Out-of-sample stock return prediction using higher-order moments
From MaRDI portal
Publication:4686507
Recommendations
- The skewness risk premium in equilibrium and stock return predictability
- Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
- Practical implications of higher moments in risk management
- Priced risk and asymmetric volatility in the cross section of skewness
- Predicting stock returns and assessing prediction performance
Cites work
- A theory of volatility spreads
- Approximately normal tests for equal predictive accuracy in nested models
- Asset allocation under multivariate regime switching
- Common risk factors in the returns on stocks and bonds
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?
- Post-'87 crash fears in the S\&P 500 futures option market
- The pricing of options and corporate liabilities
- The VIX, the variance premium and stock market volatility
Cited in
(3)- Monthly pattern and portfolio effect on higher moments of stock returns: Empirical evidence from Hong Kong
- Out‐of‐sample equity premium prediction: A scenario analysis approach
- Extracting expected stock risk premia from option prices and the information contained in non-parametric-out-of-sample stochastic discount factors
This page was built for publication: Out-of-sample stock return prediction using higher-order moments
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4686507)
