-55.
  37. Salvador, Enrique & Floros, Christos & Arago, Vicent, 2014. "Re-examining the risk–return relationship in Europe: Linear or non-linear trade-off?," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 60-77.
  38. Andrew Stuart Duncan & Alain Kabundi, 2011. "Global Financial Crises and Time-varying Volatility Comovement in World Equity Markets," Working Papers 253, Economic Research Southern Africa.
  39. Mario Forni & Marc Hallin & Marco Lippi & Paolo Zaffaroni, 2011. "One-Sided Representations of Generalized Dynamic Factor Models," DSS Empirical Economics and Econometrics Working Papers Series 2011/5, Centre for Empirical Economics and Econometrics, Department of Statistics, "Sapienza" University of Rome.
  40. Oliver Linton & Anisha Ghosh, 2007. "Consistent Estimation of the Risk-Return Tradeoff in the Presence of Measurement Error," FMG Discussion Papers dp605, Financial Markets Group.
  41. Cem Cakmakli & Dick van Dijk, 2010. "Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility," Tinbergen Institute Discussion Papers 10-115/4, Tinbergen Institute.
  42. Christoph Große Steffen & Maximilian Podstawski, 2016. "Ambiguity and Time-Varying Risk Aversion in Sovereign Debt Markets," Discussion Papers of DIW Berlin 1602, DIW Berlin, German Institute for Economic Research.
  43. Perez, M. Fabricio & Shkilko, Andriy & Sokolov, Konstantin, 2015. "Factor models for binary financial data," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S177-S188.
  44. Christophe Croux & Peter Exterkate, 2011. "Sparse and Robust Factor Modelling," Tinbergen Institute Discussion Papers 11-122/4, Tinbergen Institute.
  45. Jiahan Li & Ilias Tsiakas, 2016. "Equity Premium Prediction: The Role of Economic and Statistical Constraints," Working Paper Series 16-25, The Rimini Centre for Economic Analysis.
  46. Roussanov, Nikolai, 2014. "Composition of wealth, conditioning information, and the cross-section of stock returns," Journal of Financial Economics, Elsevier, vol. 111(2), pages 352-380.
  47. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
  48. Bai, Jushan & Ng, Serena, 2008. "Forecasting economic time series using targeted predictors," Journal of Econometrics, Elsevier, vol. 146(2), pages 304-317, October.
  49. repec:dau:papers:123456789/11692 is not listed on IDEAS
  50. Taamouti, Abderrahim & García, René & Dufour, Jean-Marie, 2008. "Measuring causality between volatility and returns with high-frequency data," UC3M Working papers. Economics we084422, Universidad Carlos III de Madrid. Departamento de Economía.
  51. Naser, Hanan & Alaali, Fatema, 2015. "Can Oil Prices Help Predict US Stock Market Returns: An Evidence Using a DMA Approach," MPRA Paper 65295, University Library of Munich, Germany, revised 25 Jun 2015.
  52. repec:ipg:wpaper:2014-414 is not listed on IDEAS
  53. Dalibor Stevanovic & Charles Olivier Mao Takongmo, 2014. "Selection of the number of factors in presence of structural instability: a Monte Carlo study," CIRANO Working Papers 2014s-44, CIRANO.
  54. Gonçalo Faria & Fabio Verona, 2016. "Forecasting stock market returns by summing the frequency-decomposed parts," Working Papers de Economia (Economics Working Papers) 05, Católica Porto Business School, Universidade Católica Portuguesa.
  55. Tédongap, Roméo & Taamouti, Abderrahim & Fontaine, Jean-Sébastien & Feunou, Bruno, 2011. "Risk premium, variance premium and the maturity structure of uncertainty," UC3M Working papers. Economics we1144, Universidad Carlos III de Madrid. Departamento de Economía.
