In this study, we forecast the realized volatility of the S&P 500 index using the
heterogeneous autoregressive model for realized volatility (HAR-RV) and its various …

Financial market behavior and key trading strategies—illuminated by interviews with top
hedge fund experts Efficiently Inefficient describes the key trading strategies used by hedge …

Energy and geopolitics have always been closely intertwined. In this paper, we empirically
investigate the impact of geopolitical uncertainty (GPR) as measured by Caldara and …

Returns and cash flow growth for the aggregate US stock market are highly and robustly
predictable. Using a single factor extracted from the cross‐section of book‐to‐market ratios …

The main goal of this paper is to investigate the predictability of five economic uncertainty
indices for oil price volatility in a changing world. We employ the standard predictive …

Regime-switching models can match the tendency of financial markets to often change their
behavior abruptly and the phenomenon that the new behavior of financial variables often …

This paper uses a news-based climate policy uncertainty (CPU) proposed by Gavriilidis
(2021) to test the stock return predictability of the oil industry. Results show that CPU is a …

Motivated by the evidence that risk premia are large and countercyclical, this paper studies a
tractable real business cycle model with a small risk of economic disaster, such as the Great …

Our investigation evaluates the novel macroeconomic attention indices (MAI) of Fisher et
al.(2022) in terms of their ability to predict stock market returns based on dimension …

Investor sentiment indicates how far an asset value deviates from its economic
fundamentals. In this article, we review various measures of investor sentiment based on …