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Tail risk and return predictability for the Japanese equity market · Study

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ArticleTail risk and return predictability for the Japanese equity market

Torben G. Andersen2020

OA

Articlebronze2020

Tail risk and return predictability for the Japanese equity market

Torben G. Andersen · Viktor Todorov · Masato Ubukata

46 citations·0/0 files stored·Journal of Econometrics

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1989Business conditions and expected returns on stocks and bonds 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1988Dividend yields and expected stock returns 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1993Dynamic Asset Pricing Theory.2008A Simple Approximate Long-Memory Model of Realized Volatility 1988Stock Prices, Earnings, and Expected Dividends

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Details

Year2020

Typearticle

Published2020-07-30

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations46

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.jeconom.2020.07.005

openalex_workW3045655992

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