OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS

DOI10.1142/S0219024918500437zbMath1416.91373OpenAlexW2891233795MaRDI QIDQ4686507

José Afonso Faias, Tiago Castel-Branco

Publication date: 10 October 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500437

zbMATH Keywords

predictioncross-sectiontime-seriesimplied momentsrealized moments

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
• Approximately normal tests for equal predictive accuracy in nested models
• The VIX, the variance premium and stock market volatility
• Asset allocation under multivariate regime switching
• Post-'87 crash fears in the S\&P 500 futures option market
• A Theory of Volatility Spreads
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
• Common risk factors in the returns on stocks and bonds

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