  56. Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
  57. Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
  58. Forni, Mario & Hallin, Marc & Lippi, Marco & Zaffaroni, Paolo, 2015. "Dynamic factor models with infinite-dimensional factor spaces: One-sided representations," Journal of Econometrics, Elsevier, vol. 185(2), pages 359-371.
  59. Federico M. Bandi & Bernard Perron & Andrea Tamoni & Claudio Tebaldi, 2014. "The scale of predictability," Working Papers 509, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  60. Peter Exterkate, 2012. "Model Selection in Kernel Ridge Regression," CREATES Research Papers 2012-10, Department of Economics and Business Economics, Aarhus University.
  61. Koopman, Siem Jan & Lucas, André & Schwaab, Bernd, 2011. "Modeling frailty-correlated defaults using many macroeconomic covariates," Journal of Econometrics, Elsevier, vol. 162(2), pages 312-325, June.
  62. Peter C. B. Phillips & Donggyu Sul, 2007. "Transition Modeling and Econometric Convergence Tests," Econometrica, Econometric Society, vol. 75(6), pages 1771-1855, November.
  63. Roselyne Joyeux & George Milunovich, 2015. "Speculative bubbles, financial crises and convergence in global real estate investment trusts," Applied Economics, Taylor & Francis Journals, vol. 47(27), pages 2878-2898, June.
  64. Çakmaklı, Cem & van Dijk, Dick, 2016. "Getting the most out of macroeconomic information for predicting excess stock returns," International Journal of Forecasting, Elsevier, vol. 32(3), pages 650-668.
  65. Chiang, Thomas C. & Chen, Xiaoyu, 2016. "Stock returns and economic fundamentals in an emerging market: An empirical investigation of domestic and global market forces," International Review of Economics & Finance, Elsevier, vol. 43(C), pages 107-120.
  66. Massimo Guidolin & Stuart Hyde, 2011. "Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective," Working Papers 414, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  67. Xing Jin & LepingWang & JunYu, 2007. "Temporal Aggregation and Risk-Return Relation," Finance Working Papers 21917, East Asian Bureau of Economic Research.
  68. repec:ipg:wpaper:2013-019 is not listed on IDEAS
  69. Mark J. Jensen & John M. Maheu, 2014. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Working Paper Series 31_14, The Rimini Centre for Economic Analysis.
  70. Kim, Jaeho, 2015. "Bayesian Inference in a Non-linear/Non-Gaussian Switching State Space Model: Regime-dependent Leverage Effect in the U.S. Stock Market," MPRA Paper 67153, University Library of Munich, Germany.
  71. Luc Doyen & R. A Deng & C. M. Dichmont & Sophie Gourguet & S. Jennings & L. Richard Little & S. Pascoe & Olivier Thébaud, 2014. "Risk versus Economic Performance in a Mixed Fishery," Post-Print hal-01134866, HAL.
  72. Goh, Jeremy C. & Jiang, Fuwei & Tu, Jun & Wang, Yuchen, 2013. "Can US economic variables predict the Chinese stock market?," Pacific-Basin Finance Journal, Elsevier, vol. 22(C), pages 69-87.
  73. Bekiros, Stelios & Gupta, Rangan, 2015. "Predicting stock returns and volatility using consumption-aggregate wealth ratios: A nonlinear approach," Economics Letters, Elsevier, vol. 131(C), pages 83-85.
  74. repec:dau:papers:123456789/6800 is not listed on IDEAS
  75. Sydney C. Ludvigson & Sai Ma & Serena Ng, 2015. "Uncertainty and Business Cycles: Exogenous Impulse or Endogenous Response?," NBER Working Papers 21803, National Bureau of Economic Research, Inc.
  76. Choi, In, 2012. "Efficient Estimation Of Factor Models," Econometric Theory, Cambridge University Press, vol. 28(02), pages 274-308, April.
  77. repec:dau:papers:123456789/11382 is not listed on IDEAS
  78. Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
  79. He, Zhongzhi (Lawrence) & Zhu, Jie & Zhu, Xiaoneng, 2015. "Multi-factor volatility and stock returns," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages S132-S149.
  80. Elena Andreou, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," University of Cyprus Working Papers in Economics 03-2016, University of Cyprus Department of Economics.
  81. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
  82. Morales-Arias, Leonardo & Moura, Guilherme V., 2013. "Adaptive forecasting of exchange rates with panel data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 493-509.
  83. Eric Ghysels & Pierre Guérin & Massimiliano Marcellino, 2013. "Regime Switches in the Risk-Return Trade-Off," Staff Working Papers 13-51, Bank of Canada.
  84. Eric Ghysels & Casidhe Horan & Emanuel Moench, 2012. "Forecasting through the rear-view mirror: data revisions and bond return predictability," Staff Reports 581, Federal Reserve Bank of New York.
  85. Patrick Gagliardini & Elisa Ossola & Olivier Scaillet, 2016. "A diagnostic criterion for approximate factor structure," Papers 1612.04990, arXiv.org.
  86. repec:ipg:wpaper:20 is not listed on IDEAS
  87. repec:ipg:wpaper:19 is not listed on IDEAS
  88. Sílvia Gonçalves & Benoit Perron, 2012. "Bootstrapping factor-augmented regression models," CIRANO Working Papers 2012s-12, CIRANO.
  89. Andreou, Elena, 2016. "On the use of high frequency measures of volatility in MIDAS regressions," CEPR Discussion Papers 11307, C.E.P.R. Discussion Papers.
  90. Thomadakis, Apostolos, 2016. "Do Combination Forecasts Outperform the Historical Average? Economic and Statistical Evidence," MPRA Paper 71589, University Library of Munich, Germany.
  91. repec:gnv:wpaper:unige:76321 is not listed on IDEAS
  92. Baetje, Fabian & Menkhoff, Lukas, 2013. "Macro determinants of U.S. stock market risk premia in bull and bear markets," Hannover Economic Papers (HEP) dp-520, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  93. Schuhmacher, Frank & Auer, Benjamin R., 2014. "Sufficient conditions under which SSD- and MR-efficient sets are identical," European Journal of Operational Research, Elsevier, vol. 239(3), pages 756-763.
  94. In Choi & Dukpa Kim & Yun Jung Kim & Noh-Sun Kwark, 2016. "A Multilevel Factor Model: Identification, Asymptotic Theory and Applications," Working Papers 1609, Research Institute for Market Economy, Sogang University.
  95. Carolina Castagnetti & Eduardo Rossi & Lorenzo Trapani, 2014. "A Two-Stage Estimator for Heterogeneous Panel Models with Common Factors," DEM Working Papers Series 066, University of Pavia, Department of Economics and Management.
  96. Juan Carlos Escanciano & Juan Carlos Pardo-Fernández & Ingrid Van Keilegom, 2013. "Semi Parametric Estimation Of Risk-Return Relationships," Caepr Working Papers 2013-004, Center for Applied Economics and Policy Research, Economics Department, Indiana University Bloomington.
  97. In Choi, 2013. "Model Selection for Factor Analysis: Some New Criteria and Performance Comparisons," Working Papers 1209, Research Institute for Market Economy, Sogang University.
  98. Gagnon, Marie-Hélène & Gimet, Céline, 2013. "The impacts of standard monetary and budgetary policies on liquidity and financial markets: International evidence from the credit freeze crisis," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4599-4614.
  99. Cheng, Ai-Ru & Jahan-Parvar, Mohammad R., 2014. "Risk–return trade-off in the pacific basin equity markets," Emerging Markets Review, Elsevier, vol. 18(C), pages 123-140.
  100. Peter Exterkate, 2011. "Modelling Issues in Kernel Ridge Regression," Tinbergen Institute Discussion Papers 11-138/4, Tinbergen Institute.
  101. repec:dau:papers:123456789/11663 is not listed on IDEAS
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